The new Geneva Report on the World Economy examines the main threats to international
financial stability, focusing on the implications of major changes that have occurred in the …

This article investigates the effects of mortgage-backed security (MBS) hedging activity on
interest rate volatility and proposes a model that takes these effects into account. An …

Purpose Credit market development requires appropriate credit assessment and default
policies. This paper aims to examine the impact of household characteristics on mortgage …

Abstract Fannie Mae and Freddie Mac are government-sponsored enterprises that are
central players in US secondary mortgage markets. Over the past decade, these institutions …

This paper provides theoretical results for the design of contracts used in the market for
residential household mortgages and mortgage securities. Critical elements in the problem …

Over the past 31 years, The Journal of Fixed Income has published articles that were
primers about the structure and risk characteristics for the growing number of complex …

This paper examines the impact of mortgage hedging activities on interest rate volatility. A
recent analysis by Perli and Sack [2003] provides a framework for evaluating this question …

Systemic risk management problems have plagued the US mortgage funding system
resulting in market failures associated with the collapse of the 'savings and loan'industry in …