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Mortgage Risk and the Yield Curve
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| Other Authors: | Mueller, Philippe [Other] • Vedolin, Andrea [Other] • Venter, Gyuri [Other] |
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| Type of Resource: | E-Book |
| Language: | English |
| published: |
[S.l.]
SSRN
[2016]
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| 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 |
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| 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 |