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Hedging mortgage-backed securities with treasury bond futures
Batlin, Carl A. - In: The journal of futures markets 7 (1987) 6, pp. 675-693
Persistent link: https://www.econbiz.de/10003483036
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Large-scale asset purchases by the Federal Reserve : did they work?
Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 2010
Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...
Persistent link: https://www.econbiz.de/10003948813
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How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) influence Mortgage-Backed Securities (MBS) yields and US mortgage rates
Hancock, Diana; Passmore, Stuart Wayne - 2014
Persistent link: https://www.econbiz.de/10010433528
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How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates
Hancock, Diana - 2014
mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more … turn significantly lower mortgage rates …
Persistent link: https://www.econbiz.de/10013059311
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Large-scale asset purchases by the Federal Reserve : did they work?
Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - In: Economic policy review 17 (2011) 1, pp. 41-59
Persistent link: https://www.econbiz.de/10009130174
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Incorporating the dynamic link between mortgage and treasury markets in pricing and hedging MBS
Bhattacharya, Anand K.; Sekhar, Aryasomayajula; … - In: The journal of fixed income 16 (2006) 2, pp. 39-45
Persistent link: https://www.econbiz.de/10003400066
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Modeling the dynamics of MBS spreads
Koutmos, Gregory - In: The journal of fixed income 12 (2002) 2, pp. 43-49
Persistent link: https://www.econbiz.de/10001745239
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Time-varying empirical duration and slope effects for mortgage-backed securities
Kon, Stanley Jay - In: The journal of fixed income 8 (1998) 2, pp. 7-28
Persistent link: https://www.econbiz.de/10001252731
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Agency MBS as Safe Assets
He, Zhiguo; Song, Zhaogang - National Bureau of Economic Research - 2022
amount depend on mortgage rate negatively, consistent with a prepayment-driven demand channel. This negative dependence …
Persistent link: https://www.econbiz.de/10013190993
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Mortgage security hedging and the yield curve
Fernald, Julia Dana; Keane, Frank; Mosser, Patricia C. - 1994
Persistent link: https://www.econbiz.de/10000905488