家庭利率风险管理【外文翻译】.doc

1、本科毕业论文外文翻译外文题目HOUSEHOLDINTERESTRATERISKMANAGEMENT出处REALESTATEECONOMICS作者OTTOVANHEMERT原文IINVESTIGATEHOUSEHOLDINTERESTRATERISKMANAGEMENTBYSOLVINGALIFECYCLEASSETALLOCATIONMODELTHATINCLUDESMORTGAGEANDBONDPORTFOLIOCHOICEIFINDTHATMOSTINVESTORSPREFERANADJUSTABLERATEMORTGAGEANDTHEREBYSAVEONTHEBONDRISKPREMIU

2、MTHATISCONTAINEDINFIXEDRATEMORTGAGEPAYMENTSONLYOLDER,RISKAVERSEINVESTORSHOLDSOMEFIXEDRATEMORTGAGEDEBTTOGETHERWITHAPOSITIONINSHORTTERMBONDSTHISENABLESTHEMTOHEDGEAGAINSTCHANGESINTHEREALINTERESTRATE,WHILETHEINFLATIONEXPOSUREOFTHEDEBTANDBONDPOSITIONSCANCELOUTHEDGINGHOUSEPRICECHANGESWITHBONDSONLYOCCURSAT

3、THEENDOFTHELIFECYCLEEARLYINTHELIFECYCLESHORTSALECONSTRAINTSPREVENTANEFFECTIVEHEDGEMANYHOUSEHOLDSHAVELARGEFINANCIALPOSITIONSTHATAREEXPOSEDTOINTERESTATERISKTOFINANCETHEPURCHASEOFAHOUSE,HOUSEHOLDSTYPICALLYTAKEOUTAMORTGAGELOAN,WITHMONTHLYPAYMENTSEITHERFIXEDINNOMINALTERMSORTIEDTOTHESHORTTERMINTERESTRATEI

4、NADDITION,MANYHOUSEHOLDSHOLDBONDS,BOTHDIRECTLYANDINDIRECTLYINAPENSIONACCOUNTTHISARTICLEADDRESSESTHEQUESTIONOFHOWTOOPTIMALLYINVESTINFINANCIALASSETS,INCLUDINGTHEMORTGAGEANDBONDPORTFOLIOCHOICETOTHISENDISTUDYADYNAMICLIFECYCLEMODELWHEREINVESTORSOPTIMIZEOVERTHEHOUSINGANDPORTFOLIOCHOICEICOMBINETHEMAINMODEL

5、FEATURESOFTWORECENTSTRANDSINTHEPORTFOLIOCHOICELITERATUREFIRST,IFOLLOWCOCCO2005ANDYAOANDZHANG2005A,BBYEXPLICITLYMODELINGTHEHOUSINGDECISIONANDINCORPORATINGASTOCHASTICLABORINCOMESTREAMHOUSEHOLDSDERIVEUTILITYFROMBOTHHOUSINGANDOTHERGOODSCONSUMPTIONTHEYACQUIREHOUSINGSERVICESBYEITHERRENTINGOROWNINGTHEHOUSE

6、THEYLIVEININVESTORSCANCHANGETHEIRHOUSINGTENUREANDSIZEONLYATATRANSACTIONCOST,RESULTINGININFREQUENT,ENDOGENOUSLYGENERATEDHOUSEMOVESBOTHTHEHOUSEANDHUMANCAPITALHAVEAMAJORIMPACTONTHEINVESTORSWILLINGNESSANDABILITYTOTAKERISKINHISORHERFINANCIALPORTFOLIOCOCCO2005ANDYAOANDZHANG2005A,BASSUMECONSTANTINTERESTRAT

