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An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model

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Abstract

This paper develops a model that examines the financial and nonfinancial prepayment of GNMA securities. A varying coefficient model depicts prepayment as a dynamic process, allowing for changes in factors, reflecting differences in time, debt, and borrowers' characteristics. This model provides a means for systematically incorporating hypothesized effects of nonfinancially motivated prepayment while isolating financially induced calls on the debt. Also, the model captures the impact on prepayment of interactions between financial and nonfinancial variables.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol08n01/v08p069.pdf
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Bibliographic Info

Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 8 (1993)
Issue (Month): 1 ()
Pages: 69-86

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Handle: RePEc:jre:issued:v:8:n:1:1993:p:69-86

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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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  1. Schwartz, Eduardo S & Torous, Walter N, 1989. " Prepayment and the Valuation of Mortgage-Backed Securities," Journal of Finance, American Finance Association, vol. 44(2), pages 375-92, June.
  2. Shoven, John & Green, Jerry, 1986. "The Effects of Interest Rates on Mortgage Prepayments," Scholarly Articles 3204664, Harvard University Department of Economics.
  3. Quigley, John M, 1987. "Interest Rate Variations, Mortgage Prepayments and Household Mobility," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 636-43, November.
  4. Wallace, T D & Ashar, V G, 1972. "Sequential Methods in Model Construction," The Review of Economics and Statistics, MIT Press, vol. 54(2), pages 172-78, May.
  5. Dunn, Kenneth B & McConnell, John J, 1981. "Valuation of GNMA Mortgage-Backed Securities," Journal of Finance, American Finance Association, vol. 36(3), pages 599-616, June.
  6. Chester Foster & Robert Order, 1985. "FHA Terminations: A Prelude to Rational Mortgage Pricing," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 13(3), pages 273-291.
  7. Singh, Balvir, et al, 1976. "On the Estimation of Structural Change: A Generalization of the Random Coefficients Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 340-61, June.
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Cited by:
  1. Stephen F. Thode, 2000. "CMOs, Duration Risk and a New Mortgage," Journal of Real Estate Research, American Real Estate Society, vol. 19(1), pages 73-103.

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