Macroeconomic News and Mortgage Rates

Journal of Real Estate Finance and Economics

Volumn 27, Issue 3, 2003, Pages 355-377

  Ramchander, Sanjay ^a   Simpson, Marc W ^b   Webb, James R ^c  

^a Department of Environmental and Radiological Health Sciences   (United States)

^b UNIVERSITY OF TEXAS PAN AMERICAN   (United States)

^c CLEVELAND STATE UNIVERSITY   (United States)

Author keywords

Macroeconomic news; Mortgage market; Mortgage spreads

Indexed keywords

EID: 1642542460     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1025894225044     Document Type: Article

References (48)

1. Allen, M. T., R. C. Rutherford, and M. K. Wiley. (1999). "The Relationships between Mortgage Rates and Capital Market Rates under Alternative Market Conditions," The Journal of Real Estate Finance and Economics 19, 211-221.
2. Balduzzi, P., E. J. Elton, and T. C. Green. (2001). "Economic News and Bond Prices: Evidence from the U.S. Treasury Market," Journal of Financial and Quantitative Analysis 16, 131-145.
3. Becker, K., J. E. Finnerty, and K. Kopecky. (1996). "Macroeconomic News and the Efficiency of International Bond Futures Markets," Journal of Futures Markets 16, 131-146.
4. Berkman, N. G. (1978). "On the Significance of Weekly Changes in M1," New England Economic Review, 5-22.
5. Buist, H., and T. T. Yang. (2000). "Housing Finance in a Stochastic Economy: Contract Pricing and Choice," Real Estate Economics 28, 117-139.
6. Campbell, J. Y., and R. J. Shiller. (1987). "Cointegration and Tests of Present Value Models," Journal of Political Economy 95, 1062-1088.
7. Campbell, T., and J. K. Dietrich. (1983). "Determinants of Systematic Borrower Default on Insured Conventional Residential Mortgages, " Journal of Finance 38, 1569-1581.
8. Cornell, B. (1982). "Money Supply Announcements, Interest Rates, and Foreign Exchange," Journal of International Money and Finance 1, 201-208.
9. Cornell, B. (1983). "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review 73, 644-657.
10. Cutler, D. M., J. M. Poterba, and L. H. Summers. (1989). "What Moves Stock Prices?" Journal of Portfolio Management 15, 4-12.
11. Darrat, A. F., and R. N. Dickens. (1998). "Mortgage Loan Rates and Deposit Costs: Are They Reliably Linked?" The Journal of Real Estate Finance and Economics 16, 27-42.
12. Dickey, D. A., and W. A. Fuller. (1981). "Likelihood Ratio Statistics for Autoregressive Time Series," Econometrica 49, 1057-1072.
13. Duca, V. (1999). "What credit market indicators tell us?" Federal Reserve Bank of Dallas Economic and Financial Review, 2-13.
14. Ederington, L. H., and J. H. Lee. (1993). "How Markets Process Information: News Releases and Volatility," Journal of Finance 48, 1161-1191.
15. Engle, R. F., and C. W. J. Granger. (1987). "Co-integration and Error-correction: Representation, Estimation, and Testing," Econometrica 55, 251-276.
16. Fleming, M. J., and E. Remolona. (1997). "What Moves the Bond Market? Federal Reserve Bank of New York," Economic Policy Review 3, 31-50.
17. Frankel, J., and G. Hardouvelis. (1985). "Commodity Prices, Money Surprises, and Fed Credibility," Journal of Money, Credit, and Banking 17, 425-438.
18. Glascock, J. L., C. Lu, and R. W. So. (2000). "Further Evidence on the Integration of REIT, Bond, and Stock Returns," The Journal of Real Estate Finance and Economics 20, 177-194.
19. Goebel, R., and C. K. Ma. (1993). "The Integration of Mortgage Markets and Capital Markets," Journal of the American Real Estate and Urban Economics Association 21, 511-538.
20. Granger, C. W. J. (1969). "Investigating Causal Relationships by Econometric Models and Cross-spectral Models," Econometrica 37, 424-438.
21. Granger, C. W. J. (1986). "Developments in the Study of Co-integrated Economic Variables," Oxford Bulletin of Economics and Statistics 48, 213-228.
22. Granger, C. W. J. (1988). "Some Recent Developments in the Concept of Causality," Journal of Econometrics 39, 199-211.
