ISSN:
1573-7179
Keywords:
mortgage securities
;
prepayment
;
stochastic behavior
;
random coefficients
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract Using the Swamy (1970) model for pooled data and a Hildreth and Houck (1968) model for individual securities, this article investigates whether the parameters describing the prepayment behavior of the fixed-rate debt underlying mortgage-backed securities are better estimated as a stochastic behavior. Empirical results indicate that differences between securities are random. The Hildreth and Houck model yields additional information on randomness over time. The use of the aggregate data to estimate prepayment of individual securities, as opposed to use of the prepayment history of the individual security, may yield more reliable results.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00243983
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