FNMA Auction Results as a Forecaster of Residential Mortgage Yields: Comment
评论了FNMA拍卖结果预测抵押贷款收益率的能力，指出该拍卖本质上是看跌期权市场，拍卖结果理论上并非利率预测，且若期权定价偏低，预测会偏高。
1. lntroduction In a recent issue of this journal Kaufman and Schlagenhauf (KS) [1] report a test of the forecasting ability of FNMA auction results. Specifically, they investigate how well the auctions forecast future yields on mortgages. Their motivation was, evidently, the popular reporting (especially in the Wall Street Journal) that frequently refers to these results as forecasts. KS find that the forecasts are typically biased upward. In this comment we discuss the economics of the FNMA auction and show that the auction is actually a market in put options in which the price (or premium) of the put is fixed and the exercise price of the put is bid competitively. Consequently, the auction results are not, even in theory, forecasts of future interest rates. Moreover, if the price of the put is set below the market equilibrium level for at-the-money options, then forecasts of yields derived from the auction will tend to be high. In the following section we discuss the mechanics of the FNMA auction and its relation to options markets. In sections 3 and 4 we use conventional conclusions from option pricing theory to analyze the theoretical forecasting properties of these markets, and section 5 contains a summary.