Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital

38 Pages Posted: 28 May 2004 Last revised: 14 Apr 2021

See all articles by Patric H. Hendershott

Patric H. Hendershott

University of Aberdeen - Centre for Property Research; National Bureau of Economic Research (NBER)

Robert Van Order

Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research

Date Written: February 1989

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.

Suggested Citation

Hendershott, Patric H. and Van Order, Robert, Integration of Mortgage and Capital Markets and the Accumulation of Residential Capital (February 1989). NBER Working Paper No. w2847, Available at SSRN: https://ssrn.com/abstract=447251

Patric H. Hendershott (Contact Author)

University of Aberdeen - Centre for Property Research ( email )

Aberdeen AB24 2UF
Scotland

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Robert Van Order

Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research ( email )

Mailstop 484
8200 Jones Branch Drive
McLean, VA 22102
United States
703-903-2390 (Phone)
703-903-2445 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
28
Abstract Views
810
PlumX Metrics