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The determinants of mortgage yield spread differentials: Securitization

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  • Liu, Benjamin
  • Skully, Michael

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 15 (2005)
Issue (Month): 4-5 (October)
Pages: 314-333

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Handle: RePEc:eee:mulfin:v:15:y:2005:i:4-5:p:314-333

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Web page: http://www.elsevier.com/locate/mulfin

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References

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  1. Christine Pavel & David Phillis, 1987. "Why commercial banks sell loans: an empirical analysis," Economic Perspectives, Federal Reserve Bank of Chicago, issue May, pages 3-14.
  2. Gorton, Gary B. & Pennacchi, George G., 1995. "Banks and loan sales Marketing nonmarketable assets," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 389-411, June.
  3. Berger, Allen N. & Udell, Gregory F., 1990. "Collateral, loan quality and bank risk," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 21-42, January.
  4. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Wiley Blackwell, vol. 51(3), pages 393-414, July.
  5. George Pennacchi, . "Loan Sales and the Cost of Bank Capital," Rodney L. White Center for Financial Research Working Papers 07-87, Wharton School Rodney L. White Center for Financial Research.
  6. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
  7. Patric H. Hendershott & James D. Shilling, 1988. "The Impact of the Agencies on Conventional Fixed-Rate Mortgage Yields," NBER Working Papers 2646, National Bureau of Economic Research, Inc.
  8. Stulz, ReneM. & Johnson, Herb, 1985. "An analysis of secured debt," Journal of Financial Economics, Elsevier, vol. 14(4), pages 501-521, December.
  9. James W. Kolari & Donald R. Fraser & Ali Anari, 1998. "The Effects of Securitization on Mortgage Market Yields: A Cointegration Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 26(4), pages 677-693.
  10. Claire A. Hill, 1997. "Securitization: A Low-Cost Sweetener For Lemons," Journal of Applied Corporate Finance, Morgan Stanley, vol. 10(1), pages 64-71.
  11. Christine Cumming, 1987. "The economics of securitization," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 11-23.
  12. Harry E. Merriken, 1988. "Mortgage Loan Market Segmentation and Lender Pricing Behavior," Journal of Real Estate Research, American Real Estate Society, vol. 3(1), pages 9-18.
  13. James, Christopher, 1988. "The use of loan sales and standby letters of credit by commercial banks," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 395-422.
  14. Peter DeMarzo & Darrell Duffie, 1999. "A Liquidity-Based Model of Security Design," Econometrica, Econometric Society, vol. 67(1), pages 65-100, January.
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Cited by:
  1. Benjamin Liu & Donghui Li & Eduardo Roca, 2009. "What Determine Mortgage Yield Spreads in Australia? Credit Criteria, Funding Channels and the Market Condition," Discussion Papers in Finance finance:200901, Griffith University, Department of Accounting, Finance and Economics.
  2. Quan Gan & Robert J. Hill, 2008. "Measuring Housing Affordability: Looking Beyond the Median," Discussion Papers 2008-09, School of Economics, The University of New South Wales.
  3. Allen Huang & Benjamin Liu, 2009. "The Goods and Services Tax (GST) and Non-Bank Lender Mortgage Costs: Empirical Evidence," Discussion Papers in Finance finance:200915, Griffith University, Department of Accounting, Finance and Economics.
  4. Allen Huang & Benjamin Liu, 2009. "The Goods and Services Tax (GST) and Bank Mortgage Costs: Empirical Evidence," Discussion Papers in Finance finance:200914, Griffith University, Department of Accounting, Finance and Economics.

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