Securitisation and Rate Setting in the UK Mortgage Market

EFA 2002 Berlin Meetings Discussion Paper

City University Business School Finance Working Paper No. 2

Cass Business School Research Paper

36 Pages Posted: 9 Mar 2002

See all articles by Amelia Pais

Amelia Pais

Massey University - Department of Commerce

Date Written: December 2001

Abstract

The objective of this paper is to investigate the way mortgage rates are set by lenders funded by deposits and lenders funded by securitisation. The paper tests the response of both types of lenders to changes in market rates using an Error Correction Model.

Keywords: Securitisation, centralised lenders, rate setting

JEL Classification: G21, G31, G32

Suggested Citation

Pais, Amelia, Securitisation and Rate Setting in the UK Mortgage Market (December 2001). EFA 2002 Berlin Meetings Discussion Paper; City University Business School Finance Working Paper No. 2; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=301924 or http://dx.doi.org/10.2139/ssrn.301924

Amelia Pais (Contact Author)

Massey University - Department of Commerce ( email )

Private Bag 102-904
Auckland
New Zealand

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