Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach
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 f...
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Format: | Article |
Language: | English |
Published: |
UUM Press
2007-06-01
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Series: | International Journal of Management Studies |
Subjects: | |
Online Access: | https://e-journal.uum.edu.my/index.php/ijms/article/view/9820 |
Summary: | 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.
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ISSN: | 2232-1608 2180-2467 |