Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

被引：23
|
作者：
Chernov, Mikhail [1 ,2 ,3 ]
Dunn, Brett R. [1 ]
Longstaff, Francis A. [1 ,3 ]
机构：
[1] Univ Calif Los Angeles, Anderson Sch, 110 Westwood Plaza, Los Angeles, CA 90095 USA
[2] NBER, Cambridge, MA 02138 USA
[3] CEPR, Washington, DC USA
来源：
REVIEW OF FINANCIAL STUDIES | 2018年 / 31卷 / 03期
关键词：
TERM STRUCTURE; RESIDENTIAL MORTGAGES; DEFAULT RISK; CREDIT RISK; MARKET; MODEL; MBS; HETEROGENEITY; PURCHASES; CONTRACTS;
D O I：
10.1093/rfs/hhx140
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-backed security prices. 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.
引用
收藏
页码：1132 / 1183
页数：52
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