In this paper, we investigate several well-documented seasonalities in the pricing of mortgage-backed securities. Parallel evidence to the equity markets is found in the GNMA pass-through markets for the existence of the day-of-the-week effect, the turn-of-the-month effect, the holiday effect,...

In this paper, we develop a model to predict the impact of deregulation in the form of relaxing interest rate control on the integration between the mortgage credit market and the general credit market. The model is tested through the examination of the long-term Granger-like equilibrium...