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Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach

Mukaramah Harun, and Yusuf Haji Othman, (2007) Relationship between securitisation and residential mortgage market yields in Malaysia: a cointegration approach. International Journal of Management Studies, 14 (1). pp. 49-65. ISSN 0127-8983

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Official URL: http://ijms.uum.edu.my/index.php?option=com_phocadownload&view=category&id=6:ijms-vol-14-no1.-june-2007-10&Itemid=12

Affiliations

Universiti Utara Malaysia, Faculty of Economics
Universiti Utara Malaysia, Faculty of Economics

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.

ABSTRAK
Artikel ini melihat hubungan jangka panjang yang mungkin wujud di antara pinjaman perumahan yang disekuritikan dengan beza pulangan kadar pinjaman perumahan dalam pasaran primer di Malaysia. Kaedah ko-integrasi dan ‘error-correction model’ diapplikasikan bagi melihat hubungan ini.
Analisis adalah meliputi data suku tahunan daripada suku ketiga tahun 1988 ke suku pertama tahun 2003. Ujian punca unit menunjukkan setiap angkubah adalah tidak pegun dalam bentuk tingkat pada aras keertian 5 peratus. Ujian
ko-integrasi menunjukkan wujudnya ko-integrasi antara angkubah-angkubah. Anggaran ‘error correction model’ menunjukkan beza pulangan bertindak pantas mengubah suai daripada penyimpangan dari keseimbangan jangka panjang manakala pinjaman perumahan yang disekuritikan mengubah-suai
amat perlahan dari penyimpangan dari keseimbangan.

Item Type:Journal
Additional Information:Formerly known as Jurnal Analisis
Keywords:Securitisation; mortgage backed securities; yield spread, bond market; capital market; residential market.
Subjects:H Social Sciences, Economics, Sociology
ID Code:10612

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