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This article investigates the effects of mortgage-backed security (MBS) hedging activity on interest rate volatility and proposes a model that takes these effects into account. An empirical examination suggests that the inclusion of information about MBSs considerably improves model performance...
Persistent link: https://www.econbiz.de/10005743871
Frequently, economic theory places shape restrictions on functional relationships between economic variables. This paper develops a method to constrain the values of the first and second derivatives of nonparametric locally polynomial estimators. We apply this technique to estimate the state...
Persistent link: https://www.econbiz.de/10005720931
Dai and Singleton (2002) and Duffee (2002) show that there is a tension in affine term structure models between matching the mean and the volatility of interest rates. This article examines whether this tension can be solved by an alternative parametrization of the price of risk. The empirical...
Persistent link: https://www.econbiz.de/10005447360
Persistent link: https://www.econbiz.de/10005285370
Although it is well known that appearance-based impressions affect labor market and election outcomes, little is known about the role appearance plays in financial transactions. We address this question using photographs of potential borrowers from a peer-to-peer lending site. Consistent with...
Persistent link: https://www.econbiz.de/10010566670
We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. Comparing the equilibrium house price generated with and without supply constraints in a representative-agent model under irreversibility of housing...
Persistent link: https://www.econbiz.de/10010667178
Although it is well known that appearance-based impressions affect labor market and election outcomes, little is known about the role appearance plays in financial transactions. We address this question using photographs of potential borrowers from a peer-to-peer lending site. Consistent with...
Persistent link: https://www.econbiz.de/10010608008
Persistent link: https://www.econbiz.de/10001772140
Persistent link: https://www.econbiz.de/10010113637
Persistent link: https://www.econbiz.de/10010113755