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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