Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You and Your Team.

Learn More →

The integration of mortgage and capital markets: a tale of two administrations

The integration of mortgage and capital markets: a tale of two administrations PurposeThis study aims to extend the literature by exploring the degrees of integration of both fixed and adjustable mortgage rates and diverse riskless (Treasury) and risky (corporate) interest rates in the capital markets from January 1, 2010, until November 7, 2018. This period is uniquely characterized by a sharp conversion on January 20, 2017, from enhanced financial regulation during the Obama administration to major deregulatory ambitions during the first 22 months of the Trump administration.Design/methodology/approachThe authors use the augmented Dickey and Fuller and the Phillips and Perron unit root tests to examine time series stationarity and the Johansen cointegration rank and the Stock-Watson common trends tests to inspect various cointegrations and regressions of time series pairs to explore different effects. The authors deploy these techniques over the entire time frame, as well as for distinct sub-periods of similar length.FindingsThe authors conclude that a deregulatory setting favors cointegration between mortgage and non-corporate capital markets. However, an enriched regulatory environment supports cointegration between mortgage and corporate capital markets. In addition, the Dodd-Frank Wall Street Reform and Consumer protection Act from July 21, 2010, created a unique though short-term effect on the relationships between Treasury and corporate bonds and fixed-rate mortgages.Practical implicationsThe journey contributes to the overall understanding of the interactions among US financial markets. They are considered efficient, competitive and fully developed if their prices quickly adjust to economic changes and regulatory transformations.Originality/valueThe authors study the degrees of integration of various conventional and adjustable mortgage rates and different fixed and floating interest rates in the US capital markets from January 1, 2010, until November 7, 2018. This recent time frame has yet to be examined in the economic literature. This period is also characterized by a sharp transformation on January 20, 2017, from enhanced financial regulation during the Obama administration to major deregulatory drives during the first 22 months of the Trump administration. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Economic Policy Emerald Publishing

The integration of mortgage and capital markets: a tale of two administrations

Loading next page...
 
/lp/emerald-publishing/the-integration-of-mortgage-and-capital-markets-a-tale-of-two-t9QQl4vQG8
Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1757-6385
DOI
10.1108/jfep-09-2018-0130
Publisher site
See Article on Publisher Site

Abstract

PurposeThis study aims to extend the literature by exploring the degrees of integration of both fixed and adjustable mortgage rates and diverse riskless (Treasury) and risky (corporate) interest rates in the capital markets from January 1, 2010, until November 7, 2018. This period is uniquely characterized by a sharp conversion on January 20, 2017, from enhanced financial regulation during the Obama administration to major deregulatory ambitions during the first 22 months of the Trump administration.Design/methodology/approachThe authors use the augmented Dickey and Fuller and the Phillips and Perron unit root tests to examine time series stationarity and the Johansen cointegration rank and the Stock-Watson common trends tests to inspect various cointegrations and regressions of time series pairs to explore different effects. The authors deploy these techniques over the entire time frame, as well as for distinct sub-periods of similar length.FindingsThe authors conclude that a deregulatory setting favors cointegration between mortgage and non-corporate capital markets. However, an enriched regulatory environment supports cointegration between mortgage and corporate capital markets. In addition, the Dodd-Frank Wall Street Reform and Consumer protection Act from July 21, 2010, created a unique though short-term effect on the relationships between Treasury and corporate bonds and fixed-rate mortgages.Practical implicationsThe journey contributes to the overall understanding of the interactions among US financial markets. They are considered efficient, competitive and fully developed if their prices quickly adjust to economic changes and regulatory transformations.Originality/valueThe authors study the degrees of integration of various conventional and adjustable mortgage rates and different fixed and floating interest rates in the US capital markets from January 1, 2010, until November 7, 2018. This recent time frame has yet to be examined in the economic literature. This period is also characterized by a sharp transformation on January 20, 2017, from enhanced financial regulation during the Obama administration to major deregulatory drives during the first 22 months of the Trump administration.

Journal

Journal of Financial Economic PolicyEmerald Publishing

Published: Jan 1, 1

There are no references for this article.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$499/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month