Sticky Mortgage Rates: Some Empirical Evidence
Mortgage rates have long been considered to be 'sticky' rates compared to those on other capital market instruments. Using cross-spectral analysis and a more current mortgage market time series than previously available, the author documents 1) a well-functioning bond market with few lags and tight interval couplings, 2) a secondary mortgage market that appears to be fully integrated within the medium term capital markets, and 3) a primary mortgage market that evidences declining, yet persistently positive, lags behind bond market changes. Several institutional constraints are hypothesized to account for this seemingly inconsistent behavior.
Volume (Year): 3 (1988)
Issue (Month): 1 ()
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- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
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