Mortgage Risk and the Yield Curve
研究了未偿抵押贷款支持证券（MBS）风险对利率水平和波动性的反馈效应，发现MBS久期正向预测债券超额收益，且MBS凸性增加利率波动，影响呈驼峰形期限结构。
We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions that are strongly supported in the data: (1) MBS duration positively predicts nominal and real excess bond returns, especially for longer maturities; (2) the predictive power of MBS duration is transitory in nature; and (3) MBS convexity increases interest rate volatility, and this effect has a hump-shaped term structure. Received November 10, 2014; accepted December 8, 2015 by Editor Robin Greenwood.