7、ES,DONOTCONSIDERBONDSANDDONOTALLOWFORACHOICEBETWEENDIFFERENTMORTGAGETYPESCONSEQUENTLYTHESEPAPERSDONOTADDRESSAHOUSEHOLDSINTERESTRATERISKMANAGEMENTSECOND,THISARTICLEFOLLOWSCAMPBELLANDVICEIRA2001ANDBRENNANANDXIA2002BYINCORPORATINGBONDSINTHEFINANCIALPORTFOLIONOMINALBONDSAREPRICEDBYATWOFACTORMODELFORTHET

8、ERMSTRUCTUREOFINTERESTRATESWITHEXPECTEDINFLATIONANDREALINTERESTRATEASFACTORSUNLIKECAMPBELLANDVICEIRA2001ANDBRENNANANDXIA2002,IMODELLABORINCOME,HOUSINGANDMORTGAGES,ANDIAMTHEREFOREABLETOSTUDYTHELIFECYCLEPATTERNINHOUSEHOLDSINTERESTRATERISKMANAGEMENTANDTHEOPTIMALMORTGAGECHOICERENTERSCHOOSEHOWTOALLOCATEF

9、INANCIALWEALTHTOSTOCKS,3YEARBONDS,10YEARBONDSANDCASHNEGATIVEPOSITIONSAREPRECLUDEDHOMEOWNERSALSOCHOOSETHEMORTGAGETYPEANDSIZEAHOMEOWNERMAYTAKEOUTAMORTGAGELOANUPTOTHEMARKETVALUEOFTHEHOUSEMINUSADOWNPAYMENTIALLOWFORANADJUSTABLERATEMORTGAGEARM,AFIXEDRATEMORTGAGEFRMANDACOMBINATIONOFTHETWOHYBRIDMORTGAGEAHOM

10、EOWNERCANADJUSTHISORHERMORTGAGETYPEANDSIZEATZEROCOSTTHEARMISMODELEDASANEGATIVECASHPOSITIONTHEFRMISMODELEDASANEGATIVEPOSITIONINTHE10YEARBONDWHILETHISISASIMPLIFICATIONFROMACTUALFRMSOFFEREDINTHEUNITEDSTATES,ITCAPTURESTHEESSENCETHATTHEPRESENTVALUEOFTHEFRMPAYMENTSISSUBJECTTOINTERESTRATERISKTOKEEPTHEMODEL

11、TRACTABLE,IABSTRACTFROMAPREPAYMENTOPTIONANDDECLININGMATURITYFORFRMSTHEPARAMETERVALUESFORTHEASSETPRICEDYNAMICSARECALIBRATEDTOUSDATAANDPARTIALLYBASEDONESTIMATESBYDEJONG,DRIESSENANDVANHEMERT2007INACCORDANCEWITHBRENNANANDXIA2002ANDCAMPBELLANDVICEIRA2001,THEMEANREVERSIONINTHEREALINTERESTRATEISFOUNDTOBEFA

12、STERTHANTHEMEANREVERSIONINTHEEXPECTEDINFLATIONRATEISHOWTHATTHISIMPLIESTHATAPORTFOLIOCONSISTINGOFAPOSITIVEPOSITIONINASHORTTERMBONDANDANEGATIVEPOSITIONINALONGTERMBONDCANBECONSTRUCTEDWITHTHEPROPERTYTHATITHASANEGATIVEEXPOSURETOREALINTERESTRATESHOCKSANDAZEROEXPOSURETOEXPECTEDINFLATIONRATESHOCKSTHEMOSTNOV

13、ELINSIGHTSCOMEFROMTHEOPTIMALPORTFOLIOCHOICEOVERTHELIFECYCLEINTHEFIRST10YEARSOFADULTLIFE,INVESTORSHAVEVERYLITTLEWEALTHCOMPAREDTOTHEVALUEOFTHEIRHUMANCAPITALTHISCREATESADESIRETOLEVERAGERISKTAKINGINTHEFINANCIALPORTFOLIO,ANDBORROWINGANDSHORTSALERESTRICTIONSAREBINDINGONTHEASSETSIDEOFTHEHOUSEHOLDBALANCESHE

