Pricing mortgage-backed securities in a multifactor interest rate environment: A multivariate density estimation approach

• 成果类型: Article
• 署名作者: Boudoukh, J; Whitelaw, RF; Richardson, M; Stanton, R
• 署名单位: New York University; National Bureau of Economic Research; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.2.405
• 发表日期: 1997
• 页码: 405
• 关键词: term structure; PREPAYMENT; valuation

摘要

Multivariate density estimation (MDE) suggests that mortgage-backed security (MBS) prices can be well described as a function of the level and slope of the term structure. We analyze how this function varies across MBSs with different coupons. An important finding is that the interest rate level proxies for the moneyness of the option, the expected level of prepayments, and the average life of the cash flours, while the term structure slope controls for the average rate at which these cash flouts should be discounted. Through the origination and prepayment behavior of mortgages differ substantially across coupons, there remains an unexplained common factor in MBS prices. This factor noes not seem to be related to the usual suspects and therefore Presents a puzzle to financial economists.