Integration of Mortgage and Capital Markets: Evidence in the Spanish Case

28 Pages Posted: 14 Apr 2006

See all articles by Roman Ferrer

Roman Ferrer

University of Valencia

Cristobal Gonzalez

University of Valencia

Paz Jorda

University of Valencia - Department of Financial Economics

Date Written: February 2006

Abstract

The spectacular development of the Spanish mortgage market during the last decade has increased the concern about its financial integration with other capital markets. This paper examines the degree of integration between the mortgage market and two broader capital markets such as the public debt market and the money market in the Spanish case. With this purpose, different time series techniques in a context of cointegration have been used.

The results obtained reveal that there exists an important degree of integration between the mortgage market and the general capital markets in Spain. In particular, the public debt market and, especially, the money market have turned into essential references for the mortgage market though the linkage with the mortgage market is stronger for the money market, possibly due to the peculiar structure of the Spanish mortgage market.

Keywords: integration, mortgage market, capital markets, cointegration

JEL Classification: E40, E44, G10

Suggested Citation

Ferrer, Roman and Gonzalez, Cristobal and Jorda, Paz, Integration of Mortgage and Capital Markets: Evidence in the Spanish Case (February 2006). Available at SSRN: https://ssrn.com/abstract=887891 or http://dx.doi.org/10.2139/ssrn.887891

Roman Ferrer (Contact Author)

University of Valencia ( email )

E-46022 Valencia, Valencia E-46022
Spain

Cristobal Gonzalez

University of Valencia ( email )

E-46022 Valencia, Valencia E-46022
Spain

Paz Jorda

University of Valencia - Department of Financial Economics ( email )

Avda. del Tarongers, s/n
46022 Valencia
Spain

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