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Temporal Relationships among Adjustable-Rate Mortgage Indexes

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  • Crockett, John H
  • Nothaft, Frank E
  • Wang, George H K

Abstract

This article investigates the linkage among six ARM indexes during the 1978-89 period. Granger's direct causality test is used to examine their relationship within a rolling regression framework. The nonstationary properties of each index and selected pairs of indexes are investigated by using the unit root and cointegration tests. The empirical results confirmed their relationship has changed over this period and short-term rates lead the eleventh district cost-of-funds index. The implications of the empirical results from the perspectives of borrowers (ARM choice), lenders (pricing), and investors (security valuation) are also discussed. Copyright 1991 by Kluwer Academic Publishers

Suggested Citation

  • Crockett, John H & Nothaft, Frank E & Wang, George H K, 1991. "Temporal Relationships among Adjustable-Rate Mortgage Indexes," The Journal of Real Estate Finance and Economics, Springer, vol. 4(4), pages 409-419, December.
    • Handle: RePEc:kap:jrefec:v:4:y:1991:i:4:p:409-19
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    Cited by:

    1. Shaik, Saleem, 2011. "Does accounting for inefficiency affect the time-varying short and long-run returns to scale?," IAMO Forum 2011: Will the "BRICs Decade" Continue? – Prospects for Trade and Growth 11, Leibniz Institute of Agricultural Development in Central and Eastern Europe (IAMO).
    2. Jerry Nickelsburg & William Yu, 2021. "On the Consequences of the Discontinuation of the Eleventh District Cost of Funds Index," The Journal of Real Estate Finance and Economics, Springer, vol. 63(1), pages 143-160, July.

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