The Real Effects of Secondary Market Trading Structure: Evidence from the Mortgage Market
成果类型：
Article
署名作者：
Huh, Yesol; Kim, You Suk
署名单位：
Federal Reserve System - USA; Federal Reserve System Board of Governors
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhab116
发表日期：
2022
页码：
3574
关键词：
摘要：
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 , which is available on the Oxford University Press Web site next to the link to the final published paper online.
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