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Does mortgage hedging amplify movements in long-term interest rates?
Perli, Roberto; Sack, Brian - 2003
Persistent link: https://www.econbiz.de/10001793014
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Liquidity in a Market for Unique Assets : Specified Pool and TBA Trading in the Mortgage Backed Securities Market
Gao, Pengjie - 2016
Agency mortgage-backed securities trade simultaneously in a market for specified pools (SPs) and in the to …
Persistent link: https://www.econbiz.de/10013002691
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Mortgage securities as funding source for mortgage loans in the European Union
Stefanović, Saša; Hanić, Hasan; Erić, Dejan - In: Economic analysis : EA 48 (2015) 1/2, pp. 69-85
Persistent link: https://www.econbiz.de/10012063311
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Understanding the securitization of subprime mortgage credit
Ashcraft, Adam B. (contributor); Schuermann, Til (contributor) - 2008
In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational … how rating agencies assign credit ratings to mortgage-backed securities, and outline how these agencies monitor the … performance of mortgage pools over time. Throughout the paper, we draw upon the example of a mortgage pool securitized by New …
Persistent link: https://www.econbiz.de/10003781458
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Dynamic option adjusted spread and the value of mortgage backed securities
Cerrato, Mario; Djennad, Abdelmadjid - 2009
Persistent link: https://www.econbiz.de/10003839283
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Dynamic option adjusted spread and the value of mortgage backed securities
Cerrato, Mario (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003805892
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Large-scale asset purchases by the Federal Reserve : did they work?
Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 2010
Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...
Persistent link: https://www.econbiz.de/10003948813
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MBS ratings and the mortgage credit boom
Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Vickery, James - 2010
We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the … period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage … underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …
Persistent link: https://www.econbiz.de/10008657284
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$1.25 trillion is still real money : some facts about the effects of the Federal Reserve’s mortgage market investments
Fuster, Andreas; Willen, Paul - 2010
This paper measures the effects on the primary U.S. mortgage market of the large-scale asset purchase (LSAP) program in …
Persistent link: https://www.econbiz.de/10008657935
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Assessing the effectiveness of the Paulson "teaser freezer" plan : evidence from the ABX index
Balla, Eliana; Carpenter, Robert E.; Robinson, Breck L. - 2010
Persistent link: https://www.econbiz.de/10009157876