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- W3121940343 abstract "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." @default.
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- W3121940343 date "2017-12-14" @default.
- W3121940343 modified "2023-10-18" @default.
- W3121940343 title "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities" @default.
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- W3121940343 doi "https://doi.org/10.1093/rfs/hhx140" @default.
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