Does Mortgage Hedging Amplify Movements in Long-Term Interest Rates?

Roberto Perli; Brian Sack

doi:10.3905/jfi.2003.319356

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Does Mortgage Hedging Amplify Movements in Long-Term Interest Rates?

Roberto Perli and Brian Sack

The Journal of Fixed Income Winter 2003, 13 (3) 7-17; DOI: https://doi.org/10.3905/jfi.2003.319356

Roberto Perli

An economist in the Monetary and Financial Market Analysis section of the Division of Monetary Affairs at the Federal Reserve Board in Washington, DC.

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For correspondence: roberto.perli@frb.gov

Brian Sack

Chief of the Monetary and Financial Markets Analysis section of the Division of Monetary Affairs at the Federal Reserve Board in Washington, DC.

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For correspondence: brian.sack@frb.gov

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The Journal of Fixed Income

Vol. 13, Issue 3

Winter 2003

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Does Mortgage Hedging Amplify Movements in Long-Term Interest Rates?