What Moves the Mortgage‐Backed Securities Market?
使用1988至2001年月度数据，通过向量自回归模型分析八个经济变量对抵押贷款支持证券超额收益的影响，发现工业产出、新房销售、债券期限溢价等变量显著驱动市场，且担保人风险在监管机构成立后成为重要因素。
Using a vector autoregressive model with monthly data from 1988 through 2001, this study investigates the factors that drive the excess returns on a widely followed mortgage‐backed securities (MBS) index. We find that eight important economic variables (industrial productions, new home sales, bond horizon premium, bond quality premium, mortgage rate, refinancing proxy, general stock market index and world bond market index) appear to move the excess returns on MBS. Impulse response analysis and variance decomposition further indicate a strong dynamic relationship between MBS excess returns and changes in these economic variables. Additional analysis of Freddie Mac and Fannie Mae MBS also indicates that the risk of the MBS guarantor is an important determinant of the MBS return dynamics after the creation of the Office of Federal Housing Enterprise Oversight.