全球智库信息集成服务系统(G2TT): Agency MBS as Safe Assets

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w29899
来源ID	Working Paper 29899
	Agency MBS as Safe Assets
	Zhiguo He; Zhaogang Song
发表日期	2022-04-04
出版年	2022
语种	英语
摘要	Measured as yield spreads against AAA corporate bonds, the convenience premium for agency MBS averaged 47 basis points between 1995 and 2021, about half of the long-term-Treasury convenience premium. Both the MBS convenience premium and the issuance amount vary negatively with the mortgage rate, which is consistent with a prepayment-driven demand channel. This negative dependence contrasts strikingly with the positive dependence of the MBS-repo convenience premium on interest rates, as implied by the “opportunity cost of money” hypothesis. The placing of agencies into conservatorship in 2008 and the introduction of the liquidity coverage ratio in 2013 affected the convenience premium significantly, which is consistent with the safety and regulatory-constraint channels of demand for MBS. Based on “structural” restrictions in standard models, the ratio of MBS to Treasury convenience premia pinpoints the time-varying MBS-specific demand empirically.
主题	Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions
URL	https://www.nber.org/papers/w29899
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/587572
推荐引用方式 GB/T 7714	Zhiguo He,Zhaogang Song. Agency MBS as Safe Assets. 2022.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w29899.pdf（617KB）	智库出版物		限制开放	CC BY-NC-SA	浏览