An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?
构建了一个两因素抵押贷款定价模型，同时考虑利率和房价变化对提前还款和违约的影响，并用1991-2002年房利美参与凭证数据验证，发现该模型比单因素模型更准确匹配历史数据，且定价更接近市场报价。
This article develops a two-factor structural mortgage pricing model in which rational mortgage-holders choose when to prepay and default in response to changes in both interest rates and house prices. We estimate the model using comprehensive data on the pool-level termination rates for Freddie Mac Participation Certificates issued between 1991 and 2002. The model exhibits a statistically and economically significant improvement over the nested one-factor (interest-rate only) model in its ability to match historical prepayment data. Moreover, the two-factor model produces origination prices that are significantly closer to those quoted in the to-be-announced market than the one-factor model. Our results have important implications for hedging mortgage-backed securities.