Chen, Jiakai; Liu, Haoyang; Sarkar, Asani; Song, Zhaogang - 2021 - Revised May 2021
We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets...
