100 International Drive
Baltimore, MD 21202
United States
Johns Hopkins University - Carey Business School
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monetary policy, quantitative easing, disaster risk, COVID-19
MBS, Dollar Roll, TBA, Specialness
Asset Class; Bond; Currency; Equity; Option; Tail Risk Concerns
OTC markets, network, corporate bonds, crisis, intermediation chains, leaning against the wind
Multi-Factor Volatility Model, Pricing Kernel, Variance Swaps, VIX Options
Pricing kernel, volatility risk, VIX option, state-price density
Rare diaster concern, hedge fund, skill
Auction, Federal Reserve, Quantitative Easing, Treasury Bond
auction, quantitative easing, Federal Reserve, treasury bond, specialness
Disagreement, heterogeneous beliefs, speculation, asset pricing
Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives
Interest rate variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives, long-run risk, economic uncertainty
return predictability, stochastic volatility-of-volatility, variance risk premium, VIX options, volatility tail risks
mortgage backed securities, OTC Market, Liquidity
Dealer, Decentralization, Intermediation, Liquidity, OTC, Private Information, Trading
Agency MBS, Bank, Fintech, Liquidity, Securitization, Shadow Bank
D8, G2
Cohort, Heterogeneity, Liquidity, MBS, Prepayment, TBA
cohort, heterogeneity, liquidity, MBS, prepayment, TBA
Cohort, MBS, Security design, Specified pool, TBA
Dealer inventory, Discriminatory pricing, Market power, MBS, Monetary policy
arbitrage, cash, dealer, liquidity, MBS, specified pool, TBA
Asset Heterogeneity, Corporate Bonds, Quasi-Consolidated Trading, TBA, MBS, Search
mortgage backed securities, dealer networks, transparency, trade reporting
Bilateral Trading, Dealer, Expertise, Network, OTC, Private Information
Fixed income, Mortgage-backed securities, TBA (To-Be-Announced), Systematic investing, Term premiums, Prepayment risk premiums
MBS, TBA, Single Security Initiative, UMBS, liquidity
Agency MBS, Auction, Dealer, Federal Reserve, Structural Models JEL Codes: E52
MBS; Trading; Transaction Costs
