increased the liquidity and prices of Freddie Mac MBS without measurably reducing liquidity for Fannie Mae; this was in part …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 …

increased the liquidity and prices of Freddie Mac MBS without measurably reducing liquidity for Fannie Mae; this was in part …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 …

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 … heterogeneity on MBS yields; and (3) greater MBS heterogeneity dampens trading activities on both the SP and TBA markets but …

We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and … the price difference between the cash and forward markets of agency MBS controlling for differences in fundamentals … liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but …

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 … heterogeneity on MBS yields; and (3) greater MBS heterogeneity dampens trading activities on both the SP and TBA markets but …

We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and … the price difference between the cash and forward markets of agency MBS controlling for differences in fundamentals … liquidity shock. Dealers provided liquidity by increasing both their long cash and short forward positions significantly, but …

infrastructure with the creation of FNMA in 1938 and in order to create liquidity in the mortgage market required the standardization … homogeneous that they could trade in liquid markets. These developments allowed 22 years of uninterrupted liquidity in the market …