Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital
Patric Hendershott and
Robert Van Order
No 2847, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
The securitization of fixed-rate mortgages suggests that the FRA/VA market was fully integrated with capital markets by the early l98Os and that the conventional market moved toward integration during the l98Os. Assuming full integration of FHA/VA5 via the GNMA securitization process, we first estimate equations explaining near-par GNMA prices weekly for the 1981-88 period. The price is then set equal to the new-issue price and, based upon the preferred equation, the perfect-market retail coupon rate is computed. Next we estimate equations (for three year segments of the 1971-88 period) explaining conventional commitment mortgage coupon rates in terms of current and lagged values of this perfect-market coupon rate. Finally, we examine differences between the perfect-market and actual coupon rates and compute the impact of these differences on residential capital accumulation.
Date: 1989-02
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)
Published as Regional Science and Urban Economics, Vol. 19, pp. 189-210, (1989).
Downloads: (external link)
http://www.nber.org/papers/w2847.pdf (application/pdf)
Related works:
Journal Article: Integration of mortgage and capital markets and the accumulation of residential capital (1989) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:2847
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w2847
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().