A central result in the theory of adverse selection in asset markets is that informed sellers can signal quality and … delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and … information, and in cases where the originator and the issuer of mortgage-backed securities are not affiliated …

investor wealth drives the demand for riskless debt and indirectly for securitization, ii) intermediary assets and leverage …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … the co-movements between relative stock returns and real exchange rates, but from the hedging properties of stock returns …

exist multiple pricing kernels that produce the same bond prices, but a unique pricing kernel equal to the marginal utility …, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio for the … changes in term premia generates large hedging demands for long-term bonds …

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

a house in coastal areas may be at increasing risk of defaulting on their mortgage. Commercial banks have the ability to … Mortgage Association, commonly known as Fannie Mae, and the Federal Home Loan Mortgage Corporation, known as Freddie Mac. In … securitized mortgages. This paper uses the impact of one such sharp rule, the conforming loan limit, on securitization volumes. We …

This paper quantifies the scale and scope of the commercial real estate mortgage bond market in the period surrounding … the 1920s in an attempt to better understand the role of retail mortgage debt in early urban development. In particular … utilizes a unique data set to construct a commercial mortgage price index over the period 1926-1935 …

to be affected by securitization, and to different definitions of delinquency. Our results are strongest in subsamples in …

mortgage and the lender's subsequent choice whether to renegotiate or "modify" the loan. The theoretical model and econometric … analysis illustrate that "unaffordable" loans, defined as those with high mortgage payments relative to income at origination … explanation for the low number of modifications to date than contract frictions related to securitization agreements between …

the mortgage secondary market fostered by securitization has reduced the impact of local funding shocks on credit supply …This paper shows that securitization reduces the influence of bank financial condition on loan supply. Low-cost funding …. By extension, securitization has weakened the link from bank funding conditions to credit supply in aggregate, thereby …