23. Grossman, J. (1981). "The 'Rationality' of Money Supply Expectations and the Short-run Response of Interest rates to Monetary Surprises," Journal of Money, Credit and Banking 13, 409-424.
24. Handa, J., and B. K. Ma. (1989). "Four Tests for the Random Walk Hypothesis: Power versus Robustness," Economics Letters 29, 141-145.
25. Hardouvelis, G. (1987). "Macroeconomic Information and Stock Prices," Journal of Economics and Business 39, 131-140.
26. Hobijn, B., P. H. Franses, and M. Ooms. (1998). "Generalizations of the KPSS-test for Stationarity," Econometric Institute Report 9802/A. Econometric Institute, Erasmus University Rotterdam.
27. Jackson, J. R., and D. L. Kaserman. (1980). "Default Risk on Home Mortgage Loans: A Test of Competing Hypothesis," Journal of Risk and Insurance 47, 678-690.
28. Johansen, S. (1991). "Estimation and Hypothesis Testing for Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica 59, 1551-1580.
29. Johansen, S., and K. Juselius. (1990). "Maximum Likelihood Estimation and Inference on Cointegration-With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics 52, 169-210.
30. Jones, C. M., O. Lamont, and R. L. Lumsdaine. (1998). "Macroeconomic News and Bond Market Volatility," Journal of Financial Economics 47, 315-337.
31. Jorion, P., and E. Schwartz. (1986). "Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance 41, 603-616.
32. Kolari, J. W., D. R. Fraser, and A. Anari. (1998). "The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis," Real Estate Economics 26, 677-693.
33. Krueger, A. B. (1996). "Do Markets Respond More to Reliable Labor Market Data? A Test of Market Rationality," Unpublished paper, Princeton University.
34. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. (1992). "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure are we that Economic Time Series have a Unit Root?" Journal of Econometrics 54, 159-178.
35. Lee, D., and P. Schmidt. (1996). "On the Power of the KPSS Test of Stationarity Against Fractionally-integrated Alternatives," Journal of Econometrics 73, 285-302.
36. Li, L., and R. F. Engle. (1998). "Macroeconomic Announcements and Volatility of Treasury Futures," Discussion Paper 98-27. Department of Economics, University of California, San Diego.
37. Ling, D. C., and A. Naranjo. (1999). "The Integration of Commercial Real Estate Markets and Stock Markets," Real Estate Economics 27, 483-515.
38. Liu, C. H., D. J. Hartzell, W. Greig, and T. V. Grissom. (1990). "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics 3, 261-282.
39. McQueen, G., and V. V. Roley. (1993). "Stock Prices, News, and Business Conditions," Review of Financial Studies 6, 683-707.
40. Osterwald-Lenum, M. (1992). "A Note with Quantiles of the Asymptotic Distribution of the Likelihood Cointegration Rank Test Statistics: Four Cases," Oxford Bulletin of Economics and Statistics 54, 461-472.
41. Phillips, P., and P. Perron. (1988). "Testing for a Unit Root in Time Series Regression," Biometrica 75, 335-346.
42. Ramchander, S., M. W. Simpson, and M. K. Chaudhry. (2003). "The Impact of Inflationary News on Money Market Yields and Volatility," Journal of Economics and Finance 27, 85-101.
43. Roley, V. V. (1983). "The Response of Short-term Interest Rates to Weekly Money Announcements," Journal of Money, Credit and Banking 15, 344-354.
44. Sa-Aadu, J., J. D. Shilling, and G. H. K. Wang. (2000). "A Test of Integration and Cointegration of Commercial Mortgage Rates," Journal of Financial Services Research 18, 45-61.
45. Schnitzel, P. (1986). "Do Deposit Rates Cause Mortgage Loan Rates? The Evidence from Causality Tests," Journal of American Real Estate and Urban Economics Association 14, 448-464.
46. Schwert, W. G. (1981). "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance 36, 15-29.
47. Smirlock, M. (1986). "Inflation Announcements and Financial Market Reaction: Evidence from the Long-Term Bond Market," Review of Economics and Statistics 68, 329-333.
48. Urich, T., and P. Wachtel. (1981). "Market Response to the Weekly Money Supply Announcements in the 1970s," Journal of Finance 36, 1063-1072.