amount depend on mortgage rate negatively, consistent with a prepayment-driven demand channel. This negative dependence …

This paper analyzes the performance of the commercial mortgage-backed security (CMBS) market before and during the … mortgage market) the loans underlying CMBS did not significantly change their characteristics during this period, commercial …

We examine the quantitative impact of the Federal Reserve's mortgage-backed securities (MBS) purchase program. We focus … on how much of the recent decline in mortgage interest rate spreads can be attributed to these purchases. The question is …

arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this …

We study the optimal recursive refinancing problem where a borrower minimizes his lifetime mortgage costs by repeatedly … results in prepayment being delayed significantly relative to traditional models. Furthermore, mortgage values can exceed par … by much more than the cost of refinancing. Applying the recursive model to an extensive sample of mortgage …

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

We present evidence that high concentration in local mortgage lending reduces the sensitivity of mortgage rates and … refinancing activity to mortgage-backed security (MBS) yields. A decrease in MBS yields is typically associated with greater … refinancing activity and lower rates on new mortgages. However, this effect is dampened in counties with concentrated mortgage …

Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS …

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