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Mortgage-Backed Securities
Fuster, Andreas
;
Lucca, David O.
;
Vickery, James I.
-
2022
economic effects of mortgage
securitization
. We also assemble descriptive statistics about market size, growth, security … the MBS market and mortgage
securitization
…
Persistent link: https://www.econbiz.de/10013306170
Saved in:
2
Forecasting through the Rear-View Mirror : Data Revisions and Bond Return Predictability
Ghysels, Eric
-
2014
Macroeconomic data are typically subject to future revisions and released with delay. Predictive return regressions using such data therefore potentially overstate the information set available to investors in real time. We document that data revisions account for a sizable share of in-sample...
Persistent link: https://www.econbiz.de/10013065072
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3
Regression-Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias
-
2014
We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10013068063
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4
Leverage Asset Pricing
Adrian, Tobias
-
2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10013076596
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5
Are Market Makers Uninformed and Passive? Signing Trades in the Absence of Quotes
van der Wel, Michel
-
2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10013159473
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6
Deconstructing the Yield Curve
Crump, Richard K.
-
2019
We investigate the factor structure of the term structure of interest rates and argue that characterizing the minimal dimension of the data generating process is more challenging than currently appreciated. As a result, inference procedures for yield curve models that commit to a parsimoniously...
Persistent link: https://www.econbiz.de/10012889010
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7
The Long and Short of It : The Post-Crisis Corporate CDS Market
Boyarchenko, Nina
-
2019
We establish key stylized facts about the post-crisis evolution of trading and pricing of credit default swaps. Using supervisory contract-level data, we document that dealers become net buyers of credit protection starting in the second half of 2014, both through reducing the amount of...
Persistent link: https://www.econbiz.de/10012892800
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8
Understanding Mortgage Spreads
Boyarchenko, Nina
-
2018
Most mortgages in the U.S. are securitized in agency mortgage-backed securities (MBS). Yield spreads on these securities are thus a key determinant of homeowners' funding costs. We study variation in MBS spreads over time and across securities, and document a cross-sectional smile pattern in MBS...
Persistent link: https://www.econbiz.de/10012937951
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9
Arbitrage-Free Affine Models of the Forward Price of Foreign Currency
Durham, J. Benson
-
2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10013057782
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10
Betting Against Beta (and Gamma) Using Government Bonds
Durham, J. Benson
-
2015
Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...
Persistent link: https://www.econbiz.de/10013017429
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