家庭利率風(fēng)險管理外文翻譯

1、<p>　　本科畢業(yè)論文外文翻譯</p><p>　　外文題目： Household Interest Rate Risk Management </p><p>　　出 處： REAL ESTATE ECONOMICS

2、 </p><p>　　作 者： Otto Van Hemert </p><p><b>　　原 文：</b></p><p>　　I investigate househ

3、old 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 bon

4、d 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 chan

5、ges in the real interest rate, while the</p><p>　　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 mor

6、tgage 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

7、the question of how to optimally invest in financial assets, including the mortgage and bond portfolio choice.</p><p>　　To this end I study a dynamic life-cycle model where investors optimize over the housi

8、ng 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 an

9、d 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 the</p><p>　　Seco

10、nd, this article follows Campbell and Viceira (2001) and Brennan and Xia (2002) by incorporating bonds in the financial portfolio. Nominal bonds are priced by a two-factor model for the term structure of interest rates w

11、ith expected inflation and real interest rate as factors. Unlike Campbell and Viceira (2001) and Brennan and Xia (2002), I model labor income, housing and mortgages, and I am therefore able to study the life-cycle patter

12、n in households’ interest rate risk management and the o</p><p>　　The parameter values for the asset price dynamics are calibrated to U.S. data and partially based on estimates by De Jong, Driessen and Van H

13、emert (2007). In accordance with Brennan and Xia (2002) and Campbell and Viceira (2001), the mean reversion in the real interest rate is found to be faster than the mean reversion in the expected inflation rate. I show t

14、hat this implies that a portfolio consisting of a positive position in a short-term bond and a negative position in a long-term bond can be</p><p>　　The most novel insights come from the optimal portfolio ch

15、oice over the life cycle. In the first 10 years of adult life, investors have very little wealth compared to the value of their human capital. This creates a desire to leverage risk taking in the financial portfolio, and

16、 borrowing and short-sale 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.

17、On</p><p>　　As the investor approaches his or her 40s, the financial portfolio still consists mainly of stocks, but there is also a small holding of 10-year bonds. This 10-year bond position hedges against r

18、eal 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 in

19、vestor prefers the 10-year bond to the 3-year bond for this hedge because it has a hi</p><p>　　As more wealth is accumulated between age 40 and 65 and human capital is further capitalized, the hedge demand a

20、gainst falling real interest rates increases and the desire for a leveraged stock exposure decreases. For a more risk-tolerant investor, this results in increasing 10-year bond holdings. In contrast, a more risk-averse i

21、nvestor gradually switches to 3-year bonds between age 55 and 65. The reason for this difference is two fold. First the more risk-tolerant investor is more willing to b</p><p>　　At the end of the life cycle,

22、 before an investor sells his or her house, the correlation between bond and housing returns induces a positive hedge demand for 10-year bonds and a negative hedge demand for 3-year bonds. Short-sale constraints prevent

23、an investor to take the opposite hedge demand at the start of the life cycle, when the investor expects to enter the housing market in the near future. </p><p>　　It is interesting to compare the optimal asse

24、t allocation implied by the model with empirical bond and mortgage choice in the United States. First, the model implication that an ARM is preferred in most cases is in contrast with a historical average ARM share of 28

25、.7% in the United States, but resonates with critical statements by Greenspan (2004), former Chairman of the Federal Reserve. Second, the model rationalizes that in reality many investors hold both a long and short posit

26、ion in fixed-in</p><p>　　To the best of my knowledge, no other article studies life-cycle asset allocation, taking into account both the mortgage and bond portfolio choice. Campbell and Cocco (2003) focus on

27、 mortgage choice and stress the trade-off between the wealth risk of an FRM and the income risk of ARM. My mortgage analysis differs from Campbell and Cocco (2003) in several important ways. I study mortgage choice as in

28、tegral part of the overall household asset allocation problem. Unlike Campbell and Cocco (2003), I</p><p>　　De Jong, Driessen and Van Hemert (2007) assume (i) utility of terminal wealth, (ii) no labor income

29、 and (iii) fixed housing investment. This article provides a richer setup by examining a life-cycle setting with stochastic labor income, which allows me to uncover the life-cycle pattern in the optimal portfolio choice,

