Using the ECB's QE program in the covered bond market as a bond supply shock that mechanically absorbs the same fraction of outstanding bonds across euro area countries, this paper studies data on credit spreads, bid-ask spreads and bond issuances to test the predictions of a preferred habitat...

In this article, a prepayment model for pricing and risk management of callable mortgage bonds is presented. The focus is not to explain or make any detailed analysis of prepayment behaviour, but to design a model for prepayments that is tailor made for use in a Monte Carlo set-up or a Finite...

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

This study documents that asset purchase programs can dampen market liquidity. It uses a unique dataset of global euro-denominated covered bonds, which quantitative easing has affected to a larger extent than other markets. While the start of the central bank purchases amplifies liquidity for...

Given the negative financial and economic shocks of the COVID-19 pandemic, the Bank of Canada (BoC) adopted several policies, including a suite of monetary policies, to maintain a healthy level of market liquidity. Among these measures, the BoC established the Canada Mortgage Bond Purchase...

As the Global Financial Crisis spread, liquidity strains appeared in Norwegian money markets, limiting banks from accessing high-quality and long-term financing. In response, on October 24, 2008, the Norwegian government authorized a Norwegian krone (NOK) 350 billion (USD 50 billion) covered...