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MBS Ratings and the Mortgage Credit Boom

Ashcraft, Adam B. - 2010

underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …

Persistent link: https://www.econbiz.de/10013143047

Large-Scale Asset Purchases by the Federal Reserve : Did They Work?

Gagnon, Joseph E. - 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/10013146388

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

Longstaff, Francis A. - 2004

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly refinancing when rates drop sufficiently. Key factors affecting the optimal decision are the cost of refinancing and the possibility that the mortgagor may have to refinance at...

Persistent link: https://www.econbiz.de/10012468271

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities

Chernov, Mikhail - 2016

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied prepayment function from the cross section of market prices. From the implied prepayment function, we find that prepayment rates are driven not only by interest rates, but also by two...

Persistent link: https://www.econbiz.de/10012456578

Asset Quality Misrepresentation by Financial Intermediaries : Evidence from RMBS Market

Piskorski, Tomasz - 2013

intermediaries during the sale of mortgages in the $2 trillion non-agency market. We construct two measures of misrepresentation of … mortgages disclosed to the investors at the time of sale with actual characteristics of these loans at that time that are … across all reputable intermediaries involved in sale of mortgages. The propensity to misrepresent seems to be largely …

Persistent link: https://www.econbiz.de/10012459818

Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?

Merrill, Craig B. - 2012

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

Persistent link: https://www.econbiz.de/10012460390

Estimating Loan-to-Value and Foreclosure Behavior

Korteweg, Arthur - 2012

finance (e.g., pricing mortgage-backed securities) …

Persistent link: https://www.econbiz.de/10012460777

The Effects of Quantitative Easing on Interest Rates : Channels and Implications for Policy

Krishnamurthy, Arvind - 2011

We evaluate the effect of the Federal Reserve's purchase of long-term Treasuries and other long-term bonds ("QE1" in 2008-2009 and "QE2" in 2010-2011) on interest rates. Using an event-study methodology we reach two main conclusions. First, it is inappropriate to focus only on Treasury rates as...

Persistent link: https://www.econbiz.de/10012461102

Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-backed Securities

He, Jie (Jack) - 2011

We examine whether rating agencies (Moody's, S&P, and Fitch) reward large issuers of mortgage-backed securities, who bring substantial business, by granting them unduly favorable ratings. The initial yield on both AAA-rated and non-AAA rated tranches sold by large issuers is higher than that on...

Persistent link: https://www.econbiz.de/10012461419

CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009

Stanton, Richard - 2010

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the recent financial crisis. Using a comprehensive sample of CMBS deals from 1996 to 2008, we show that (unlike the residential mortgage market) the loans underlying CMBS did not...

Persistent link: https://www.econbiz.de/10012462449