The Real Effects of Secondary Market Trading Structure: Evidence from the Mortgage Market

Autor:	You Suk Kim, Yesol Huh
Rok vydání:	2021
Předmět:	Structure (mathematical logic) Economics and Econometrics Primary market Basis point Accounting Agency (sociology) Secondary market Monetary economics Business Finance Market liquidity Monetary policy transmission
Zdroj:	The Review of Financial Studies. 35:3574-3616
ISSN:	1465-7368 0893-9454
DOI:	10.1093/rfs/hhab116
Popis:	By allowing different agency mortgage-backed securities (MBS) to be traded based on limited characteristics, the to-be-announced (TBA) market generates liquidity and benefits the MBS market broadly. We quantify effects of the TBA structure on mortgage borrowers. Exploiting discontinuities in TBA eligibility, we estimate that TBA eligibility reduces mortgage rates by 7 to 28 basis points. The TBA eligibility benefit is larger for mortgages with higher expected prepayments. We also find that TBA eligibility affects refinancing, which has implications for monetary policy transmission. Our finding is relevant for housing policies, such as housing finance reforms and uniform MBS. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f672986a2ee255fa1911716479405f0a https://doi.org/10.1093/rfs/hhab116 Zobrazit plný text záznamu