Mortgage Risk and the Yield Curve

• 成果类型: Article
• 署名作者: Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; Venter, Gyuri
• 署名单位: Bank for International Settlements (BIS); University of London; London School Economics & Political Science; Copenhagen Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw003
• 发表日期: 2016
• 页码: 1220
• 关键词: term structure; BACKED SECURITIES; valuation; PREPAYMENT

摘要

We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory in nature; and (3) MBS convexity increases interest rate volatility, and this effect has a hump-shaped term structure.