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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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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 |
| _version_ | 1797943182447607808 |
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| author | Mukaramah Harun Yusuf Haji Othman |
| author_facet | Mukaramah Harun Yusuf Haji Othman |
| author_sort | Mukaramah Harun |
| collection | DOAJ |
| description | 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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| first_indexed | 2024-04-10T20:19:08Z |
| format | Article |
| id | doaj.art-a978f9167b444b51a7403fab6c010520 |
| institution | Directory Open Access Journal |
| issn | 2232-1608 2180-2467 |
| language | English |
| last_indexed | 2024-04-10T20:19:08Z |
| publishDate | 2007-06-01 |
| publisher | UUM Press |
| record_format | Article |
| series | International Journal of Management Studies |
| spelling | doaj.art-a978f9167b444b51a7403fab6c0105202023-01-26T03:14:31ZengUUM PressInternational Journal of Management Studies2232-16082180-24672007-06-01141Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration ApproachMukaramah Harun0Yusuf Haji Othman1Faculty of Economics Universiti Utara MalaysiaFaculty of Economics Universiti Utara MalaysiaThis 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. https://e-journal.uum.edu.my/index.php/ijms/article/view/9820Securitisationmortgage backed securitiesyield spreadbond marketcapital marketresidential market |
| spellingShingle | Mukaramah Harun Yusuf Haji Othman Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach International Journal of Management Studies Securitisation mortgage backed securities yield spread bond market capital market residential market |
| title | Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach |
| title_full | Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach |
| title_fullStr | Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach |
| title_full_unstemmed | Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach |
| title_short | Relationship between Securitisation and Residential Mortgage Market Yields in Malaysia: A Cointegration Approach |
| title_sort | relationship between securitisation and residential mortgage market yields in malaysia a cointegration approach |
| topic | Securitisation mortgage backed securities yield spread bond market capital market residential market |
| url | https://e-journal.uum.edu.my/index.php/ijms/article/view/9820 |
| work_keys_str_mv | AT mukaramahharun relationshipbetweensecuritisationandresidentialmortgagemarketyieldsinmalaysiaacointegrationapproach AT yusufhajiothman relationshipbetweensecuritisationandresidentialmortgagemarketyieldsinmalaysiaacointegrationapproach |