Understanding Mortgage Spreads

被引：12

作者：

Boyarchenko, Nina ^{[1
]}

Fuster, Andreas ^{[2
]}

Lucca, David O. ^{[1
]}

机构：

[1] Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA

[2] Swiss Natl Bank, Zurich, Switzerland

来源：

REVIEW OF FINANCIAL STUDIES | 2019年 / 32卷 / 10期

关键词：

BACKED SECURITIES; PREPAYMENT RISK; TERM STRUCTURE; VALUATION; MARKET; LIQUIDITY; LIMITS;

D O I：

10.1093/rfs/hhz004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners' funding costs. We study variation in MBS spreads in the time series and across securities and document that MBS spreads show a pronounced cross-sectional smile with respect to the securities' coupon rates. We present a new pricing model that uses "stripped" MBS prices to identify the contribution of non-interest-rate prepayment risk to spreads and find that this risk explains the smile, whereas the time-series spread variation is mostly accounted for by nonprepayment risk factors.

引用

页码：3799 / 3850

页数：52

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