Mortgage security hedging and the yield curve
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Cited by:
- Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 620-632, October.
- Roberto Perli & Brian P. Sack, 2003. "Does mortgage hedging amplify movements in long-term interest rates?," Finance and Economics Discussion Series 2003-49, Board of Governors of the Federal Reserve System (U.S.).
- den Haan, Wouter J. & Sumner, Steven W. & Yamashiro, Guy M., 2007.
"Bank loan portfolios and the monetary transmission mechanism,"
Journal of Monetary Economics, Elsevier, vol. 54(3), pages 904-924, April.
- Den Haan, Wouter & Sumner, Steven & Yamashiro, Guy, 2004. "Banks' Loan Portfolio and the Monetary Transmission Mechanism," CEPR Discussion Papers 4725, C.E.P.R. Discussion Papers.
- Robin Greenwood & Dimitri Vayanos, 2014.
"Bond Supply and Excess Bond Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
- Vayanos, Dimitri & Greenwood, Robin, 2008. "Bond Supply and Excess Bond Returns," CEPR Discussion Papers 6694, C.E.P.R. Discussion Papers.
- Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics 24425, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
- Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
- Altunbas, Yener & Gambacorta, Leonardo & Marques-Ibanez, David, 2009.
"Securitisation and the bank lending channel,"
European Economic Review, Elsevier, vol. 53(8), pages 996-1009, November.
- Altunbas, Yener & Gambacorta, Leonardo & Marqués-Ibáñez, David, 2007. "Securitisation and the bank lending channel," Working Paper Series 838, European Central Bank.
- Yener Altunbas & Leonardo Gambacorta & David Marques, 2008. "Securitization and the bank lending channel," Proceedings 1101, Federal Reserve Bank of Chicago.
- Yener Altunbas & Leonardo Gambacorta & David Marqu�s, 2007. "Securitisation and the bank lending channel," Temi di discussione (Economic working papers) 653, Bank of Italy, Economic Research and International Relations Area.
- Zivney, Terry L. & Luft, Carl F., 1999. "Hedging individual mortgage risk," Financial Services Review, Elsevier, vol. 8(2), pages 101-115.
- John Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Jun), pages 35-58.
- Benjamin H Cohen & Hyun Song Shin, 2002. "Positive feedback trading in the US Treasurey market," BIS Quarterly Review, Bank for International Settlements, June.
- Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017.
"The Hunt for Duration: Not Waving but Drowning?,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 113-153, April.
- Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015. "The hunt for duration: not waving but drowning?," BIS Working Papers 519, Bank for International Settlements.
- John Kambhu, 1997. "Interest rate options dealers' hedging in the US dollar fixed income market," Research Paper 9719, Federal Reserve Bank of New York.
- Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.
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Keywords
Asset-backed financing; Hedging (Finance); Mortgages;All these keywords.
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