Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
构建三因子无套利模型，从市场价格中反推出隐含提前还款函数，发现隐含提前还款率高于实际值，表明抵押贷款支持证券价格中包含显著的宏观经济驱动的提前还款风险溢价。
We develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-backed security prices. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and the Federal Reserve’s quantitative easing programs. Received May 10, 2016; editorial decision September 22, 2017 by Editor Stijn Van Nieuwerburgh.