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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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  • Nelson J. Lacey & Nikolaos T. Milonas, 1989. "The Determinants of GNMA Prepayments: A Pool-by-Pool Analysis," Journal of Real Estate Research, American Real Estate Society, vol. 4(2), pages 21-32.
    • Handle: RePEc:jre:issued:v:4:n:2:1989:p:21-32
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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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