Haoyang Liu

Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

9

DOWNLOADS

812

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Scholarly Papers (9)

1.

Shadow Bank and Fintech Mortgage Securitization

Johns Hopkins Carey Business School Research Paper No. 21-06
Number of pages: 49 Posted: 15 Jul 2021 Last Revised: 25 Apr 2022
Yu An, Lei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins Carey Business School, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 205 (206,598)

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Agency MBS, Bank, Fintech, Liquidity, Securitization, Shadow Bank

Asset Pricing with Cohort-Based Trading in MBS Markets

Journal of Finance, Forthcoming
Number of pages: 106 Posted: 20 Jul 2020 Last Revised: 28 Sep 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 146 (276,512)
Citation 2

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Cohort, Heterogeneity, Liquidity, MBS, Prepayment, TBA

Asset Pricing with Cohort-Based Trading in MBS Markets

FRB of New York Staff Report No. 931, Rev. July 2021
Number of pages: 67 Posted: 07 Jul 2020 Last Revised: 11 Aug 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 46 (552,577)
Citation 1

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

3.

Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis

FRB of New York Staff Report No. 933, Rev. October 2021
Number of pages: 56 Posted: 21 Jul 2020 Last Revised: 06 Oct 2021
University of Hawaii, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 135 (292,995)
Citation 1

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arbitrage, cash, dealer, liquidity, MBS, specified pool, TBA

Villains or Scapegoats? The Role of Subprime Borrowers in Driving the U.S. Housing Boom

FRB Atlanta Working Paper No. 2018-10
Number of pages: 48 Posted: 29 Aug 2018 Last Revised: 29 Apr 2020
University of Georgia, Federal Reserve Bank of Dallas, Federal Reserve Bank of Atlanta and Federal Reserve Bank of New York
Downloads 59 (493,978)
Citation 1

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mortgages, subprime, house prices, credit scores, housing boom

Villains or Scapegoats? The Role of Subprime Borrowers in Driving the U.S. Housing Boom

FRB of Dallas Working Paper No. 2013
Number of pages: 72 Posted: 23 May 2020
University of Georgia, affiliation not provided to SSRN, affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads 13 (788,078)

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mortgages, subprime, house prices, credit scores, housing boom

5.

Monetary Policy, Business Liquidity and Survival: Evidence from the Refinancing Channel

Number of pages: 52 Posted: 16 Nov 2021 Last Revised: 29 Nov 2021
Haoyang Liu, Rodney Ramcharan and Dean Parker
Federal Reserve Bank of New York, University of Southern California, Marshall School of Business and Federal Reserve Bank of New York
Downloads 69 (450,057)

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monetary policy, liqudity, refinancing, small businesses

Defragmenting Markets: Evidence from Agency MBS

FRB of New York Staff Report No. 965
Number of pages: 53 Posted: 05 May 2021
Haoyang Liu, Zhaogang Song and James I. Vickery
Federal Reserve Bank of New York, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 57 (502,176)

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MBS, TBA, Single Security Initiative, UMBS, liquidity

Defragmenting Markets: Evidence from Agency MBS

FRB of Philadelphia Working Paper No. 21-25
Number of pages: 53 Posted: 09 Jul 2021
Haoyang Liu, Zhaogang Song and James I. Vickery
Federal Reserve Bank of New York, Johns Hopkins University - Carey Business School and Federal Reserve Bank of Philadelphia
Downloads 5 (872,742)

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The Federal Reserve’s Market Functioning Purchases

FRB of New York Staff Report No. 998
Number of pages: 38 Posted: 27 Dec 2021
Federal Reserve Bank of New York, Federal Reserve Bank of New York, affiliation not provided to SSRN and Harbor Capital Advisors, Inc.
Downloads 46 (552,577)

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Federal Reserve, asset purchases, Treasury securities, agency mortgage-backed securities, COVID-19

The Federal Reserve’s Market Functioning Purchases

Economic Policy Review, Vol. 28, No. 1, p. 210-241
Number of pages: 33 Posted: 07 Jul 2022
Federal Reserve Bank of New York, Federal Reserve Bank of New York, affiliation not provided to SSRN and Harbor Capital Advisors, Inc.
Downloads 8 (839,616)

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Federal Reserve, asset purchases, Treasury securities, agency mortgage-backed securities, COVID-19

8.

Errors in the Dependent Variable of Quantile Regression Models

NBER Working Paper No. w25819
Number of pages: 68 Posted: 15 May 2019 Last Revised: 20 Jul 2022
Massachusetts Institute of Technology (MIT) - Department of Economics, Federal Reserve Bank of New York, Faculty of Business and Economics, The University of Hong Kong and MIT Sloan
Downloads 16 (733,632)

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9.

Are Stated Expectations Actual Beliefs? New Evidence for the Beliefs Channel of Investment Demand

NBER Working Paper No. w28926
Number of pages: 75 Posted: 21 Jun 2021 Last Revised: 16 Jul 2022
Haoyang Liu and Christopher Palmer
Federal Reserve Bank of New York and MIT Sloan
Downloads 7 (818,543)
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