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Boyarchenko, Nina; Fuster, Andreas; Lucca, David O. - 2014

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the sources of this variation are not well understood. We document that, in the cross section, MBS spreads adjusted for the prepayment option show a pronounced smile with respect to the...

Persistent link: https://www.econbiz.de/10011340970

Securitization and the fixed-rate mortgage

Fuster, Andreas; Vickery, James - 2013

management, monetary policy, and systemic risk. In this paper, we show that securitization is a key driver of FRM supply. Our … market. Our interpretation is that securitization is particularly important for FRMs because of the prepayment and interest …

Persistent link: https://www.econbiz.de/10010333652

Asset pricing with cohort-based trading in MBS markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021

contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that … increases the yields of all MBS, because it exacerbates the cheapest-to-deliver concerns for TBA buyers and reduces the value of … the TBA market as a backup selling venue for SP buyers; (2) high selling pressure amplifies the impact of MBS …

Persistent link: https://www.econbiz.de/10012619508

Defragmenting markets: Evidence from agency MBS

Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021

Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae MBS, leading to higher issuance and trading...

Persistent link: https://www.econbiz.de/10012619542

Risk characteristics of covered bonds: Monitoring beyond ratings

Grothe, Magdalena; Zeyer, Jana - 2020

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

Persistent link: https://www.econbiz.de/10012422055

Liquidity in government versus covered bond markets

Dick-Nielsen, Jens; Gyntelberg, Jacob; Sangill, Thomas - 2012

We present findings on the secondary market liquidity of government and covered bonds in Denmark before, during and after the 2008 financial crisis. The analysis focuses on wholesale trading in the two markets and is based on a complete transaction level dataset covering November 2007 until end...

Persistent link: https://www.econbiz.de/10010321238

Financial intermediation theory and implications for the sources of value in structured finance markets

Mitchell, Janet - 2005

Structured finance instruments represent a form of securitization technology which can be defined by the … securitization, in order to identify the economic forces underlying the creation of SF instruments. A question addressed is under … what circumstances one would expect to observe pooling alone (as with traditional securitization) versus pooling and …

Persistent link: https://www.econbiz.de/10011506593

Shadow banking: Financial intermediation beyond banks

Jokivuolle, Esa (contributor) - 2018

Shadow banking is a broad concept. A possible definition is that it comprises non-bank institutions which undertake bank-like activities. Another characteristic is that the sector is overall less regulated. Therefore there are still shortcomings in systematic collection of information of the sector.

Persistent link: https://www.econbiz.de/10011985212

Credit risk transfer and de facto GSE reform

Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018

We summarize and evaluate Fannie Mae and Freddie Mac's credit risk transfer (CRT) programs, which have been used since 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that the CRT programs have been successful in reducing the...

Persistent link: https://www.econbiz.de/10011942783

The effects of a declining housing market on the US economy

Papadimitriou, Dimitri B.; Hannsgen, Greg; Zezza, Gennaro - 2007

Longstanding speculation about the likelihood of a housing market collapse has given way in the past few months to consideration of just how far the housing market will fall, and how much damage the debacle will inflict on the economy. This paper assesses the magnitude of the impact of housing...

Persistent link: https://www.econbiz.de/10010266555

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