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

Soo-Bin Park ()

Carleton Economic Papers from Carleton University, Department of Economics

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.

Keywords: INTEREST RATE; common trends, UNIT ROOTS, structural breaks (search for similar items in EconPapers)
JEL-codes: E40 E58 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1996-09, Revised 1996
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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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Persistent link: https://EconPapers.repec.org/RePEc:car:carecp:96-06

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