| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1525 |
| 来源ID | Working Paper 1525 |
| Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages | |
| Stephen A. Buser; Patric H. Hendershott; Anthony B. Sanders | |
| 发表日期 | 1984-12-01 |
| 出版年 | 1984 |
| 语种 | 英语 |
| 摘要 | A model is developed and utilized in this paper to value a life of loan interest rate cap on an ARM that reprices monthly. The value of the cap is seen to depend importantly on both the slope of the term structure and the variance of the one month rate. However, the cap value is not sensitive to the source of the slope of the term structure -- what precise combination of interest rate expectations and risk aversion determined the slope. This insensitivity is fortunate because of the great difficulty of knowing at any point in time why the term structure is what it is. Given the variation in the slope of the term structure and the variance of the one month rate that occurred over the 1979-84 period, the addition to the coupon rate on a one-month ARM that lenders should have charged for a 5 percent life of loan cap has ranged from 5 to 40 basis points. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w1525 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558762 |
| 推荐引用方式 GB/T 7714 | Stephen A. Buser,Patric H. Hendershott,Anthony B. Sanders. Pricing Rate Caps on Default-Free Adjustable-Rate Mortgages. 1984. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1525.pdf（185KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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