Using Recurrence Probabilities to Estimate the Volume of Multifamily Mortgage Originations

Center For Policy Research Occasional Paper No. 171

Posted: 27 Jun 1998

See all articles by Robert M. Dunsky

Robert M. Dunsky

Syracuse University - Department of Economics

James R. Follain

Federal Home Loan Mortgage Corporation (FHLMC); National Bureau of Economic Research (NBER)

Jan Ondrich

Syracuse University - Center for Policy Research

Date Written: November 1995

Abstract

This study uses recurrence probabilities to generate forecasts of the volume of multifamily mortgage originations for the period 1992-2002. The approach concentrates on predicting the volume of property sales using the baseline of a multifamily prepayment hazard estimation to generate the predicted cohort-specific proportion of calendar sales in a given year. The forecast for the volume of originations depends strongly on the definition of the relevant mortgage population. A definition that excludes assumptions but otherwise includes all properties selling between 1971 and 1991 in which a first mortgage was used in its acquisition yields a forecast of $47.2 billion for 1997. A more restrictive definition that approximates the pool of loans covered by HMDA leads to a forecast of $23.5 billion for 1997.

JEL Classification: C41, G2, R2

Suggested Citation

Dunsky, Robert M. and Follain, James R. and Ondrich, Jan, Using Recurrence Probabilities to Estimate the Volume of Multifamily Mortgage Originations (November 1995). Center For Policy Research Occasional Paper No. 171, Available at SSRN: https://ssrn.com/abstract=9082

Robert M. Dunsky

Syracuse University - Department of Economics ( email )

Syracuse, NY 13244-1020
United States
Not available (Phone)
Not available (Fax)

James R. Follain (Contact Author)

Federal Home Loan Mortgage Corporation (FHLMC) ( email )

8200 Jones Branch Road
McLean, VA 22101
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Jan Ondrich

Syracuse University - Center for Policy Research ( email )

Maxwell School of Citizenship 426 Eggers Hall
Syracuse, NY 13244
United States

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