A Variable-Rate Loan-Prepayment Model for Australian Mortgages

John Daniel
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John Daniel: School of Finance and Applied Statistics, Australian National University.

Australian Journal of Management, 2008, vol. 33, issue 2, 277-305

Abstract: This paper is an investigation of Australian mortgage-loan prepayment from a modelling perspective. A prepayment model for loans of mortgage-backed securities is developed specifically for the Australian mortgage market, and then empirically tested using (Reuters) Australian mortgage-backed security data. The model has origins in the variable-rate loan-prepayment models of the U.S., but is designed and developed to take into account the Australian mortgage-market structure. The model proves very successful when tested empirically, and is able to explain the partial-prepayment features of the Australian market as well as full prepayments.

Keywords: PREPAYMENT MODELLING; AUSTRALIAN AND U.S MORTGAGE MARKETS; VARIABLE-RATE LOANS; FIXED-RATE LOANS; MORTGAGE-BACKED SECURITIES; MORTGAGE RATES; PARTIAL PREPAYMENT; INVESTMENTS (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:33:y:2008:i:2:p:277-305

DOI: 10.1177/031289620803300204

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