Parameter Stability and the Valuation of Mortgages and Mortgage‐Backed Securities
研究了抵押贷款市场创新带来的模型风险，特别是提前还款函数参数不稳定对资产价值的影响，发现相同激励下不同年份的再融资倾向存在显著差异，导致资产价格发生经济意义上的重大变化。
The recent financial crisis was triggered by large and unexpected losses on mortgages and mortgage‐related securities. Here we examine model risk arising from innovations in mortgage markets and the effect on asset values. In particular, we examine the effect of parameter instability in the prepayment function. Using carefully constructed microdata, we find that the refinancing propensity was greater in 1998 for a 1997 issue given the same incentives, compared to the 1993 performance of a 1992 issue. The associated change in cash flow patterns produces economically significant changes in asset prices. Results are robust to alternative term structure models.