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

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Author Info
James B. Kau () (Department of Real Estate University of Georgia Athens, Georgia 30602)
Thomas M. Springer () (College of Business Florida Atlantic University University Tower 220 SE 2nd Avenue Fort Lauderdale, Florida 33301)

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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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Publisher 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
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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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Find related papers by JEL classification:
L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. 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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. Green, Jerry & Shoven, John B, 1986. "The Effects of Interest Rates on Mortgage Prepayments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 41-59, February. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. 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. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  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. [Downloadable!]
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