14、ETTHEINVESTORPREFERSTOPREDOMINANTLYINVESTINTHEASSETSWITHTHEHIGHESTASSOCIATEDRISKPREMIUM,WHICHARESTOCKSONTHELIABILITYSIDEOFTHEHOUSEHOLDBALANCESHEETIFTHEINVESTORSOWNSAHOUSEHEORSHEOPTIMALLYFINANCESTHEHOUSEWITHANARMANDTHEREBYSAVESONTHEBONDRISKPREMIUMASSOCIATEDWITHANFRMANINVESTORWHOSUBOPTIMALLYCHOOSESTOF

15、INANCEHISORHERHOUSEWITHANFRMINCURSLARGEUTILITYLOSSESTHEINVESTORCHOOSESTHEMAXIMUMALLOWEDMORTGAGELOANSIZETOOBTAINTHEHIGHESTPOSSIBLELEVERAGEASTHEINVESTORAPPROACHESHISORHER40S,THEFINANCIALPORTFOLIOSTILLCONSISTSMAINLYOFSTOCKS,BUTTHEREISALSOASMALLHOLDINGOF10YEARBONDSTHIS10YEARBONDPOSITIONHEDGESAGAINSTREAL

16、INTERESTRATECHANGESTHEEXPECTEDREALRETURNONHOUSINGANDFINANCIALWEALTHEQUALSTHEREALINTERESTRATEPLUSACONSTANTRISKPREMIUM,HENCETHEREALINTERESTRATESUMMARIZESTHEINVESTMENTOPPORTUNITIESTHEINVESTORPREFERSTHE10YEARBONDTOTHE3YEARBONDFORTHISHEDGEBECAUSEITHASAHIGHERRISKPREMIUMASMOREWEALTHISACCUMULATEDBETWEENAGE4

17、0AND65ANDHUMANCAPITALISFURTHERCAPITALIZED,THEHEDGEDEMANDAGAINSTFALLINGREALINTERESTRATESINCREASESANDTHEDESIREFORALEVERAGEDSTOCKEXPOSUREDECREASESFORAMORERISKTOLERANTINVESTOR,THISRESULTSININCREASING10YEARBONDHOLDINGSINCONTRAST,AMORERISKAVERSEINVESTORGRADUALLYSWITCHESTO3YEARBONDSBETWEENAGE55AND65THEREAS

18、ONFORTHISDIFFERENCEISTWOFOLDFIRSTTHEMORERISKTOLERANTINVESTORISMOREWILLINGTOBEARTHEEXPECTEDINFLATIONRISKOFTHE10YEARBONDANDTHEREBYREAPTHEASSOCIATEDRISKPREMIUMSECOND,AMORERISKTOLERANTINVESTORHASLARGERSTOCKHOLDINGS,LEAVINGHERWITHLESSFINANCIALWEALTHTOCONSTRUCTAHEDGEPORTFOLIOAGAINSTFALLINGINTERESTRATES,WH

19、ICHINTURNINDUCESHERTOINVESTINTHEBONDWITHTHELARGESTEXPOSURETOREALINTERESTRATE,WHICHISTHE10YEARBONDINTERESTINGLY,THE10YEARBONDPOSITIONFORAMORERISKAVERSEINVESTORBECOMESNEGATIVEAROUNDTHERETIREMENTAGEOF65,MEANINGNOLONGERAPUREARMISOPTIMAL,BUTTHEINVESTORPREFERSAHYBRIDMORTGAGETHEREASONISTHATAPOSITIONINSHORT

20、TERMBONDSTOGETHERWITHAFRMPROVIDESAREALINTERESTRATEHEDGE,WITHOUTEXPOSINGTHEINVESTORTOINFLATIONRISKTHATIS,THEINFLATIONRISKOFTHEPOSITIVENOMINALBONDPOSITIONANDTHENEGATIVENOMINALMORTGAGEPOSITIONCANCELOUTATTHEENDOFTHELIFECYCLE,BEFOREANINVESTORSELLSHISORHERHOUSE,THECORRELATIONBETWEENBONDANDHOUSINGRETURNSIN

