The paper is talking about the overnight, risk-free interest rate, not a long-term mortgage, which is just one point on the yield curve. If we think of the yiel

The paper is talking about the overnight, risk-free interest rate, not a long-term mortgage, which is just one point on the yield curve. If we think of the yield curve as a 3D graph, where one axis is interest rate, another axis is term, and a third axis is risk, then the paper is claiming that there is a point at (0, 0, 0). But central banks often change the interest rate to something non-zero at (0, 0).