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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022
Measured as yield spreads against AAA corporate bonds, the convenience premium of agency MBS averages 47 basis points over 1995 - 2021, about half of the long-term-Treasury convenience premium. Both MBS convenience premium and issuance amount depend on mortgage rate negatively, consistent with a...
Persistent link: https://www.econbiz.de/10013190993
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Securitization without risk transfer
Acharya, Viral V. - 2010
that banks used this form of securitization to concentrate, rather than disperse, financial risks in the banking sector …
Persistent link: https://www.econbiz.de/10012462921
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Special Purpose Vehicles and Securitization
Gorton, Gary - 2005
Firms can finance themselves on- or off-balance sheet. Off-balance sheet financing involves transferring assets to "special purpose vehicles" (SPVs), following accounting and regulatory rules that circumscribe relations between the sponsoring firm and the SPVs. SPVs are carefully designed to...
Persistent link: https://www.econbiz.de/10012467495
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The Rise and Fall of Demand for Securitizations
Chernenko, Sergey - 2014
Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on...
Persistent link: https://www.econbiz.de/10012457889
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Adaptation Using Financial Markets : Climate Risk Diversification through Securitization
Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024
to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain …
Persistent link: https://www.econbiz.de/10014512098
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Securitization
Gorton, Gary - 2012
We survey the literature on securitization and lay out a research program for its open questions. Securitization is the … markets. Securitization has grown from a small amount in 1990 to a pre-crisis issuance amount that makes it one of the largest … of the recent financial crisis. Nevertheless, despite the transformative effect of securitization on financial …
Persistent link: https://www.econbiz.de/10012460049
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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
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Measuring the Perceived Liquidity of the Corporate Bond Market
Chernenko, Sergey - 2020
We propose a novel measure of bond market liquidity that does not depend on transaction data: the strength of the cross-sectional relationship between mutual fund cash holdings and fund flow volatility. Our measure captures how liquid funds perceive their portfolio holdings to be at a given...
Persistent link: https://www.econbiz.de/10012481676
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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
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Do Global Banks Spread Global Imbalances? The Case of Asset-Backed Commercial Paper During the Financial Crisis of 2007-09
Acharya, Viral V. - 2010
The global imbalance explanation of the financial crisis of 2007-09 suggests that demand for riskless assets from countries with current account surpluses created fragility in countries with current account deficits, most notably, in the United States. We examine this explanation by analyzing...
Persistent link: https://www.econbiz.de/10012462576