This paper provides robust evidence for the non-linear effects of mortgage spread shocks during recessions and … expansions in the United States. Estimating a smooth-transition VAR model, we show that mortgage spread shocks hitting in …

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 study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and …

because mortgage yields are inadequate to cover interest and operating costs. This hypothesis suggests that observed …

We use an empirical model of commercial mortgage spreads to examine how tenant diversification impacts credit spreads … given to properties with moderate levels of tenant diversification, we find the likelihood with which a mortgage goes into …

This paper studies how United States (US) policy actions impacted mortgage-backed securities (MBS) investors and … mortgage borrowers during the subprime mortgage crisis of 2007 to 2010. The effects of the following policy actions on MBS … spreads and mortgage lending spreads are studied: (i) US Government conservatorship of Fannie Mae and Freddie Mac; (ii) US …