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Integration of the Mortgage and Capital Markets in Canada: A Cointegration Analysis

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Abstract

This paper examines whether the Bank Act revisions have led to a closer integration of the mortgage with the general capital markets in Canada. More specifically, using monthly data on conventional mortgage interest rates and the Government of Canada bond yields, it examines whether the two interest rates are cointegrated.

Suggested Citation

  • Soo-Bin Park, 1996. "Integration of the Mortgage and Capital Markets in Canada: A Cointegration Analysis," Carleton Economic Papers 96-06, Carleton University, Department of Economics, revised 1996.
    • Handle: RePEc:car:carecp:96-06
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    More about this item

    Keywords

    INTEREST RATE; common trends; UNIT ROOTS; structural breaks;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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