The authors find that the use of Treasury securities to hedge mortgage-backed security extension risk may have magnified increases in long-term interest rates after the tightening of monetary policy in early 1994. Substantial increases in the duration of mortgage securities appear to have caused...

Mortgage refinancing activity reached unprecedented high levels during 1990–2001. Using GARCH to control for heteroskedasticity and separating the data into regimes to control for potential structural changes over time, we estimate a model explaining changes in mortgage refinancing activity...