Using Recurrence Probabilities to Estimate the Volume of Multifamily Mortgage Originations
Center For Policy Research Occasional Paper No. 171
Posted: 27 Jun 1998
Date Written: November 1995
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: Suggested Citation