Online Appendix to 'Mortgage Risk and the Yield Curve'

Abstract

This is the appendix to 'Mortgage risk and the yield curve'.

This online appendix contains all the proofs omitted in the main part of the paper and some additional empirical robustness results. Appendix C.1 provides some preliminary results needed for the proofs given in Appendix C.2. Appendix C.3 provides an extension of our baseline model that jointly prices nominal and real bonds. Appendix C.4 outlines a model with timevarying convexity. Appendix D provides some additional robustness checks for our empirical analysis.