家庭利率風(fēng)險(xiǎn)管理外文翻譯-文庫吧資料
2025-05-22 03:57本頁面
【正文】 modeling the housing decision and incorporating a stochastic labor ine stream Households derive utility from both housing and other goods consumption. They acquire housing services by either renting or owning the house they live in. Investors can change their housing tenure and size only at a transaction cost, resulting in infrequent, endogenously generated house moves. Both the house and human capital have a major impact on the investor’s willingness and ability to take risk in his or her financial portfolio. Cocco (2020) and Yao and Zhang (2020a,b) assume constant interest rates, do not consider bonds and do not allow for a choice between different mortgage types. Consequently these papers do not address a household’s interest rate risk management. Second, this article follows Campbell and Viceira (2020) and Brennan and Xia (2020) by incorporating bonds in the financial portfolio. Nominal bonds are priced by a twofactor model for the term structure of interest rates with expected inflation and real interest rate as factors. Unlike Campbell and Viceira (2020) and Brennan and Xia (2020), I model labor ine, housing and mortgages, and I am therefore able to study the lifecycle pattern in households’ interest rate risk management and the optimal mortgage choice. Renters choose how to allocate financial wealth to stocks, 3year bonds, 10year bonds and cash. Negative positions are precluded. Homeowners also choose the mortgage type and size. A homeowner may take out a mortgage loan up to the market value of the house minus a down payme nt. I allow for an adjust able rate mortgage (ARM), a fixedrate mortgage (FRM) and a bination of the two (hybrid mortgage). A homeowner can adjust his or her mortgage type and size at zero cost. The ARM is modeled as a negative cash position. The FRM is modeled as a negative position in the 10year bond. 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 mortg
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