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Has MBS Market Liquidity Deteriorated?

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Abstract

Mortgage-backed securities guaranteed by the government-backed entities Fannie Mae, Freddie Mac, and Ginnie Mae, or so-called ?agency MBS,? are the primary funding source for U.S. residential housing. A significant deterioration in the liquidity of the MBS market could lead investors to demand a premium for transacting in this important market, ultimately raising borrowing costs for U.S. homeowners. This post looks for evidence of changes in agency MBS market liquidity, complementing similar posts studying liquidity in U.S. Treasury and corporate bond markets.

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  • Michael J. Fleming & Andreas Fuster & Linsey Molloy & Rich Podjasek, 2016. "Has MBS Market Liquidity Deteriorated?," Liberty Street Economics 20160208a, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87096
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    Keywords

    Mortgage-backed securities; Liquidity;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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