Title
Determinants Of Mortgage Interest Rates: Treasuries Versus Swaps
Keywords
LIBOR swap rate; Mortgage rate determinants; Swap derivatives; Treasury rate
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.
Publication Date
1-1-2015
Publication Title
Journal of Real Estate Finance and Economics
Volume
50
Issue
1
Number of Pages
34-51
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1007/s11146-013-9445-9
Copyright Status
Unknown
Socpus ID
84921284066 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/84921284066
STARS Citation
Sirmans, C. Stace; Smith, Stanley D.; and Sirmans, G. Stacy, "Determinants Of Mortgage Interest Rates: Treasuries Versus Swaps" (2015). Scopus Export 2015-2019. 751.
https://stars.library.ucf.edu/scopus2015/751