RT Journal Article SR Electronic T1 Crashes in Bond Markets and the Hedging of Mortgage-Backed Securities JF The Journal of Fixed Income FD Institutional Investor Journals SP 19 OP 32 DO 10.3905/jfi.2003.319357 VO 13 IS 3 A1 Andreas Krause YR 2003 UL https://pm-research.com/content/13/3/19.abstract AB In Summer 2003 the U.S. bond market saw significant movements of prices that by far exceeded changes in the underlying economic conditions. According to market commentators, the reason was hedging activities in mortgage-backed securities. A simple model shows how this hedging activity can cause crashes in the bond markets, and so is able to explain the observed developments. Some general properties of the model are broadly consistent with the data, thus confirming the importance of hedging mortgage-backed securities for price developments in bond markets.