G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w1525
来源IDWorking 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
URLhttps://www.nber.org/papers/w1525
来源智库National Bureau of Economic Research (United States)
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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.
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