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Mortgage Risk and the Yield Curve

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Bibliographic Details
Other Authors: Mueller, Philippe [Other] • Vedolin, Andrea [Other] • Venter, Gyuri [Other]
Type of Resource: E-Book
Language: English
[S.l.] SSRN [2016]
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: 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
Item Description: In: The Review of Financial Studies, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 22, 2016 erstellt
Physical Description: 1 Online-Ressource (50 p)
DOI: 10.2139/ssrn.2235592
Access: Open Access