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Mortgage-Backed Securities

Author

Listed:
  • Fuster, Andreas
  • Lucca, David
  • Vickery, James

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

  • Fuster, Andreas & Lucca, David & Vickery, James, 2022. "Mortgage-Backed Securities," CEPR Discussion Papers 16989, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:16989
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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).

    More about this item

    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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