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Integration and causality in US mortgage and T-bond markets

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  • Matiur Rahman
  • Muhammad Mustafa
  • Michael Kurth

Abstract

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.

Suggested Citation

  • Matiur Rahman & Muhammad Mustafa & Michael Kurth, 1997. "Integration and causality in US mortgage and T-bond markets," Applied Economics Letters, Taylor & Francis Journals, vol. 4(7), pages 445-447.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:7:p:445-447
    DOI: 10.1080/135048597355230
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    2. Brent W. Ambrose & Joe Peek, 2008. "Credit Availability and the Structure of the Homebuilding Industry," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(4), pages 659-692, December.

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