Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital
AbstractThe securitization of fixed-rate mortgages suggests that the FRA/VA market was fully integrated with capital markets by the early l98Os and that the conventional market moved toward integration during the l98Os. Assuming full integration of FHA/VA5 via the GNMA securitization process, we first estimate equations explaining near-par GNMA prices weekly for the 1981-88 period. The price is then set equal to the new-issue price and, based upon the preferred equation, the perfect-market retail coupon rate is computed. Next we estimate equations (for three year segments of the 1971-88 period) explaining conventional commitment mortgage coupon rates in terms of current and lagged values of this perfect-market coupon rate. Finally, we examine differences between the perfect-market and actual coupon rates and compute the impact of these differences on residential capital accumulation.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2847.
Date of creation: Feb 1989
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Publication status: published as Regional Science and Urban Economics, Vol. 19, pp. 189-210, (1989).
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Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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- Hendershott, Patric H. & Van Order, Robert, 1989. "Integration of mortgage and capital markets and the accumulation of residential capital," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 19(2), pages 189-210, May.
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- Ambrose, Brent W. & Buttimer, Richard Jr., 2005. "GSE impact on rural mortgage markets," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 35(4), pages 417-443, July.
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