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Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016

Persistent link: https://www.econbiz.de/10011457153

Macroeocnomic-driven prepayment risk and the valuation of mortage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - 2016 - This revision March 2016

Persistent link: https://www.econbiz.de/10011481947

Household deleveraging and saving rates : a cross-country analysis

Bouis, Romain - 2021

Historically high household debt in several economies is calling for a deleveraging, but according to some economists, this adjustment can slow GDP growth by weighing on consumption. Using a sample of advanced and emerging market economies, this paper finds evidence of a negative relationship...

Persistent link: https://www.econbiz.de/10012796301

Macroeconomic-driven prepayment risk and the valuation of mortgage-backed securities

Chernov, Mikhail; Dunn, Brett R.; Longstaff, Francis A. - In: The review of financial studies 31 (2018) 3, pp. 1132-1183

Persistent link: https://www.econbiz.de/10011925304

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

Chernov, Mikhail - 2016

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

Persistent link: https://www.econbiz.de/10012456578