In this paper, we develop a model to predict the impact of deregulation in the form of relaxing interest rate control on the integration between the mortgage credit market and the general credit market. The model is tested through the examination of the long-term Granger-like equilibrium...

The random-walk hypothesis is tested in the prices of mortgage-backed securities traded in the secondary market. Using the variance ratio test, the random-walk hypothesis is rejected for the daily GNMA bond return. We identify two components in the return series: a systematic component...