Title

Determinants of Mortgage Interest Rates: Treasuries versus Swaps

Authors

Authors

C. S. Sirmans; S. D. Smith;G. S. Sirmans

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

Abbreviated Journal Title

J. Real Estate Financ. Econ.

Keywords

Treasury rate; Mortgage rate determinants; Swap derivatives; LIBOR swap; rate; Business, Finance; Economics; Urban Studies

Abstract

The 10-year Treasury rate has long been considered the primary determinant of 30-year mortgage interest rates. The contemporaneous 10-year LIBOR swap rate is shown to better explain the contemporaneous mortgage rate than the contemporaneous 10-year Treasury rate. This result appears to hold over most of the sample period, 1987-2011, using a variety of statistical tests. Given the long-held belief that the mortgage rate is best explained by the 10-year Treasury rate, this paper makes an important contribution to the literature by demonstrating that the swap rate is superior.

Journal Title

Journal of Real Estate Finance and Economics

Volume

50

Issue/Number

1

Publication Date

1-1-2015

Document Type

Article

DOI Link

http://dx.doi.org/10.1007/s11146-013-9445-9

Language

English

First Page

34

Last Page

51

WOS Identifier

WOS:000348060400002

ISSN

0895-5638

Recommended Citation

"Determinants of Mortgage Interest Rates: Treasuries versus Swaps" (2015). Faculty Bibliography 2010s. 6804.
https://stars.library.ucf.edu/facultybib2010/6804