We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …

exercise left to future work.Practical implications: We describe how Stock Acquisition Mortgage Loans may be instituted in … payments with capital income. Originality/value: The proposed Stock Acquisition Mortgage Loan is a new loan (currently not in …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …