Interest Rate Risk, Residential Mortgages and Financial Futures Markets
研究了美国住宅抵押贷款市场中的利率风险能否通过金融期货市场有效转移，实证表明现有期货合约可大幅转移风险，使长期固定利率抵押贷款在利率波动下仍可行。
Residential mortgage markets in both the United States and Canada have recently been dominated by instruments such as variable‐rate and short‐term rollover mortgages which require borrowers to assume a greater burden of interest rate risk. An outstanding question is whether this approach to risk allocation is Pareto optimal or whether there are other more effective methods of dealing with the risk created by interest rate volatility. This study examines the potential for shifting this risk from the mortgage market to the financial futures market. After considering the rationale for expecting that neither mortgage borrowers nor lenders wish to absorb the high levels of risk present in the existing financial environment, this study discusses the hedging of interest rate risk through financial futures markets. Empirical tests are then performed to evaluate the effectiveness of U.S. futures markets for hedging positions from the U.S. mortgage market. These results indicate that the interest rate risk inherent in residential mortgages can be substantially shifted through one or more positions in the existing futures contracts and long‐term, fixed‐rate mortgages may still be financially feasible under conditions of interest rate volatility.