The Integration of Mortgage and Capital Markets in Emerging Economies—Evidence from South Africa

Gyamfi-Yeboah, Frank; Ziobrowski, Alan J.

doi:10.1007/s11146-009-9166-2

Cited by 4 publications

(3 citation statements)

References 15 publications

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“…The authors determine that conventional mortgage rates closely follow the rates of 10-year Treasury notes, yet changes in the short-term rates had little or no direct effect on mortgage rates. Gyamfi-Yeboah and Ziobrowski (2010) examine the incremental contribution of deregulation in South Africa to the integration between the respective mortgage and capital markets. With deregulation occurring in the early 1980s, their analyses indicate that the two markets were fully integrated before 2001, when a secondary mortgage market was introduced in South Africa (suggesting that the integration of the mortgage and the financial markets has been principally caused by the deregulation and not by the introduction of the secondary mortgage market).…”

Section: Literature Reviewmentioning

confidence: 99%

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

Parnes

Nippani

2019

JFEP

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Purpose This 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/approach The 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. Findings The 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 implications The 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/value The 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.

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Section: Literature Reviewmentioning

confidence: 99%

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

Parnes

Nippani

2019

JFEP

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“…Monetary policy has proved effective in dampening both supply and asset price shocks in emerging markets (Du Plessis, 2006). Gyamfi-Yeboah and Ziobrowski (2010) claim that the pass-through effects of monetary policy in emerging nations have to be assessed in a wider wealth context integrating the equity and real estate markets 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 1 0 2 0 1 0 2 0 0 8 2 0 0 6 2 0 0 4 2 0 1 0 2 0 0 8 2 0 0 6 2 0 0…”

Section: The Empirical Modelmentioning

confidence: 99%

The nexus between monetary policy and housing in Egypt and South Africa

Abdel-Baki

2014

African Journal of Economic and Management Studies

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Purpose – The purpose of this paper is to compare and contrast the effectiveness of monetary policy in boosting the housing sectors in each of Egypt and South Africa, and to detect the ability of the monetary agents of both nations to tame house prices. Design/methodology/approach – An eight-variate two-stage structural vector autoregressive model compares the efficacy of monetary policy during the period from 1975 to 2010 in alleviating housing shortages in both nations. Findings – The impact of monetary policy on the housing sector is not found to be uniformly effective. In economies with more developed mortgage markets, like South Africa, monetary agents can affect credit availability, provided that they react promptly to supply and demand shocks. In countries depending on off-plan sales, such as Egypt, monetary policy has a substantial impact on housing starts. Originality/value – This paper adds to the economic development literature since it elucidates how monetary policy could be employed as an unconventional tool to alleviate housing shortages in developing nations.

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“…Another factor behind the fragility of this chapter is that it falls short of discussing the reason behind the lack of funds available to mortgage finance firms. With heavily regulated debt and equity markets and due to a relatively shallow financial sector, mortgage lenders are denied the right to mobilize funds through securitization (Gyamfi‐Yeboah and Ziobrowski, 2010). In this vein, governments and international development institutions urgently need to provide long‐term and fixed rate financing till deeper and more developed capital markets are born (Bestani and Klein, 2008).…”

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confidence: 99%