An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?
An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?
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双因素抵押贷款估值模型的实证检验：房价有多重要？
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
N. Wallace
中科院分区：
文献类型：
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作者：
Chris Downing;Richard Stanton;N. Wallace
抵押贷款支持证券结构相对简单，且在发生违约时缺乏回收率的不确定性，特别适合开发和测试风险债务估值模型。在本文中，我们开发了一个双因素结构性抵押贷款定价模型，其中理性抵押贷款持有人内生地选择何时提前还款和违约，并受到 i 的约束。终止抵押贷款时应付的显性摩擦（交易成本），ii．外源背景终止，以及 iii．贷款价值比 (LTV) 对提前还款的信用相关影响。我们使用房地美参与证书的池级抵押贷款终止数据来估计模型，发现房价因素对结果的影响在统计和经济上均显着。 MBS 价格的样本外估计产生 5 至 25 个基点之间的期权调整利差，完全在这些证券的报价范围内。
Mortgage-backed securities, with their relative structural simplicity and their lack of recovery rate uncertainty if default occurs, are particularly suitable for developing and testing risky debt valuation models. In this paper, we develop a two-factor structural mortgage pricing model in which rational mortgage-holders endogenously choose when to prepay and default subject to i. explicit frictions (transaction costs) payable when terminating their mortgages, ii. exogenous background terminations, and iii. a credit related impact of the loan-to-value ratio (LTV) on prepayment. We estimate the model using pool-level mortgage termination data for Freddie Mac Participation Certificates, and find that the effect of the house price factor on the results is both statistically and economically significant. Out-of-sample estimates of MBS prices produce option adjusted spreads of between 5 and 25 basis points, well within quoted values for these securities.