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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022
Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...
Persistent link: https://www.econbiz.de/10013190993
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Securitization without risk transfer
Acharya, Viral V. - 2010
that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector …
Persistent link: https://www.econbiz.de/10012462921
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Special Purpose Vehicles and Securitization
Gorton, Gary - 2005
Firms can finance themselves on- or off-balance sheet. Off-balance sheet financing involves transferring assets to "special purpose vehicles" (SPVs), following accounting and regulatory rules that circumscribe relations between the sponsoring firm and the SPVs. SPVs are carefully designed to...
Persistent link: https://www.econbiz.de/10012467495
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The Rise and Fall of Demand for Securitizations
Chernenko, Sergey - 2014
Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on...
Persistent link: https://www.econbiz.de/10012457889
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Adaptation Using Financial Markets : Climate Risk Diversification through Securitization
Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024
to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain …
Persistent link: https://www.econbiz.de/10014512098
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Securitization
Gorton, Gary - 2012
We survey the literature on securitization and lay out a research program for its open questions. Securitization is the … markets. Securitization has grown from a small amount in 1990 to a pre-crisis issuance amount that makes it one of the largest … of the recent financial crisis. Nevertheless, despite the transformative effect of securitization on financial …
Persistent link: https://www.econbiz.de/10012460049
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Mortgage Finance in the Face of Rising Climate Risk
Ouazad, Amine - 2019
securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We … securitization activity in years following such a billion-dollar disaster. Such increase is larger in neighborhoods for which such a …
Persistent link: https://www.econbiz.de/10012480267
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ABS Inflows to the United States and the Global Financial Crisis
Bertaut, Carol - 2011
The "global saving glut" (GSG) hypothesis argues that the surge in capital inflows from emerging market economies to the United States led to significant declines in long-term interest rates in the United States and other industrial economies. In turn, these lower interest rates, when combined...
Persistent link: https://www.econbiz.de/10012461308
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Fraudulent Income Overstatement on Mortgage Applications during the Credit Expansion of 2002 to 2005
Mian, Atif R. - 2015
Academic research, government inquiries, and press accounts show extensive mortgage fraud during the housing boom of the mid-2000s. We explore a particular type of mortgage fraud: the overstatement of income on mortgage applications. We define "income overstatement" in a zip code as the growth...
Persistent link: https://www.econbiz.de/10012457719
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Collateral Valuation and Borrower Financial Constraints : Evidence from the Residential Real Estate Market
Agarwal, Sumit - 2013
Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged...
Persistent link: https://www.econbiz.de/10012459056