21、DUCESAPOSITIVEHEDGEDEMANDFOR10YEARBONDSANDANEGATIVEHEDGEDEMANDFOR3YEARBONDSSHORTSALECONSTRAINTSPREVENTANINVESTORTOTAKETHEOPPOSITEHEDGEDEMANDATTHESTARTOFTHELIFECYCLE,WHENTHEINVESTOREXPECTSTOENTERTHEHOUSINGMARKETINTHENEARFUTUREITISINTERESTINGTOCOMPARETHEOPTIMALASSETALLOCATIONIMPLIEDBYTHEMODELWITHEMPIR

22、ICALBONDANDMORTGAGECHOICEINTHEUNITEDSTATESFIRST,THEMODELIMPLICATIONTHATANARMISPREFERREDINMOSTCASESISINCONTRASTWITHAHISTORICALAVERAGEARMSHAREOF287INTHEUNITEDSTATES,BUTRESONATESWITHCRITICALSTATEMENTSBYGREENSPAN2004,FORMERCHAIRMANOFTHEFEDERALRESERVESECOND,THEMODELRATIONALIZESTHATINREALITYMANYINVESTORSH

23、OLDBOTHALONGANDSHORTPOSITIONINFIXEDINCOMESECURITIESTHELONGPOSITIONISTYPICALLYCOMPOSEDOFBONDS,HELDEITHERDIRECTLYORINDIRECTLYINAPENSIONACCOUNTTHESHORTPOSITIONISTHEMORTGAGELOANTHIRD,THERESULTSAREALSOCONSISTENTWITHTHEFACTTHATINTHEUNITEDSTATESYOUNGINVESTORSAREMORELIKELYTOTAKEANARMTOTHEBESTOFMYKNOWLEDGE,N

24、OOTHERARTICLESTUDIESLIFECYCLEASSETALLOCATION,TAKINGINTOACCOUNTBOTHTHEMORTGAGEANDBONDPORTFOLIOCHOICECAMPBELLANDCOCCO2003FOCUSONMORTGAGECHOICEANDSTRESSTHETRADEOFFBETWEENTHEWEALTHRISKOFANFRMANDTHEINCOMERISKOFARMMYMORTGAGEANALYSISDIFFERSFROMCAMPBELLANDCOCCO2003INSEVERALIMPORTANTWAYSISTUDYMORTGAGECHOICEA

25、SINTEGRALPARTOFTHEOVERALLHOUSEHOLDASSETALLOCATIONPROBLEMUNLIKECAMPBELLANDCOCCO2003,IMODELTHESTOCK,BONDANDHOUSINGALLOCATIONMOREOVER,CAMPBELLANDCOCCO2003INCORPORATEPERSISTENTSHOCKSTOTHEEXPECTEDINFLATIONONLY,WHILEIALLOWFORPERSISTENTSHOCKSINTHEREALINTERESTRATEASWELLASISHOW,HEDGINGREALINTERESTRATERISKHAS

26、IMPORTANTIMPLICATIONSFORTHEOPTIMALMORTGAGETYPEMOREOVER,ISTUDYTHEOPTIMALMORTGAGESIZE,TAKINGINTOACCOUNTTHEFUNDSNEEDEDFORTHEOPTIMALPOSITIONSINSTOCKSANDBONDSDEJONG,DRIESSENANDVANHEMERT2007STUDYTHEWELFAREGAINOFHAVINGACCESSTOTHERECENTLYINTRODUCEDHOUSINGFUTURESANDCOMPARETHISTOTHEWELFARELOSSOFSUBOPTIMALMORT

