[[alternative]]A Study of Financial Econometrics for Mortgage Backed Securities

碩士商業教育學系[[abstract]]近年來我國金融機構在自由化及國際化浪潮下，競爭風險隨之增加，然如何因應此潮流，提升金融競爭力，乃刻不容緩之課題。觀諸先進國家為改善金融機構日益惡化的經營環境，乃從1970年發展房貸證券化至今，已成功實施多年。是故我國為因應金融需求，推展房貸證券化商品已為必然之趨勢，然金融商品常受市場因素，以致影響金融機構與投資人之決策，是故本文藉房貸證券化之財務計量研究所得之結論，以滿足金融機構及投資人考量發行及投資目標之需求。 一、房貸借款人提前還本速度係設算每月現金流量之重要因素，故房貸證券化商品價格在有提前還款之假設下，當市場利率上升時，貸款人提前還款速度降低，則證券價格下降，反之，則價格會上升。而當預期未來提前還本速度加快，則投資人應投資折價發行之房貸證券；而若預期未來提前還本速度緩慢，則投資人應投資溢價發行之房貸證券。 二、房貸借款人之提前償還速度，將影響房貸證券化商品之到期日，房貸借款人之提前償還速度加快，則房貸證券化商品到期日縮短。 三、房貸借款人之提前償還速度，亦與房貸證券之報酬率有關，故房貸證券投資人如同一般投資人，皆須明瞭投資報酬率，更應注意在公開說明書上的報酬率是由多少PSA所設算出來的。[[abstract]]In recent years, the financial institutions, in the wave of liberalization and internationalization, are with more competition and risk. Moreover, the way to respond to this trend and improve the competing ability of domestic financial institutions has been an enforcing issue. In an effort to improve the worsening operation environment in the financial industry, the advanced countries have successfully developed MBS since 1970. In view of that, it is an essential trend for our country to promote the MBS products as a response to that financial demand. However, financial products are subject to the market factors, affecting decisions of the financial institutions and investors. So that through the current study on the financial measurement on MBS, making the MBS issuing institutions and the holders consider the conclusions of this research.Those conclusions are as follows. 一、The prepayment speed by the mortgagors is an important factor in estimating the cash flow of each month. As a result, the securities value depends on the prepayment speed. Given that there would be the prepayment speed, value of the securities will slump while the prepayment speed of the mortgagor reduces as a result of the rising market interest rate. And it will lift if the prepayment speed of the mortgagor reduces as a result of the rising market interest rate. Nevertheless, the investor should invest in the MBS issued at a discount, if he/she expects that the prepayment speed will be faster in the future. If not faster, the investor should invest in the MBS issued at a premium. 二、The prepayment speed of the mortgagor determines the maturity date of MBS. If the prepayment speed of the mortgagor is fast, the maturity date of MBS will be earlier. 三、The prepayment speed of the mortgagor is relevant to the return rate of MBS. Therefore, the MBS investors should be aware of the investment return rate like general investors. And moreover, they should note how much PSA has been applied to estimate the return rate stated on the prospectus