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