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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- 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 340-361, June.
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