Haoyang Liu

Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

6

DOWNLOADS

275

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (6)

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 66 Posted: 20 Jul 2020 Last Revised: 06 Jul 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 56 (452,942)
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
Number of pages: 58 Posted: 07 Jul 2020 Last Revised: 03 Dec 2020
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 34 (555,028)
Citation 2

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

2.

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. May 2021
Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 24 May 2021
University of Hawaii, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 73 (389,536)

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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 (441,510)
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 12 (712,969)

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

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 22 (634,095)

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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 3 (789,504)

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5.

Errors in the Dependent Variable of Quantile Regression Models

NBER Working Paper No. w25819
Number of pages: 68 Posted: 15 May 2019 Last Revised: 19 Jul 2021
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 12 (686,494)

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6.

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: 20 Jul 2021
Haoyang Liu and Christopher Palmer
Federal Reserve Bank of New York and MIT Sloan
Downloads 4 (748,550)
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