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Details for article 93 of 194 found articles
| Title: |
Integration and causality in US mortgage and T-bond markets |
| Author: |
Rahman, Matiur Mustafa, Muhammad Kurth, Michael |
| Appeared in: |
Applied economics letters |
| Paging: | Volume 4 (1997) nr. 7 pages 445-447 |
| Year: |
1997-07-01 |
| Contents: |
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. |
| Publisher: |
Routledge |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 93 of 194 found articles
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