Similar Search Results

Core inflation at the Bank of Canada: A critique

Clinton, Kevin - 2006

Core inflation is a useful concept for the theory and practice of monetary policy. The Bank of Canada maintains, in addition, that core inflation should be, and has in fact been, a useful predictor of headline inflation. Under the bank's policy of inflation targeting, however, this is incorrect:...

Persistent link: https://www.econbiz.de/10011940695

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

Persistent link: https://www.econbiz.de/10013161874

Mortgage-backed securities

Fuster, Andreas; Lucca, David O.; Vickery, James - 2022

Persistent link: https://www.econbiz.de/10013168786

Defragmenting markets: evidence from agency MBS

Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021

Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae MBS, leading to higher issuance and trading...

Persistent link: https://www.econbiz.de/10012511399

Defragmenting markets : evidence from agency MBS

Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021

Persistent link: https://www.econbiz.de/10012651369

Asset pricing with cohort-based trading in MBS markets

Fusari, Nicola; Li, Wei; Liu, Haoyang; Song, Zhaogang - 2021 - Revised July 2021

contracts in the specified pool (SP) market and with standardized contracts in the to-be-announced (TBA) market. We find that … increases the yields of all MBS, because it exacerbates the cheapest-to-deliver concerns for TBA buyers and reduces the value of … the TBA market as a backup selling venue for SP buyers; (2) high selling pressure amplifies the impact of MBS …

Persistent link: https://www.econbiz.de/10012240625

Dealers and the dealer of last resort : evidence from MBS markets in the COVID-19 crisis

Chen, Jiakai; Liu, Haoyang; Sarkar, Asani; Song, Zhaogang - 2021 - Revised May 2021

We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets...

Persistent link: https://www.econbiz.de/10012243623