27、GAGECHOICEDEJONG,DRIESSENANDVANHEMERT2007ASSUMEIUTILITYOFTERMINALWEALTH,IINOLABORINCOMEANDIIIFIXEDHOUSINGINVESTMENTTHISARTICLEPROVIDESARICHERSETUPBYEXAMININGALIFECYCLESETTINGWITHSTOCHASTICLABORINCOME,WHICHALLOWSMETOUNCOVERTHELIFECYCLEPATTERNINTHEOPTIMALPORTFOLIOCHOICE,INCLUDINGTHEMORTGAGECHOICEINCON

28、TRASTTOBOTHCAMPBELLANDCOCCO2003ANDDEJONG,DRIESSENANDVANHEMERT2007,IMODELTHEHOUSINGTENUREANDHOUSESIZECHOICEANDTHEREFOREENDOGENIZETHEHOUSINGWEALTHAVAILABLETOUSEASCOLLATERALFORMORTGAGELOANAHOMEOWNERCANCHOOSEBETWEENANARM,AFRMANDAHYBRIDMORTGAGEWHICHISACOMBINATIONOFANARMANDANFRMIMODELANARMFRMASASHORTPOSIT

29、IONINCASH10YEARBONDDOINGSO,IIMPLICITLYMAKETWOSIMPLIFYINGASSUMPTIONSFIRST,IABSTRACTFROMTHEPREPAYMENTOPTIONTHATISASSOCIATEDWITHFRMSINSOMECOUNTRIES,MOSTNOTABLYTHEUNITEDSTATESSECOND,IEQUATETHEBORROWINGANDLENDINGRATEBECAUSEDEFAULTSDONOTOCCURINMYMODEL,THISASSUMPTIONCANBEINTERPRETEDASIMPLICITLYEQUATINGABAN

30、KSPROFITMARGINTOTHEGOVERNMENTSUBSIDYONMORTGAGEDEBTITISINTERESTINGTOCOMPARETHEABOVERESULTSWITHTHEEMPIRICALASSETALLOCATIONINTHEUNITEDSTATESINTHEMODEL,THEARMISTHEPREFERREDMORTGAGECONTRACTINMOSTCASESTHISCONTRASTSTHEREALITYINTHEUNITEDSTATES,WHERETHEFRMISTHEDOMINANTMORTGAGETYPE,BUTITRESONATESWITHTHECRITIC

31、ALSPEECHBYGREENSPAN2004INWHICHHETERMSTHEFRMANEXPENSIVEMETHODOFFINANCINGAHOMEAFURTHERDISCUSSIONANDACOMPUTATIONOFTHEUTILITYCOSTOFSUBOPTIMALMORTGAGECHOICEAREPOSTPONEDUNTILTHESENSITIVITYANALYSESANDEXTENSIONSSECTIONTHEABOVEANALYSISPROVIDESANEXPLANATIONFORTWOEMPIRICALSTYLIZEDFACTSINTHEUNITEDSTATESTHATARES

32、OMETIMESCONSIDEREDPUZZLINGFIRSTITRATIONALIZESWHYONAVERAGEMOREYOUNGINVESTORSINTHEUNITEDSTATESTAKEARMSYOUNGHOMEOWNERSHAVELARGEHUMANCAPITALANDTHEREFOREADESIREFORLEVERAGEDRISKTAKINGINTHEIRFINANCIALWEALTH,THEREBYEXPLOITINGTHEASSOCIATEDRISKPREMIUMTHEARMPROVIDESTHISLEVERAGEOLDERHOMEOWNERSAREMORECONCERNEDWI

33、THADVERSESHIFTSINTHEREALINTERESTRATETHEYEARNONTHEIRACCUMULATEDCAPITALANFRM,INCONJUNCTIONWITHAPOSITIONINSHORTTERMBONDS,ALLOWSTHEMTOHEDGEAGAINSTFALLINGREALINTERESTRATESSECOND,MANYINVESTORSSIMULTANEOUSLYHOLDBOTHALONGPOSITIONINFIXEDINCOMESECURITIES,FOREXAMPLE,BYHOLDINGBONDSINTHEIRPENSIONACCOUNT,ANDASHOR

