Understanding Mortgage Spreads
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- Nina Boyarchenko & Andreas Fuster & David O. Lucca, 2014. "Understanding mortgage spreads," Staff Reports 674, Federal Reserve Bank of New York, revised 01 Apr 2017.
References listed on IDEAS
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Citations
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Cited by:
- Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
- Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018.
"Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities,"
Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1132-1183.
- Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers 22096, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers 10947, C.E.P.R. Discussion Papers.
- Christopoulos, Andreas D. & Jarrow, Robert A., 2018. "CMBS market efficiency: The crisis and the recovery," Journal of Financial Stability, Elsevier, vol. 36(C), pages 159-186.
- Andreas Fuster & Stephanie Lo & Paul S. Willen, 2017.
"The time-varying price of financial intermediation in the mortgage market,"
Working Papers
16-28, Federal Reserve Bank of Boston, revised 01 Jan 2017.
- Andreas Fuster & Stephanie Lo & Paul S. Willen, 2017. "The time-varying price of financial intermediation in the mortgage market," Staff Reports 805, Federal Reserve Bank of New York, revised 01 Aug 2017.
- Andreas Fuster & Stephanie H. Lo & Paul S. Willen, 2017. "The Time-Varying Price of Financial Intermediation in the Mortgage Market," NBER Working Papers 23706, National Bureau of Economic Research, Inc.
- Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2016.
"Mortgage Risk and the Yield Curve,"
Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1220-1253.
- Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015. "Mortgage risk and the yield curve," BIS Working Papers 532, Bank for International Settlements.
- Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2016. "Mortgage risk and the yield curve," LSE Research Online Documents on Economics 64915, London School of Economics and Political Science, LSE Library.
- Ospina, Juan & Uhlig, Harald, 2018.
"Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem,"
CEPR Discussion Papers
12852, C.E.P.R. Discussion Papers.
- Juan Ospina & Harald Uhlig, 2018. "Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem," NBER Working Papers 24509, National Bureau of Economic Research, Inc.
- Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2016. "Prepayment Risk and Expected MBS Returns," NBER Working Papers 22851, National Bureau of Economic Research, Inc.
- Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Beltratti, Andrea & Benetton, Matteo & Gavazza, Alessandro, 2017.
"The role of prepayment penalties in mortgage loans,"
Journal of Banking & Finance, Elsevier, vol. 82(C), pages 165-179.
- Beltratti, Andrea E & Benetton, Matteo & Gavazza, Alessandro, 2015. "The Role of Prepayment Penalties in Mortgage Loans," CEPR Discussion Papers 10504, C.E.P.R. Discussion Papers.
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- Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Cash-Forward Arbitrage and Dealer Capital in MBS Markets: COVID-19 and Beyond ves," Staff Reports 933, Federal Reserve Bank of New York.
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More about this item
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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