University of Macau Library

Author: Ponarul, Richard; Scott, Robert Haney
Title: Dose the spread between fixed and adjustable mortgage rates predict changes in the one year T-Bill rate?
Journal Name: Euro Asia Journal of Management
Pub. Info: Apr. 1997, No.13, pp. 71-83
Abstract: Paragraph Headings: 1. Introduction to mortgage contract terms 2. Organization of the paper 3. The spread between FRM and ARM rates 3.1. Risk 3.2. Expected future rates 3.3. Clientele effects 4. The theoretical role of expectations 4.1. Widespread applications of expectations and subjective probabilities 5. Data and results 6. Analysis 6.1. Does the direction of the changes in the spread affect results? 7. Conclusions Tables: 1. Simple regression results Figures: 1. Rate spread (FRM-ARM) 2. The FRM-ARM spread as a predictor of the forward T-bill rate (3 months ahead) 3. The FRM-ARM spread as a predictor of the forward T-bill rate (6 months ahead) 4. The FRM-ARM spread as a predictor of the forward T-bill rate (9 months ahead) 5. The FRM-ARM spread as a predictor of the forward T-bill rate (12 months ahead)