Showing 1 - 10 of 19
underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …
Persistent link: https://www.econbiz.de/10013143047
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
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
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
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
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
finance (e.g., pricing mortgage-backed securities) …
Persistent link: https://www.econbiz.de/10012460777
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
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
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