Xu, Xiaoqing Eleanor; Fung, Hung-Gay - In: Real Estate Economics 33 (2005) 2, pp. 397-426
Using a vector autoregressive model with monthly data from 1988 through 2001, this study investigates the factors that drive the excess returns on a widely followed mortgage-backed securities (MBS) index. We find that eight important economic variables (industrial productions, new home sales,...