dc.contributor.author |
Yusuf Haji-Othman |
|
dc.date.accessioned |
2020-09-29T07:38:37Z |
|
dc.date.available |
2020-09-29T07:38:37Z |
|
dc.date.issued |
2007 |
|
dc.identifier.citation |
Management Studies |
en_US |
dc.identifier.uri |
http://unisep.lib.unishams.edu.my/xmlui/handle/123456789/13646 |
|
dc.description.abstract |
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. |
en_US |
dc.language.iso |
en |
en_US |
dc.publisher |
International Journal of Management Studies. |
en_US |
dc.relation.ispartofseries |
International Journal of Management Studies;Vol. 14(1), 49-65 (2007) |
|
dc.subject |
Securitisation; mortgage backed securities; yield spread, bond market; capital market; residential market |
en_US |
dc.title |
Relationship Between Securitisation And Residential Mortgage Market Yields In Malaysia : A Cointegration Approach |
en_US |
dc.type |
Article |
en_US |