FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W68491586> ?p ?o ?g. }

• W68491586 abstract "We study the feedback from hedging mortgage portfolios on the level and volatility of interest rates. We incorporate the supply shocks resulting from hedging into an otherwise standard dynamic term structure model, and derive two sets of predictions which are strongly supported by the data: First, the duration of mortgage-backed securities (MBS) positively predicts excess bond returns, especially for longer maturities. Second, MBS convexity increases yield and swaption implied volatilities, and this effect has a hump-shaped term structure. Empirically, neither duration, nor convexity are spanned by yield factors. A calibrated version of our model replicates salient features of first and second moments of bond yields" @default.
• W68491586 created "2016-06-24" @default.
• W68491586 creator A5021429856 @default.
• W68491586 creator A5051072140 @default.
• W68491586 creator A5073502211 @default.
• W68491586 creator A5091477686 @default.
• W68491586 date "2013-01-01" @default.
• W68491586 modified "2023-09-27" @default.
• W68491586 title "Mortgage Hedging in Fixed Income Markets" @default.
• W68491586 cites W1517463014 @default.
• W68491586 cites W1541586030 @default.
• W68491586 cites W1575658391 @default.
• W68491586 cites W1832168765 @default.
• W68491586 cites W1997236757 @default.
• W68491586 cites W2005622103 @default.
• W68491586 cites W2051043147 @default.
• W68491586 cites W2064545790 @default.
• W68491586 cites W2076057077 @default.
• W68491586 cites W2112378860 @default.
• W68491586 cites W2133350126 @default.
• W68491586 cites W2135665921 @default.
• W68491586 cites W2140234860 @default.
• W68491586 cites W2150678305 @default.
• W68491586 cites W2152110580 @default.
• W68491586 cites W2154601168 @default.
• W68491586 cites W2171687663 @default.
• W68491586 cites W2182234118 @default.
• W68491586 cites W2947476744 @default.
• W68491586 cites W2980060437 @default.
• W68491586 cites W3022742699 @default.
• W68491586 cites W3023877248 @default.
• W68491586 cites W3121144609 @default.
• W68491586 cites W3121197066 @default.
• W68491586 cites W3121486239 @default.
• W68491586 cites W3121538827 @default.
• W68491586 cites W3121703571 @default.
• W68491586 cites W3122241587 @default.
• W68491586 cites W3122576384 @default.
• W68491586 cites W3122626232 @default.
• W68491586 cites W3122722073 @default.
• W68491586 cites W3123078456 @default.
• W68491586 cites W3123103273 @default.
• W68491586 cites W3123351845 @default.
• W68491586 cites W3123361293 @default.
• W68491586 cites W3123652819 @default.
• W68491586 cites W3123762886 @default.
• W68491586 cites W3124461761 @default.
• W68491586 cites W3124856600 @default.
• W68491586 cites W3125171256 @default.
• W68491586 cites W3125677846 @default.
• W68491586 cites W3126114966 @default.
• W68491586 hasPublicationYear "2013" @default.
• W68491586 type Work @default.
• W68491586 sameAs 68491586 @default.
• W68491586 citedByCount "1" @default.
• W68491586 crossrefType "posted-content" @default.
• W68491586 hasAuthorship W68491586A5021429856 @default.
• W68491586 hasAuthorship W68491586A5051072140 @default.
• W68491586 hasAuthorship W68491586A5073502211 @default.
• W68491586 hasAuthorship W68491586A5091477686 @default.
• W68491586 hasConcept C10138342 @default.
• W68491586 hasConcept C106159729 @default.
• W68491586 hasConcept C120310109 @default.
• W68491586 hasConcept C121332964 @default.
• W68491586 hasConcept C134121241 @default.
• W68491586 hasConcept C149782125 @default.
• W68491586 hasConcept C162324750 @default.
• W68491586 hasConcept C175025494 @default.
• W68491586 hasConcept C176230804 @default.
• W68491586 hasConcept C40753778 @default.
• W68491586 hasConcept C556758197 @default.
• W68491586 hasConcept C61797465 @default.
• W68491586 hasConcept C62520636 @default.
• W68491586 hasConcept C69738904 @default.
• W68491586 hasConcept C72134830 @default.
• W68491586 hasConcept C91602232 @default.
• W68491586 hasConcept C97355855 @default.
• W68491586 hasConceptScore W68491586C10138342 @default.
• W68491586 hasConceptScore W68491586C106159729 @default.
• W68491586 hasConceptScore W68491586C120310109 @default.
• W68491586 hasConceptScore W68491586C121332964 @default.
• W68491586 hasConceptScore W68491586C134121241 @default.
• W68491586 hasConceptScore W68491586C149782125 @default.
• W68491586 hasConceptScore W68491586C162324750 @default.
• W68491586 hasConceptScore W68491586C175025494 @default.
• W68491586 hasConceptScore W68491586C176230804 @default.
• W68491586 hasConceptScore W68491586C40753778 @default.
• W68491586 hasConceptScore W68491586C556758197 @default.
• W68491586 hasConceptScore W68491586C61797465 @default.
• W68491586 hasConceptScore W68491586C62520636 @default.
• W68491586 hasConceptScore W68491586C69738904 @default.
• W68491586 hasConceptScore W68491586C72134830 @default.
• W68491586 hasConceptScore W68491586C91602232 @default.
• W68491586 hasConceptScore W68491586C97355855 @default.
• W68491586 hasLocation W684915861 @default.
• W68491586 hasOpenAccess W68491586 @default.
• W68491586 hasPrimaryLocation W684915861 @default.
• W68491586 hasRelatedWork W1527719432 @default.
• W68491586 hasRelatedWork W1545320907 @default.
• W68491586 hasRelatedWork W1596800487 @default.

• next