30、 including the mortgage choice. In contrast to both Campbell and Cocco (2003) and De Jong, Driessen and Van Hemert (2007), I model the housing tenure and house size choice and there</p><p>　　A homeowner can

31、choose between an ARM, a FRM and a hybrid mortgage which is a combination of an ARM and an FRM.I model an ARM (FRM) as a short position in cash (10-year bond). Doing so, I implicitly make two simplifying assumptions. Fir

32、st, I abstract from the prepayment option that is associated with FRMs in some countries, most notably the United States. Second, I equate the borrowing and lending rate. Because defaults do not occur in my model, this

33、assumption can be interpreted as implicitly </p><p>　　It is interesting to compare the above results with the empirical asset allocation in the United States. In the model, the ARM is the preferred mortgage

34、contract in most cases. This contrasts the reality in the United States, where the FRM is the dominant mortgage type, but it resonates with the critical speech by Greenspan (2004) in which he terms the FRM an expensive m

35、ethod of financing a home. A further discussion and a computation of the utility cost of suboptimal mortgage choice are postpon</p><p>　　Conclusion</p><p>　　In this article I investigated optima

36、l household interest rate risk management. I solved a life-cycle asset allocation model that includes mortgage and bond portfolio choice. Investors finance the purchase of a house with an ARM or a (nominal) FRM. I showed

37、 that in most cases the ARM is the preferred mortgage contract. Only older, risk-averse investors hold some FRM debt. Together with a short-term bond position, the fixed-rate debt allows the investor to hedge against cha

38、nges in the real intere</p><p>　　譯 文： 家庭利率風(fēng)險管理</p><p>　　筆者通過了解一個生命周期資產(chǎn)模型的配置, 探討家庭利率風(fēng)險管理，從而來選擇按揭和債券投資組合。筆者發(fā)現(xiàn)大部分投資者更喜歡的是可調(diào)整利率抵押貸款,這可以節(jié)省固定利率抵押貸款中的風(fēng)險溢價。站在短期債券的立場，考慮通貨膨脹會影響實(shí)際利率的變化，因此年紀(jì)較大，風(fēng)

39、險厭惡的投資者會持有的一些固定利率抵押貸款的債券。這些可能在生命周期結(jié)束時發(fā)生套期保值與債券價格變動。</p><p>　　每個家庭面對利率風(fēng)險都會持有一些金融頭寸，為了籌措購買房子的資金，家庭通常采取按揭貸款，是指以一定的短期利率每月支付還款費(fèi)用。此外，許多家庭持有債券，直接和間接的退休金帳戶。本文討論了如何以最佳方式投資于金融資產(chǎn)，包括抵押貸款和債券投資組合選擇問題。</p><p>

40、　　為此，筆者研究動態(tài)生命周期模式來優(yōu)化住房和投資組合的選擇。筆者結(jié)合兩個證券股中的主要模式特點(diǎn)進(jìn)行選擇，首先，筆者跟隨科軻（2005）和姚明和張（2005）明確房屋建模的決定，并結(jié)合勞動收入為主的住戶從住房和其它消費(fèi)商品獲得投資工具，通過租賃或擁有房子獲取住房服務(wù)。投資者可以改變住房使用權(quán)和交易成本，導(dǎo)致房子價值經(jīng)常變化。房子和人力資本對投資者的意愿和能力在參與他們的金融投資組合時產(chǎn)生很大的影響。科軻（2005）和姚明和張（2005）

41、假設(shè)利率不變，不考慮債券，不允許選擇不同的抵押貸款。然而，這些研究沒有解決家庭利率風(fēng)險管理。</p><p>　　其次，這篇文章如坎貝爾和萬斯勒（2001）和布倫南，夏（2002）引入金融債券的投資組合。名義債券的定價由預(yù)期通貨膨脹和實(shí)際利率雙因素構(gòu)成。不同于坎貝爾和萬斯勒(2001)和布倫南、夏(2002),筆者通過勞動收入、住房和抵押貸款建立模型,研究生命周期模式在家庭的利率風(fēng)險管理和最優(yōu)抵押組合的選擇。租房

