家庭利率風(fēng)險管理外文翻譯-文庫吧
2025-04-17 03:57 本頁面
【正文】 . While this is a simplification from actual FRMs offered in the United States, it captures the essence that the present value of the FRM payments is subject to interest rate risk. To keep the model tractable, I abstract from a prepayment option and declining maturity for FRMs. The parameter values for the asset price dynamics are calibrated to . data and partially based on estimates by De Jong, Driessen and Van Hemert (2020). In accordance with Brennan and Xia (2020) and Campbell and Viceira (2020), the mean reversion in the real interest rate is found to be faster than the mean reversion in the expected inflation rate. I show that this implies that a portfolio consisting of a positive position in a shortterm bond and a negative position in a longterm bond can be constructed with the property that it has a negative exposure to real interest rate shocks and a zero exposure to expected inflation rate shocks. The most novel insights e from the optimal portfolio choice over the life cycle. In the first 10 years of adult life, investors have very little wealth pared to the value of their human capital. This creates a desire to leverage risk taking in the financial portfolio, and borrowing and shortsale restrictions are binding. On the asset side of the household balance sheet the investor prefers to predominantly invest in the assets with the highest associated risk premium, which are stocks. On the liability side of the household balance sheet— if the investors owns a house— he or she optimally finances the house with an ARM and thereby saves on the bond risk premium associated with an FRM. An investor who suboptimally chooses to finance his or her house with an FRM incurs large utility losses. The investor chooses the maximum allowed mortgage loan size to obtain the highestpossible leverage. As the investor approaches his or her 40s, the financial portfolio still consists mainly of stocks, but there is also a small holding of 10year bonds. This 10year bond position hedges against real interest rate changes. The expected real return on housing and financial wealth equals the real interest rate plus a constant risk premium, hence the real interest rate summarizes the investment opportunities. The investor prefers the 10year bond to the 3year bond for this hedge because it has a higher risk premium. As more wealth is accumulated between age 40 and 65 and human capital is further capitalized, the hedge demand against falling real interest rates increase s and the desire for a leveraged stock exposure decreases. For a more risktolerant investor, this results in increasing 10year bond holdings. In contrast, a more riskaverse investor gradually switches to 3year bonds between age 55 and 65. The reason for this difference is two fold. First the more risktolerant investor is more willing to bear the expected inflation risk of the 10year bond and thereby reap the associated risk premium. Second, a more risktolerant investor has larger stock holdings, leaving her with less financial wealth to construct a hedge portfolio against falling interest rates, which in turn induces her to invest in the bond with the largest exposure to real interest rate, which is the 10year bond. Interestingly, the 10year bond position for a more riskaverse investor bees negative around the retirement age of 65, meaning no longer a pure ARM is optimal, but the investor prefers a hybrid mortgage. The reason is that a position in shortterm bonds together with a FRM provides a real interest rate hedge, without exposing the investor to inflation risk. That is, the inflation risk of the (po
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