An Empirical Analysis of Differential Price Movements in Gnma Pass-Through Security and Government Bond Markets

The 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.

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 dc:creator

• Heuson, Andrea Jane

• Business Administration, Banking

Identifier

(UMI)AAI8302880

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/71509