| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22096 |
| 来源ID | Working Paper 22096 |
| Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities | |
| Mikhail Chernov; Brett R. Dunn; Francis A. Longstaff | |
| 发表日期 | 2016-03-21 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two macroeconomic factors: turnover and rate response. Intuitively, turnover represents prepayments for exogenous reasons like employment-related moves, household income shocks, and foreclosures, while rate response reflects frictions faced by borrowers in refinancing into a lower rate. We find that the empirical turnover and rate response measures are both significantly related to macroeconomic measures, suggesting that these factors represent a source of systematic risk. Consistent with this, we find that implied prepayments are substantially higher than actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We analyze the properties of the prepayment risk premium and find that it is almost entirely due to compensation for turnover risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and the Federal Reserve's Quantitative Easing Programs. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w22096 |
| 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/579770 |
| 推荐引用方式 GB/T 7714 | Mikhail Chernov,Brett R. Dunn,Francis A. Longstaff. Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities. 2016. |
| 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 | ||
| w22096.pdf（411KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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