A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and … delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and … information, and in cases where the originator and the issuer of mortgage-backed securities are not affiliated …

investor wealth drives the demand for riskless debt and indirectly for securitization, ii) intermediary assets and leverage …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … the co-movements between relative stock returns and real exchange rates, but from the hedging properties of stock returns …

exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the … changes in term premia generates large hedging demands for long-term bonds …

a house in coastal areas may be at increasing risk of defaulting on their mortgage. Commercial banks have the ability to … Mortgage Association, commonly known as Fannie Mae, and the Federal Home Loan Mortgage Corporation, known as Freddie Mac. In … securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We …

We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS …), issued up to 2008. We have created a new and detailed data set on the universe of non-agency residential mortgage backed …

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following … the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their … historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We …

This paper quantifies the scale and scope of the commercial real estate mortgage bond market in the period surrounding … the 1920s in an attempt to better understand the role of retail mortgage debt in early urban development. In particular … utilizes a unique data set to construct a commercial mortgage price index over the period 1926-1935 …

to be affected by securitization, and to different definitions of delinquency. Our results are strongest in subsamples in …

mortgage and the lender's subsequent choice whether to renegotiate or "modify" the loan. The theoretical model and econometric … analysis illustrate that "unaffordable" loans, defined as those with high mortgage payments relative to income at origination … explanation for the low number of modifications to date than contract frictions related to securitization agreements between …