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Most of the bias stemmed on the higher coupon mortgage loans topic to help you really serious burnout outcomes

Most of the bias stemmed on the higher coupon mortgage loans topic to help you really serious burnout outcomes

(a dozen.) Particularly, additional percentages away from mortgagors can be classified as quickly otherwise slow since the hidden volatility of mortgages over time (so the prepayment choice philosophy and you may optimal produce pricing) is believed to-be additional.

Evaluation of those hypotheses are left in order to upcoming research

(thirteen.) And additionally instead of new 1984-1988 period results where in actuality the rates-processes model over priced GNMAs because of the an average 0.03%, which had been statistically insignificant of 0 (t= 0.11), an average fee mistake otherwise bias of your unadjusted model over the fresh 1990-1996 period is -step 1.03%, that has been statistically extreme out-of 0 (t= – six.30).