The Structural Relation Between Mortgage and Market Interest Rates
This paper analyzes the dynamic relationship between primary and secondary mortgage markets and the short-term and long-term market interest rates. Using a series of monthly data on fixed rate mortgage rates and GNMA rates, we explore the dependence and speed of adjustment in these primary and secondary mortgage rates to each other as well as to the long and short-term government rates. The results indicate that residential mortgage rates in general, appear to follow the long-term rate and are not very sensitive to movements in the short-term interest rate. Copyright Blackwell Publishers Ltd, 2003.
Year of publication: |
2003-12
|
---|---|
Authors: | Marathe, Achla ; Shawky, Hany A. |
Published in: |
Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 30.2003-12, 9-10, p. 1235-1251
|
Publisher: |
Wiley Blackwell |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Shawky, Hany A., (2003)
-
Liquidity and stock returns in emerging equity markets
Jun, Sang-Gyung, (2003)
-
Predictability of stock returns and real output
Marathe, Achla, (1994)
- More ...