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The terminations premium in mortgage coupon rates : evidence on the integration of mortgage snd bond markets

Hendershott, Patric H.; Villani, Kevin E. - 1981

Persistent link: https://www.econbiz.de/10002770973

The Terminations Premium in Mortgage Coupon Rates : Evidence on the Integration of Mortgage and Bond Markets

Hendershott, Patric H. - 1981

During the Last three years mortgage rates have risen relative to yields on comparable maturity bonds. The questions … between early 198 and early 1981 in coupon rates on GNMA mortgage pools relative to ''the" rate on a comparable portfolio of … Treasury bonds to be about 100 basis points. We attribute the increase to a rise in the terminations premia built into mortgage …

Persistent link: https://www.econbiz.de/10012478377

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

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

Risk shocks and housing markets

Dorofeenko, Victor; Lee, Gabriel S.; Salyer, Kevin Duff - 2010

Persistent link: https://www.econbiz.de/10008650496

Risk shocks and housing markets

Dorofeenko, Viktor; Lee, Gabriel S.; Salyer, Kevin Duff - 2010

This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a...

Persistent link: https://www.econbiz.de/10009733806