家庭利率风险管理[外文翻译].docVIP

本科毕业论文外文翻译 外文题目： Household Interest Rate Risk Management 出 处： REAL ESTATE ECONOMICS 作 者： Otto Van Hemert 原 文： I investigate household interest rate risk management by solving a life-cycle asset allocation model that includes mortgage and bond portfolio choice. I find that most investors prefer an adjustable-rate mortgage and thereby save on the bond risk premium that is contained in fixed-rate mortgage payments. Only older, risk-averse investors hold some fixed-rate mortgage debt. Together with a position in short-term bonds this enables them to hedge against changes in the real interest rate, while the inflation exposure of the debt and bond positions cancel out. Hedging house price changes with bonds only occurs at the end of the life cycle. Early in the life cycle short-sale constraints prevent an effective hedge. Many households have large financial positions that are exposed to interest ate risk. To finance the purchase of a house, households typically take out a mortgage loan, with monthly payments either fixed in nominal terms or tied to the short-term interest rate. In addition, many households hold bonds, both directly and indirectly in a pension account. This article addresses the question of how to optimally invest in financial assets, including the mortgage and bond portfolio choice. To this end I study a dynamic life-cycle model where investors optimize over the housing and portfolio choice. I combine the main model features of two recent strands in the portfolio choice literature. First, I follow Cocco (2005) and Yao and Zhang (2005a,b) by explicitly modeling the housing decision and incorporating a stochastic labor income 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. I