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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.

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Bibliographic Info

Paper provided by Carleton University, Department of Economics in its series Carleton Economic Papers with number 96-06.

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Length: 30 pages
Date of creation: Sep 1996
Date of revision: 1996
Publication status: Published: – revised version in Proceedings of the Business and Economic Statistics Section of the Annual Meeting of the American Statistical Association, Washington: American Statistical Association, 1996, pp. 124–129
Handle: RePEc:car:carecp:96-06

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Keywords: INTEREST RATE; common trends; UNIT ROOTS; structural breaks;

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