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  • Effects of securitization on mortgage yield spreads in Australia

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    66352_1.pdf (76.28Kb)
    Author(s)
    Liu, Benjamin
    Skully, Michael
    Tan, TingYean
    Griffith University Author(s)
    Liu, Benjamin
    Year published
    2010
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    Abstract
    This paper examines effects of securitization and the resulted market structural change on mortgage yield spreads in Australia. Securitization has enabled mortgage corporations (new entrants solely rely on securitization funding) to intensify competition in the mortgage market with traditional lenders from 1994 to 2003. Responding to the heightened competition, banks and building societies largely reduced their yield spreads (from nearly 400 basis points to 150 basis points). However, there is no study to address how and extent securitization contributed to their reductions. Cointegration tests find positive relationships ...
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    This paper examines effects of securitization and the resulted market structural change on mortgage yield spreads in Australia. Securitization has enabled mortgage corporations (new entrants solely rely on securitization funding) to intensify competition in the mortgage market with traditional lenders from 1994 to 2003. Responding to the heightened competition, banks and building societies largely reduced their yield spreads (from nearly 400 basis points to 150 basis points). However, there is no study to address how and extent securitization contributed to their reductions. Cointegration tests find positive relationships between bank and building society yield spreads and market concentration, but negative relationships between their spreads and securitization. These findings are consistent with literature in securitization (e.g., Gorton and Pennacchi, 1995; Kolari et al., 1998) and in the price-concentration relationship (e.g., Berger and Hannan, 1989).
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    Journal Title
    International Research Journal of Finance and Economics
    Volume
    2010
    Issue
    50
    Publisher URI
    http://www.eurojournals.com/irjfe_50_07.pdf
    Copyright Statement
    © 2010 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Applied economics
    Econometrics
    Banking, finance and investment
    Finance
    Publication URI
    http://hdl.handle.net/10072/35670
    Collection
    • Journal articles

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