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

被引:37
作者
Boudoukh, J
Whitelaw, RF
Richardson, M
Stanton, R
机构
[1] NYU, STERN SCH BUSINESS, DEPT FINANCE, NEW YORK, NY 10012 USA
[2] NATL BUR ECON RES, CAMBRIDGE, MA 02138 USA
[3] UNIV CALIF BERKELEY, BERKELEY, CA 94720 USA
关键词
D O I
10.1093/rfs/10.2.405
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
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.
引用
收藏
页码:405 / 446
页数:42
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