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Mortgage security hedging and the yield curve.

Authors :
Fernald, Julia D.
Keane, Frank
Source :
Quarterly Review (01476580). Summer/Fall94, Vol. 19 Issue 2, p92. 9p. 1 Chart, 8 Graphs.
Publication Year :
1994

Abstract

Reports on the probable magnified increases in long-term interest rates of the use of Treasury securities to hedge mortgage-backed security extension risk. Factors for high interest rates; Treasury yield curve; Mortgage prepayments; Shift in monetary policy.

Subjects

Subjects :
*SECURITIES
*INTEREST rates

Details

Language :
English
ISSN :
01476580
Volume :
19
Issue :
2
Database :
Academic Search Index
Journal :
Quarterly Review (01476580)
Publication Type :
Academic Journal
Accession number :
9411302533