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Mortgagor behavior and prepayment models

By 1969- Mario Bonilla


We measure the efficiency of mortgagors over time and the implications that this increased efficiency may have on prepayments. The problem was approached using two methodologies: a) econometric techniques to measure the refinancing incentive elasticity of prepayments and b) simulations based on a model of the refinancing incentive using system dynamics modeling. The results suggest that there is a structural change in the prepayment function used in the study over a period of 6 years. However, the results of the simulations model play down the effects that increased mortgagor efficiency may have on prepayments and reaffirms the effect of a sustained downward drift of the mortgage rate as the most important prepayment rates explanatory Mario Bonilla.Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.Includes bibliographical references (leaf 46)

Topics: Sloan School of Management.
Publisher: Massachusetts Institute of Technology
Year: 2003
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Provided by: DSpace@MIT
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