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Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach


Harun, Mukaramah and Othman, Yusuf (2007) Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach. International Journal of Management Studies (IJMS), 14 (1). pp. 49-65. ISSN 0127-8983

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Official URL: http://ijms.uum.edu.my

Abstract

This article examines the possible long-run association between residential mortgage securitisation and yield spread for residential mortgage rates in the Malaysian primary markets. The cointegration and error-correction framework was applied to quarterly data from the third quarter of 1988 to the first quarter of 2003. Unit root tests revealed that each variable is non-stationary in levels at the 5 percent level of significance. The cointegration test shows a cointegration between these variables. The estimate of error-correction model shows a high adjustment speed for yield spread to the deviation in the longrun equilibrium. Meanwhile, securitisation responded very slowly to the deviation.

Item Type: Article
Uncontrolled Keywords: securitisation, mortgage backed securities, yield spread, bond market, capital market, residential market
Subjects: H Social Sciences > HG Finance
Divisions: College of Business
Depositing User: PM Dr. Mukaramah Harun
Date Deposited: 04 Jul 2010 02:30
Last Modified: 06 Dec 2016 07:36
URI: http://repo.uum.edu.my/id/eprint/101

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