Commercial Mortgage‐Backed Securities

Abstract

Yield spreads on commercial mortgage-backed securities (CMBS) declined dramatically from 1992 until 1997, then increased each of the next two years. The relationship between CMBS yield spreads and other economic variables is estimated in an effort to determine the extent to which recent trends can be explained by other variables. The results indicate that even after controlling for other observable factors, the yield spread on CMBS declined from 1992 until 1997, then increased each of the next two years.