42、者選擇如何分配財政財富到股票,3年期債券,10年期債券和流動現(xiàn)金。房主可以選擇按揭種類和規(guī)模，按揭貸款種類可選可調(diào)利率抵押貸款，固定利率抵押貸款，或是混合抵押貸款，所以房主可以調(diào)整他們的貸款類型和規(guī)模使得費(fèi)用減少。ARM是被建模為一個消極的現(xiàn)金頭寸，F(xiàn)RM被建模為一個消極的10年期國債頭寸。這些是來自美國的實(shí)際財政資源管理處提供的，它抓住的本質(zhì)是FRM的付款現(xiàn)值是受利率風(fēng)險支配。為了保持模型易處理，筆者從預(yù)付選項(xiàng)和下降的FRM中提取。&

43、lt;/p><p>　　美國數(shù)據(jù)對資產(chǎn)價格動態(tài)參數(shù)值將由德容，德里森和凡漢馬特（2007年）估計。按照布倫南和夏（2002）和坎貝爾和萬斯勒（2001）的規(guī)定，在實(shí)際利率回歸比預(yù)期的通貨膨脹率回歸速度更快，然而研究表明，短期債券的積極立場和長期債券的消極立場，可以應(yīng)對負(fù)實(shí)際利率風(fēng)險帶來的沖擊和預(yù)期通脹率下降的沖擊。</p><p>　　成年生活的前10年，投資者相比于人力資本價值，財富較少，這

44、主要是對金融投資組合風(fēng)險的考慮，以及借貸和賣空限制的約束力。家庭資產(chǎn)負(fù)債表的主要投資者會選擇投資風(fēng)險溢價最高的，例如股票。資產(chǎn)負(fù)債表負(fù)債方，如果擁有一所房子，他們運(yùn)用ARM來優(yōu)化財政，從而避免了FRM與相關(guān)聯(lián)的風(fēng)險帶來的損失。投資者以獲取最高可能利用的價值來選擇按揭貸款的規(guī)模。</p><p>　　當(dāng)投資者接近40歲，金融投資組合仍然是以股票為主，但也會擁有少量10年期債券。因?yàn)?0年期債券頭寸可以應(yīng)對實(shí)際利率的

45、變化。住房和金融財富的實(shí)際回報率等于實(shí)際利率加上風(fēng)險溢價，因而實(shí)際利率總結(jié)了投資機(jī)會。投資者比較喜歡10年期的債券對沖3年期的債券，因?yàn)樗哂懈叩娘L(fēng)險溢價。</p><p>　　更多的財富積累集中于40歲和65歲之間，人力資本的積累是利用對實(shí)際利率下降的考慮和套期保值的需求。對于更多的風(fēng)險偏好者，會增加10年期債券持有。相反，年齡在55歲和65歲之間，更多的風(fēng)險厭惡者持有3年期債券，造成這種差別的原因是雙重的。

46、首先，更多的風(fēng)險偏好投資者更愿意承擔(dān)10年期債券的預(yù)期通貨膨脹風(fēng)險，從而獲得相關(guān)的風(fēng)險溢價。第二，風(fēng)險偏好投資者持股較大，以較少的金融財富構(gòu)建一個對沖組合來應(yīng)對利率下降，這反過來10年期國債又引起投資者在債券投資時遇到實(shí)際利率。一個65歲的退休年齡厭惡風(fēng)險討厭10年期債券，這意味著ARM不在是最優(yōu)的，投資者更傾向于一種混合貸款。因?yàn)樵诙唐趥cFRM的共同立場為貸款提供了一個實(shí)際利率對沖，不需要投資者應(yīng)對通脹風(fēng)險。因此名義債券頭寸和名義

47、抵押貸款頭寸中的通脹風(fēng)險被抵消掉了。</p><p>　　在生命周期結(jié)束，投資者出售他們的房子之前，債券之間的交互作用和住房的回歸導(dǎo)致對10年期債券的積極套期保值需求和3年期債券的消極套期保值需求。賣空限制防止投資者預(yù)期進(jìn)入住房市場生命周期時采取相反的套期保值需求。</p><p>　　在美國比較理想的資產(chǎn)配置是通過實(shí)證債券和抵押貸款模型選擇。首先，在大多數(shù)情況下ARM是首選的，占到了歷史

