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Journal Article
The residential mortgage market in recent years

Economic Review , Volume 60 , Issue Sep , Pages 3-18

Journal Article
Housing finance and the transmission of monetary policy

Quarterly Review , Volume 15 , Issue Sum

Journal Article
Mortgage security hedging and the yield curve

The authors find that the use of Treasury securities to hedge mortgage-backed security extension risk may have magnified increases in long-term interest rates after the tightening of monetary policy in early 1994. Substantial increases in the duration of mortgage securities appear to have caused realignments of hedges and portfolios that, in turn, had a significant impact on the short-run movements of the Treasury market, particularly for ten-year securities. This phenomenon may have altered the short-run dynamics of the yield curve and thus changed the transmission of monetary policy.
Quarterly Review , Volume 19 , Issue Sum , Pages 92-100

Effects of household creditworthiness on mortgage refinancings

Using a unique loan level data set that links individual household credit ratings with property and loan characteristics, we test the extent to which homeowners' equity and credit ratings affect the likelihood that mortgage loans will be refinanced as interest rates fall. The logit model estimates strongly support the importance of both the equity and credit ratings affect the likelihood that mortgage loans will be refinanced as interest rates fall. The logit model estimates strongly support the importance of both the equity and credit variable. These results are interesting both from the ...
Research Paper , Paper 9622

Structural change in the mortgage market and the propensity to refinance

We hypothesize that the intrinsic benefit required to trigger a refinancing has become smaller, due to a combination of technological, regulatory, and structural changes that have made mortgage origination more competitive and more efficient. To test this hypothesis, we estimate an empirical hazard model of loan survival for two subperiods, using a database that allows us to carefully control for homeowners' credit ratings, equity, loan size, and measurable transaction costs. Our findings strongly confirm that credit ratings and home equity have significant effects on refinancing probability. ...
Research Paper , Paper 9736

Mortgage security hedging and the yield curve

Research Paper , Paper 9411

The market for collateralized mortgage obligations (CMOs)

Research Paper , Paper 9413

Housing finance and the transmission mechanism of monetary policy

Research Paper , Paper 9008

Modelling the instability of mortgage-backed prepayments

Prepayment plays a critical role in the performance of mortgage-backed securities. For this reason, market participants have devoted substantial resources to developing formal mathematical models of mortgage prepayment. Despite their considerable efforts, however, the forecasting effectiveness of these propriety models has been unreliable. This paper investigates the structure of the prepayment function. We demonstrate that the prepayment function is nonlinear and heteroskedastic. In particular, we find that prepayments are increasingly more volatile at higher interest rate spreads. Our ...
Research Paper , Paper 9804

The road to recovery: Brooklyn

Remarks by President Dudley at the Brooklyn Chamber of Commerce Brooklyn Borough Hall, Brooklyn, New York.
Speech , Paper 58



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anonymous 45 items

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