家庭利率风险管理外文翻译(编辑修改稿)

家庭利率风险管理外文翻译(编辑修改稿)内容摘要：

sitive) nominal bond position and the (negative) nominal mortgage position cancel out. At the end of the life cycle, before an investor sells his or her house, the correlation between bond and housing returns induces a positive hedge demand for 10year bonds and a negative hedge demand for 3year bonds. Shortsale constraints prevent 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. It is interesting to pare the optimal asset 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 % in the United States, but resonates with critical statements by Greenspan (2020), former Chairman of the Federal Reserve. Second, the model rationalizes that in reality many investors hold both a long and short position in fixedine securities. The long position is typically posed of bonds, held either directly or indirectly in a pension account. The short position is the mortgage loan. Third, the results are also consistent with the fact that in the United States young investors are more likely to take an ARM. To the best of my knowledge, no other article studies lifecycle asset allocation, taking into account both the mortgage and bond portfolio choice. Campbell and Cocco (2020) focus on mortgage choice and stress the trade off between the wealth risk of an FRM and the ine risk of ARM. My mortgage analysis differs from Campbell and Cocco (2020) in several important ways. I study mortgage choice as integral part of the overall household asset allocation problem. Unlike Campbell and Cocco (2020), I model the stock, bond and housing allocation. Moreover, Campbell and Cocco (2020) incorporate persistent shocks to the expected inflation only, while I allow for persistent shocks in the real interest rate as well. As I show, hedging real interest rate risk has important implications for the optimal mortgage type. Moreover, I study the optimal mortgage size, taking into account the funds needed for the optimal positions in stocks and bonds. De Jong, Driessen and Van Hemert (2020) study the welfare gain of having access to the recently introduced housing futures and pare this to the welfare loss of suboptimal mortgage choice. De Jong, Driessen and Van Hemert (2020) assume (i) utility of terminal wealth, (ii) no labor ine and (iii) fixed housing investment. This article provides a richer setup by examining a lifecycle setting with stochastic labor ine, which allows me to uncover the lifecycle pattern in the optimal portfolio choice, including the mortgage choice. In contrast to both Campbell and Cocco (2020) and De Jong, Driessen and Van Hemert (2020), I model the housing tenure and house size choice and therefore endogenize the housing wealth available to use as collateral for mortgage loan. A homeowner can choose between an ARM, a FRM and a hybrid mortgage which is a bination of an ARM and an model an ARM (FRM) as a short position in cash (10year bond). Doing so, I implicitly make two simplifying assumptions. First, 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 assumption can be interpreted as implicitly equating a bank’s profit margin to the government subsidy on mortgage debt. It is interesting to pare the above results with the empirical asset allocation。