48、平均28.7％。其次，在現(xiàn)實(shí)中許多投資者同時擁有兩種長期和短期的固定利率證券。長期的證券是由典型的債券組成，直接或間接持有的退休金帳戶，而短期的證券主要是按揭貸款。第三，美國年輕投資者更喜歡采用ARM。</p><p>　　據(jù)我所知，研究生命周期的資產(chǎn)配置，沒有其他文章同時考慮到抵押貸款和債券投資組合的選擇。坎貝爾和科軻（2003）側(cè)重于按揭貸款的選擇和強(qiáng)調(diào)FRM的財富風(fēng)險和ARM的收入風(fēng)險之間的平衡。筆者的按揭

49、分析在幾個重要方面不同于坎貝爾和科軻（2003）。筆者主要研究按揭貸款作為整個家庭資產(chǎn)配置的重要部分。筆者主要從股票，債券和住房分配模型和實(shí)際利率持續(xù)性變動的考慮。而坎貝爾和科軻（2003）僅考慮持續(xù)變動的預(yù)期通脹。研究表明，最優(yōu)抵押貸款類型對實(shí)際利率的套期保值有重要意義。此外，筆者在研究最佳抵押貸款規(guī)模，同時考慮到股票和債券所需的資金。德容，德里森的和凡漢馬特（2007）研究房屋期貨和次優(yōu)抵押貸款帶來的福利損失和收益的選擇時提出三個假

50、設(shè)。第一，終端財富效用，第二，無勞動收入，第三，固定住房的投資。這篇文章通過審查生命周期提供設(shè)定的勞動收入選擇生命周期模式。相反，對比于坎貝爾和科軻（2003）和德容，德里森和凡漢馬特（2007），筆者塑造住房使用權(quán)和房屋大小的選擇，認(rèn)為住房財富可以作為按揭貸款抵押品。</p><p>　　房主可以選擇ARM，F(xiàn)RM和混合按揭。塑造ARM(FRM)作為一個空頭頭寸以現(xiàn)金支付10年期債券。筆者提出兩個假設(shè)：首先，F(xiàn)

51、RM與一些預(yù)付選項(xiàng)相關(guān)；其次，借款和貸款利率。由于違約不發(fā)生在筆者的模型中，這個假設(shè)可以解釋為等同銀行的利潤率對抵押貸款債務(wù)的政府補(bǔ)貼。</p><p>　　在筆者構(gòu)建的模型中，抵押合同主要是采用ARM，在美國則相反，現(xiàn)實(shí)的抵押貸款類型主要采用FRM。通過兩者的比較認(rèn)為美國年輕的投資者采用ARM,因?yàn)槟贻p業(yè)主有很大的人力資本和冒險獲得財富的欲望，利用相關(guān)的風(fēng)險溢價，而ARM符合這方面的要求。年長的業(yè)主更關(guān)心實(shí)際利

52、率風(fēng)險對他們積累的財富產(chǎn)生的不利影響。而FRM能夠使短期的國債對抗利率下降的風(fēng)險；此外，許多投資者同時持有退休金帳戶FRM的債券和短期房產(chǎn)的FRM債券。</p><p>　　通過對最佳家庭利率風(fēng)險管理的調(diào)查，解決了一個生命周期的資產(chǎn)配置模式，其中包括抵押貸款和債券投資組合的選擇。投資者提供經(jīng)費(fèi)使用ARM或者 FRM購房，筆者認(rèn)為在大多數(shù)情況下，首選以ARM的抵押合同。只有年紀(jì)較大，風(fēng)險厭惡的投資者持有的一些FRM

53、的債務(wù)。因?yàn)榧由隙唐趥^寸，固定利率債券允許投資者的實(shí)際利率變化進(jìn)行套期保值，而通脹帶來的風(fēng)險是零風(fēng)險。在生命周期中，抵押貸款和債券投資組合的最佳選擇，受房屋價格變動對套期保值需求的影響。文章并沒有明確的投資機(jī)會集合或勞動收入的資料，可能會引起一些FRM的控股模型的異質(zhì)性。凡漢馬特和凡尼爾本富（2009）從理論上證明選擇FRM的名義債券的風(fēng)險溢價較低時，更具吸引力。按揭之間的不同類型的選擇首先一個不同的利率產(chǎn)品之間的選擇，因此，應(yīng)結(jié)合