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Mortgage security hedging and the yield curve

Author

Listed:
  • Julia D. Fernald
  • Frank M. Keane
  • Patricia C. Mosser
Abstract
No abstract is available for this item.

Suggested Citation

  • Julia D. Fernald & Frank M. Keane & Patricia C. Mosser, 1994. "Mortgage security hedging and the yield curve," Research Paper 9411, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednrp:9411
    as

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    Citations

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    Cited by:

    1. Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 620-632, October.
    2. Roberto Perli & Brian P. Sack, 2003. "Does mortgage hedging amplify movements in long-term interest rates?," Finance and Economics Discussion Series 2003-49, Board of Governors of the Federal Reserve System (U.S.).
    3. den Haan, Wouter J. & Sumner, Steven W. & Yamashiro, Guy M., 2007. "Bank loan portfolios and the monetary transmission mechanism," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 904-924, April.
    4. Robin Greenwood & Dimitri Vayanos, 2014. "Bond Supply and Excess Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
    5. Altunbas, Yener & Gambacorta, Leonardo & Marques-Ibanez, David, 2009. "Securitisation and the bank lending channel," European Economic Review, Elsevier, vol. 53(8), pages 996-1009, November.
    6. Zivney, Terry L. & Luft, Carl F., 1999. "Hedging individual mortgage risk," Financial Services Review, Elsevier, vol. 8(2), pages 101-115.
    7. John Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Jun), pages 35-58.
    8. Benjamin H Cohen & Hyun Song Shin, 2002. "Positive feedback trading in the US Treasurey market," BIS Quarterly Review, Bank for International Settlements, June.
    9. Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017. "The Hunt for Duration: Not Waving but Drowning?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 113-153, April.
    10. John Kambhu, 1997. "Interest rate options dealers' hedging in the US dollar fixed income market," Research Paper 9719, Federal Reserve Bank of New York.
    11. Hanson, Samuel G., 2014. "Mortgage convexity," Journal of Financial Economics, Elsevier, vol. 113(2), pages 270-299.

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