government debt maturity and the term structure of credit spreads. Using the data of individual corporate bonds between 1972 and … 2015, we find that a longer government debt maturity is associated with a steeper credit term structure in both the primary … debts attracts long-term investors from the corporate bond market, leading to a reduction in the demand, hence an increase …

We study feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest …

We study the feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of …

We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple … current mortgage payments over the risk of possible hikes in future mortgage payments. We also provide evidence that banks do … influence the contracted mortgage rate fixation periods, trading off their own exposure to interest rate risk against the …

We document several facts about corporate debt maturity: (1) debt maturity is pro-cyclical; (2) higher-beta firms tend … to have longer debt maturity; (3) shorter maturity amplifies the sensitivity of credit spreads to aggregate shocks. We … build a dynamic capital structure model that explains these facts. In the model, leverage and maturity choices are highly …

We study the effect of a bond's place in its issuer's maturity structure on credit risk. Using a structural model as … motivation, we argue that bonds due relatively late in their issuers' maturity structure have greater credit risk than do bonds …

along observable dimensions. Furthermore, we find no evidence that either result was driven by a collapse in demand for …

Spreads of agency mortgage-backed securities (MBS) vary significantly in the cross section and over time, but the …

Most mortgages in the U.S. are securitized in agency mortgage-backed securities (MBS). Yield spreads on these …