Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
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We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two
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美国国家经济研究局创建时间：
2016-03-01
