On November 25, 2008, the Federal Reserve announced it would purchase mortgage-
backed securities (MBS). This program affected mortgage rates through three channels:(1) …

Long-term interest rates in Europe fell sharply in 2014 to historically low levels. This
development is often attributed to yield-chasing in anticipation of quantitative easing by the …

We analyze a six-factor model for Treasury bonds, corporate bonds, and swap rates and
decompose swap spreads into three components: a convenience yield from holding …

We study the portfolio behavior of bank loans following a monetary tightening and find that
real estate and consumer loans sharply decrease, while commercial and industrial (C&I) …

Variable annuities, the largest liability of US life insurers, are investment products containing
long-dated minimum return guarantees. I show that guarantees with similar economic risks …

We document the portfolio activity of federal housing agencies and provide evidence on its
impact on mortgage markets and the economy. Through a narrative analysis, we identify …

The question of whether and to what extent option trading affects underlying stock prices has
been of interest to researchers since exchange-based options trading began in 1973 …

Abstract The roles of Fannie Mae and Freddie Mac have become increasingly controversial
in the modern world of residential mortgage finance. We describe the special features of …

Most home mortgages in the United States are fixed-rate loans with an embedded
prepayment option. When long-term rates decline, the effective duration of mortgage-backed …

We establish an empirical link between the ex-ante uncertainty about macroeconomic
fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure …