The Determinants of GNMA Prepayments: A Pool-by-Pool Analysis

Nelson J. Lacey and Nikolaos Milonas
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Nelson J. Lacey: Department of General Business & Finance School of Management University of Massachusetts, Amherst Amherst, 01003, http://www.som.umass.edu/som/academic/dept/finance/

Journal of Real Estate Research, 1989, vol. 4, issue 2, 21-32

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.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1989
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