Financial incentive to prepay in fixed-rate mortgages

Román Ferrer, Cristóbal González, Maria Paz Jordá
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Abstract

The borrower's financial incentive to prepay is a crucial determinant in estimating prepayment in mortgage pools and, consequently, in valuing mortgage-backed securities. In mortgage prepayment literature, this incentive to prepay has been proxied by both the ratio of the loan rate to the refinancing rate and by the arithmetic spread between the two rates; however, the former is considered to be a better proxy of the refinancing incentive than the latter by a section of the literature. In this paper, the authors check the accuracy of that statement and subsequently estimate two prepayment functions using, alternatively, the two proxies. The results indicate that the use of the ratio does not improve the estimates obtained using the arithmetic spread. Copyright © 2004 Henry Stewart Publications
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提前支付固定利率抵押贷款的财务激励
借款人提前还款的财务动机是估算抵押贷款池中提前还款的关键决定因素,因此,在评估抵押贷款支持证券时也是如此。在抵押贷款提前支付的文献中,这种提前支付的激励由贷款利率与再融资利率的比率以及两者之间的算术价差来代表;然而,前者被认为是一个更好的代理再融资激励比后者的一部分文献。在本文中,作者检查了该声明的准确性,并随后使用两个代理来估计两个提前支付函数。结果表明,该比率的使用并不能改善使用算术扩展得到的估计。版权所有©2004 Henry Stewart Publications
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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