Rahman, Matiur; Mustafa, Muhammad; Kurth, Michael - In: Applied Economics Letters 4 (1997) 7, pp. 445-447
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...