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University of Illinois at Urbana-Champaign
An Empirical Analysis of Differential Price Movements in Gnma Pass-Through Security and Government Bond Markets
Abstract
dc:descriptionThe Government National Mortgage Association (GNMA) pass-through security is a secondary mortgage market instrument whose Federally-guaranteed cash flows mirror the payments on an underlying pool of government-insured mortgages. Previous studies have attempted to model the pricing of, or determine the appropriate ex ante yield on, the securities, but past research has failed to explain an important characteristic of GNMA pass-throughs. An examination of GNMA prices from an historical perspective indicates that the securities are influenced by factors not found in the market for government bonds with comparable terms to maturity and default risk.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Finance
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2014
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Heuson, Andrea Jane
Subjects
dc:subject × 1Identifiers
dc:identifier.*- Identifier
- (UMI)AAI8302880
- OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/71509