Achord, Samuel; Risbjerg, Lars; Autrup, Søren Lejsgaard; … - 2021
Increases in long-term interest rates such as in 2021 entail a jump in the duration of Danish long-term mortgage bonds via an embedded prepayment option. The jump in duration may lower the demand for duration and thus longterm bonds. This may lead to selfreinforcing effects. Jumps in duration in...