Journal article
A test of integration and cointegration of commercial mortgage rates
Journal of financial services research, Vol.18(1), pp.45-61
10/01/2000
DOI: 10.1023/A:1026575523385
Abstract
Time series data on commercial mortgage yields and yields on comparable-maturity Treasury securities is used to identify a long-run cointegrating relationship between the 2 yield series. The empirical evidence suggest that, while the yield on commercial mortgage is cointegrated with that on comparable-maturity Treasury securities, the cointegrating relationship is far less than that found between the yield on residential mortgage rates an that on comparable-maturity Treasury securities during 1980-1990 time period. However, the results also show that the spate of commercial mortgage securitization that began in early 1991 may have been a market-integrating force and caused the commercial mortgage market to become more integrated into broader capital markets.
Details
- Title: Subtitle
- A test of integration and cointegration of commercial mortgage rates
- Creators
- J Sa-Aadu - University of IowaJames SchillingGeorge Wang - Commodity Futures Trading Commission
- Resource Type
- Journal article
- Publication Details
- Journal of financial services research, Vol.18(1), pp.45-61
- Publisher
- Springer Nature B.V
- DOI
- 10.1023/A:1026575523385
- ISSN
- 0920-8550
- eISSN
- 1573-0735
- Language
- English
- Date published
- 10/01/2000
- Academic Unit
- Finance
- Record Identifier
- 9984380481802771
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