34、TPOSITIONINFIXEDINCOMESECURITIESBYHAVINGANFRMONTHEIRHOUSECONCLUSIONINTHISARTICLEIINVESTIGATEDOPTIMALHOUSEHOLDINTERESTRATERISKMANAGEMENTISOLVEDALIFECYCLEASSETALLOCATIONMODELTHATINCLUDESMORTGAGEANDBONDPORTFOLIOCHOICEINVESTORSFINANCETHEPURCHASEOFAHOUSEWITHANARMORANOMINALFRMISHOWEDTHATINMOSTCASESTHEARMI

35、STHEPREFERREDMORTGAGECONTRACTONLYOLDER,RISKAVERSEINVESTORSHOLDSOMEFRMDEBTTOGETHERWITHASHORTTERMBONDPOSITION,THEFIXEDRATEDEBTALLOWSTHEINVESTORTOHEDGEAGAINSTCHANGESINTHEREALINTERESTRATEANDHAVEZEROEXPOSURETOINFLATIONRISKATTHEENDOFTHELIFECYCLE,THEOPTIMALMORTGAGEANDBONDPORTFOLIOCHOICEAREAFFECTEDBYAHEDGED

36、EMANDAGAINSTHOUSEPRICECHANGESTHISARTICLEDIDNOTEXPLICITLYMODELHETEROGENEITYINTHEINVESTMENTOPPORTUNITYSETORLABORINCOMEPROFILE,WHICHWOULDLIKELYINDUCESOMEFRMHOLDINGSKOIJEN,VANHEMERTANDVANNIEUWERBURGH2009SHOWTHEORETICALLYTHATITISRELATIVELYMOREATTRACTIVETOCHOOSEANFRMWHENTHENOMINALBONDRISKPREMIUMISLOWTHECH

37、OICEBETWEENDIFFERENTMORTGAGETYPESISFIRSTANDFOREMOSTACHOICEBETWEENDIFFERENTINTERESTRATEPRODUCTSANDSHOULDTHEREFOREBEANALYZEDINCONJUNCTIONWITHOTHERFINANCIALDECISIONS,INPARTICULARTHEBONDPORTFOLIOCHOICEHOWEVER,THEREMIGHTBEADDITIONALEFFECTSTHATMUSTBELEFTFORFUTURERESEARCHFIRST,THEPAYMENTSONANFRMAREHIGHERTH

38、ANONANARMFORANORMAL,UPWARDSLOPING,NOMINALINTERESTRATECURVEINCOUNTRIESWHEREMORTGAGEPAYMENTSARETAXDEDUCTIBLETHISMIGHTRESULTINLARGERTAXBENEFITSFORHOMEOWNERSFINANCINGTHEIRHOUSEWITHANFRMSECOND,INSOMECOUNTRIESFRMSHAVEANEMBEDDEDPREPAYMENTOPTION,WHICHINTURNGIVESRISETOANOPTIONPREMIUMONTHEMORTGAGERATETHIRD,SO

39、MEHOMEOWNERSDEFAULTONTHEIRMORTGAGE译文家庭利率风险管理笔者通过了解一个生命周期资产模型的配置,探讨家庭利率风险管理，从而来选择按揭和债券投资组合。笔者发现大部分投资者更喜欢的是可调整利率抵押贷款,这可以节省固定利率抵押贷款中的风险溢价。站在短期债券的立场，考虑通货膨胀会影响实际利率的变化，因此年纪较大，风险厌恶的投资者会持有的一些固定利率抵押贷款的债券。这些可能在生命周期结束时发生套期保值与债券价格变动。每个家庭面对利率风险都会持有一些金融头寸，为了筹措购买房子的资金，家庭通常采取按揭贷款，是指以一定的短期利率每月支付还款费用。此外，许多家庭持有债券，直接和间

