TY  - JOUR
AU  - Hendershott,Patric H.
AU  - Order,Robert Van
TI  - Integration of Mortgage and Capital Markets and the Accumulation of     Residential Capital
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2847
PY  - 1989
Y2  - December 1989
UR  - http://www.nber.org/papers/w2847
L1  - http://www.nber.org/papers/w2847.pdf
N1  - Author contact info:
Patric H. Hendershott
Fisher Hall
Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 218/963-1393
Fax: 218/963-9484
E-Mail: hendershott.2@osu.edu
AB  - 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.
ER  -