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| The Determinants of GNMA Prepayments: A
Pool-by-Pool Analysis Author: Nelson J. Lacey and Nikolaos T. Milonas Start Page: 21 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. |