40、接的退休金帐户。本文讨论了如何以最佳方式投资于金融资产，包括抵押贷款和债券投资组合选择问题。为此，笔者研究动态生命周期模式来优化住房和投资组合的选择。笔者结合两个证券股中的主要模式特点进行选择，首先，笔者跟随科轲（2005）和姚明和张（2005）明确房屋建模的决定，并结合劳动收入为主的住户从住房和其它消费商品获得投资工具，通过租赁或拥有房子获取住房服务。投资者可以改变住房使用权和交易成本，导致房子价值经常变化。房子和人力资本对投资者的意愿和能力在参与他们的金融投资组合时产生很大的影响。科轲（2005）和姚明和张（2005）假设利率不变，不考虑债券，不允许选择不同的抵押贷款。然而，这些研究没有解

41、决家庭利率风险管理。其次，这篇文章如坎贝尔和万斯勒（2001）和布伦南，夏（2002）引入金融债券的投资组合。名义债券的定价由预期通货膨胀和实际利率双因素构成。不同于坎贝尔和万斯勒2001和布伦南、夏2002,笔者通过劳动收入、住房和抵押贷款建立模型,研究生命周期模式在家庭的利率风险管理和最优抵押组合的选择。租房者选择如何分配财政财富到股票,3年期债券,10年期债券和流动现金。房主可以选择按揭种类和规模，按揭贷款种类可选可调利率抵押贷款，固定利率抵押贷款，或是混合抵押贷款，所以房主可以调整他们的贷款类型和规模使得费用减少。ARM是被建模为一个消极的现金头寸，FRM被建模为一个消极的10年期国债

42、头寸。这些是来自美国的实际财政资源管理处提供的，它抓住的本质是FRM的付款现值是受利率风险支配。为了保持模型易处理，笔者从预付选项和下降的FRM中提取。美国数据对资产价格动态参数值将由德容，德里森和凡汉马特（2007年）估计。按照布伦南和夏（2002）和坎贝尔和万斯勒（2001）的规定，在实际利率回归比预期的通货膨胀率回归速度更快，然而研究表明，短期债券的积极立场和长期债券的消极立场，可以应对负实际利率风险带来的冲击和预期通胀率下降的冲击。成年生活的前10年，投资者相比于人力资本价值，财富较少，这主要是对金融投资组合风险的考虑，以及借贷和卖空限制的约束力。家庭资产负债表的主要投资者会选择投资风

43、险溢价最高的，例如股票。资产负债表负债方，如果拥有一所房子，他们运用ARM来优化财政，从而避免了FRM与相关联的风险带来的损失。投资者以获取最高可能利用的价值来选择按揭贷款的规模。当投资者接近40岁，金融投资组合仍然是以股票为主，但也会拥有少量10年期债券。因为10年期债券头寸可以应对实际利率的变化。住房和金融财富的实际回报率等于实际利率加上风险溢价，因而实际利率总结了投资机会。投资者比较喜欢10年期的债券对冲3年期的债券，因为它具有更高的风险溢价。更多的财富积累集中于40岁和65岁之间，人力资本的积累是利用对实际利率下降的考虑和套期保值的需求。对于更多的风险偏好者，会增加10年期债券持有。相

44、反，年龄在55岁和65岁之间，更多的风险厌恶者持有3年期债券，造成这种差别的原因是双重的。首先，更多的风险偏好投资者更愿意承担10年期债券的预期通货膨胀风险，从而获得相关的风险溢价。第二，风险偏好投资者持股较大，以较少的金融财富构建一个对冲组合来应对利率下降，这反过来10年期国债又引起投资者在债券投资时遇到实际利率。一个65岁的退休年龄厌恶风险讨厌10年期债券，这意味着ARM不在是最优的，投资者更倾向于一种混合贷款。因为在短期债券与FRM的共同立场为贷款提供了一个实际利率对冲，不需要投资者应对通胀风险。因此名义债券头寸和名义抵押贷款头寸中的通胀风险被抵消掉了。在生命周期结束，投资者出售他们的房

