An Analysis of Financial and Nonfinancial Prepayment of GNMA Securities with a Varying Coefficient Model
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.
Volume (Year): 8 (1993)
Issue (Month): 1 ()
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- 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.
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- 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. Full references (including those not matched with items on IDEAS)
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