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Mortgage-Backed Securities

Author

Listed:
  • Andreas Fuster

    (Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute; Centre for Economic Policy Research (CEPR))

  • David O. Lucca

    (Federal Reserve Banks - Federal Reserve Bank of New York)

  • James I. Vickery

    (Federal Reserve Bank of Philadelphia)

Abstract

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 descriptive statistics about market size, growth, security characteristics, prepayment, and trading activity. Throughout, we highlight insights from the expanding body of academic research on the MBS market and mortgage securitization.

Suggested Citation

  • Andreas Fuster & David O. Lucca & James I. Vickery, 2022. "Mortgage-Backed Securities," Swiss Finance Institute Research Paper Series 22-13, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2213
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    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4026234
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    Cited by:

    1. is not listed on IDEAS
    2. Allen, Franklin & Barbalau, Adelina, 2024. "Security design: A review," Journal of Financial Intermediation, Elsevier, vol. 60(C).

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    Keywords

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    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
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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