45、子之前，债券之间的交互作用和住房的回归导致对10年期债券的积极套期保值需求和3年期债券的消极套期保值需求。卖空限制防止投资者预期进入住房市场生命周期时采取相反的套期保值需求。在美国比较理想的资产配置是通过实证债券和抵押贷款模型选择。首先，在大多数情况下ARM是首选的，占到了历史平均287。其次，在现实中许多投资者同时拥有两种长期和短期的固定利率证券。长期的证券是由典型的债券组成，直接或间接持有的退休金帐户，而短期的证券主要是按揭贷款。第三，美国年轻投资者更喜欢采用ARM。据我所知，研究生命周期的资产配置，没有其他文章同时考虑到抵押贷款和债券投资组合的选择。坎贝尔和科轲（2003）侧重于按揭贷款

46、的选择和强调FRM的财富风险和ARM的收入风险之间的平衡。笔者的按揭分析在几个重要方面不同于坎贝尔和科轲（2003）。笔者主要研究按揭贷款作为整个家庭资产配置的重要部分。笔者主要从股票，债券和住房分配模型和实际利率持续性变动的考虑。而坎贝尔和科轲（2003）仅考虑持续变动的预期通胀。研究表明，最优抵押贷款类型对实际利率的套期保值有重要意义。此外，笔者在研究最佳抵押贷款规模，同时考虑到股票和债券所需的资金。德容，德里森的和凡汉马特（2007）研究房屋期货和次优抵押贷款带来的福利损失和收益的选择时提出三个假设。第一，终端财富效用，第二，无劳动收入，第三，固定住房的投资。这篇文章通过审查生命周期提供

47、设定的劳动收入选择生命周期模式。相反，对比于坎贝尔和科轲（2003）和德容，德里森和凡汉马特（2007），笔者塑造住房使用权和房屋大小的选择，认为住房财富可以作为按揭贷款抵押品。房主可以选择ARM，FRM和混合按揭。塑造ARMFRM作为一个空头头寸以现金支付10年期债券。笔者提出两个假设首先，FRM与一些预付选项相关；其次，借款和贷款利率。由于违约不发生在笔者的模型中，这个假设可以解释为等同银行的利润率对抵押贷款债务的政府补贴。在笔者构建的模型中，抵押合同主要是采用ARM，在美国则相反，现实的抵押贷款类型主要采用FRM。通过两者的比较认为美国年轻的投资者采用ARM,因为年轻业主有很大的人力资本

48、和冒险获得财富的欲望，利用相关的风险溢价，而ARM符合这方面的要求。年长的业主更关心实际利率风险对他们积累的财富产生的不利影响。而FRM能够使短期的国债对抗利率下降的风险；此外，许多投资者同时持有退休金帐户FRM的债券和短期房产的FRM债券。通过对最佳家庭利率风险管理的调查，解决了一个生命周期的资产配置模式，其中包括抵押贷款和债券投资组合的选择。投资者提供经费使用ARM或者FRM购房，笔者认为在大多数情况下，首选以ARM的抵押合同。只有年纪较大，风险厌恶的投资者持有的一些FRM的债务。因为加上短期债券头寸，固定利率债券允许投资者的实际利率变化进行套期保值，而通胀带来的风险是零风险。在生命周期中

49、，抵押贷款和债券投资组合的最佳选择，受房屋价格变动对套期保值需求的影响。文章并没有明确的投资机会集合或劳动收入的资料，可能会引起一些FRM的控股模型的异质性。凡汉马特和凡尼尔本富（2009）从理论上证明选择FRM的名义债券的风险溢价较低时，更具吸引力。按揭之间的不同类型的选择首先一个不同的利率产品之间的选择，因此，应结合其他财务决策，特别是债券投资组合的选择和分析。首先，FRM的付款比ARM较长，在一些国家楼房按揭是免税的，这可能导致房主融资与FRM的房子有较大的税收优惠。其次，在一些国家财政资源管理处有一个预付选项，这反过来又引起了关于抵押贷款利率期权溢价。最后，有些业主对他们的抵押贷款有违约行为。