TY - JOUR T1 - The Structural Change in Mortgage–Treasury Spreads during the Credit Crunch JF - The Journal of Fixed Income SP - 47 LP - 51 DO - 10.3905/JFI.2009.18.3.047 VL - 18 IS - 3 AU - Mashayekh-Ahangarani Pouyan Y1 - 2008/12/31 UR - https://pm-research.com/content/18/3/47.abstract N2 - Traditionally, the MBS and Treasury markets have been intertwined so closely that hedging of mortgage portfolios could have been done solely by Treasury derivatives. With the credit crunch in 2007, the spread between mortgage rates and Treasuries strayed from the historical stable pattern. In this study, a cointegration model is used to explain the structural change in the Treasury–mortgage spread during the credit crunch period. ABX derivatives should be proposed as a necessary additional instrument for hedging mortgage portfolios.TOPICS: MBS and residential mortgage loans, fixed-income portfolio management, financial crises and financial market history, statistical methods ER -