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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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Treasury inconvenience yields during the COVID-19 crisis
He, Zhiguo; Nagel, Stefan; Song, Zhaogang - 2020
Persistent link: https://www.econbiz.de/10012250590
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Commonality in credit spread changes : dealer inventory and intermediary distress
He, Zhiguo; Khorrami, Paymon; Song, Zhaogang - 2019
Persistent link: https://www.econbiz.de/10012169666
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Commonality in credit spread changes : dealer inventory and intermediary distress
He, Zhiguo; Khorrami, Paymon; Song, Zhaogang - In: The review of financial studies 35 (2022) 10, pp. 4630-4673
Persistent link: https://www.econbiz.de/10013400131
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Treasury inconvenience yields during the COVID-19 crisis
He, Zhiguo; Nagel, Stefan; Song, Zhaogang - In: Journal of financial economics 143 (2022) 1, pp. 57-79
Persistent link: https://www.econbiz.de/10013350623