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TBA trading and liquidity in the agency MBS market

Vickery, James; Wright, Joshua - Federal Reserve Bank of New York - 2010

Most mortgages in the United States are securitized through the agency mortgage-backed-securities (MBS) market. These … liquidity, leading to lower borrowing costs for households. Evaluation of potential reforms to the U.S. housing finance system …

Persistent link: https://www.econbiz.de/10008643781

The capital structure and governance of a mortgage securitization utility

Mosser, Patricia C.; Tracy, Joseph; Wright, Joshua - Federal Reserve Bank of New York - 2013

We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government reinsurance for systemic or “tail” risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives for appropriate pricing and transfer of...

Persistent link: https://www.econbiz.de/10011027203

Housing busts and household mobility: an update

Ferreira, Fernando; Gyourko, Joseph; Tracy, Joseph - Federal Reserve Bank of New York - 2011

This paper provides updated estimates of the impact of three financial frictions—negative equity, mortgage lock-in, and property tax lock-in—on household mobility. We add the 2009 wave of the American Housing Survey (AHS) to our sample and also create an improved measure of permanent moves...

Persistent link: https://www.econbiz.de/10009366986

Payment changes and default risk: theimpact of refinancing on expected credit losses

Tracy, Joseph; Wright, Joshua - Federal Reserve Bank of New York - 2012

' monthly mortgage payments for a large sample of prime adjustable-rate mortgages. Applying a 26 percent average monthly payment … conforming adjustable-rate mortgages with loan-to-value ratios above 80 percent declines by 3.8 percentage points. If we assume … per dollar of balance for mortgages that refinance under HARP. …

Persistent link: https://www.econbiz.de/10010552107

A private lender cooperative model for residential mortgage finance

Dechario, Toni; Mosser, Patricia; Tracy, Joseph; … - Federal Reserve Bank of New York - 2010

We describe a set of six design principles for the reorganization of the U.S. housing finance system and apply them to …

Persistent link: https://www.econbiz.de/10008461966

Housing busts and household mobility

Ferreira, Fernando; Gyourko, Joseph; Tracy, Joseph - Federal Reserve Bank of New York - 2008

Using two decades of American Housing Survey data from 1985 to 2005, we estimate the influence of negative home equity and rising mortgage interest rates on household mobility. We find that both factors lead to lower, not higher, mobility rates over time. The effects are economically large --...

Persistent link: https://www.econbiz.de/10005420603

Option-implied term structures

Vogt, Erik - Federal Reserve Bank of New York - 2014

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...

Persistent link: https://www.econbiz.de/10011103532