Integration and causality in US mortgage and T-bond markets
This paper re-examines the issues of integration and causality in US mortgage and T-bond markets by using the well-known cointegration and error correction methodology. It employs monthly data from January 1980 through June 1993. The unit root test reveals nonstationarity in 30-year nominal mortgage rates and 30-year nominal T-bond yields. The DF tests affirm cointegration between these two variables. The estimates of the associated error correction model depict unidirectional long-run as well as short-run Granger causality that runs from the 30-year T-bond market to the 30-year mortgage market. Reversible short-run feedbacks are also observed between the two markets.
Year of publication: |
1997
|
---|---|
Authors: | Rahman, Matiur ; Mustafa, Muhammad ; Kurth, Michael |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 4.1997, 7, p. 445-447
|
Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Determining total CEO compensation of selected US public companies
Rahman, Matiur, (2018)
-
Dynamics influences of Tobin’s Q and CEO compensation on US stocks
Rahman, Matiur, (2018)
-
Determining illicit financial outflows from sixty developing countries
Rahman, Matiur, (2019)
- More ...