A fixed-rate loan prepayment model for Australian mortgages

John Daniel
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John Daniel: School of Finance and Applied Statistics, Australian National University, Australia, john.daniel@anu.edu.au

Australian Journal of Management, 2010, vol. 35, issue 1, 99-112

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 fixed-rate loan prepayment models of the United States, but is designed and developed to take into account the Australian mortgage market structure. The model proves very successful when tested empirically.

Keywords: Australian and US mortgage markets; fixed-rate loans; investments; mortgage rates; mortgage-backed securities; partial prepayment; prepayment modelling; variable-rate loans (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:35:y:2010:i:1:p:99-112

DOI: 10.1177/0312896209358261

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