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The Determinants of GNMA Prepayments: A Pool-by-Pool Analysis

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Abstract

This study examines GNMA prepayment determinants as a function of interest-rate factors and the pure aging effect. While we find both interest-rate and age factors to be important, these relationships are not constant across different pools. This suggests that prepayment forecasts need to be made on a pool-by-pool basis. The study also documents a lagged relationship between changing interest rates and prepayment experience, suggesting that the prepayment decision date is made many months before the prepayment recording date.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol04n02/v04p021.pdf
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Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 4 (1989)
Issue (Month): 2 ()
Pages: 21-32

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Handle: RePEc:jre:issued:v:4:n:2:1989:p:21-32

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Web page: http://www.aresnet.org/

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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

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