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Publications

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  • All HBS Web  (27)
    • Faculty Publications  (4)

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    • All HBS Web  (27)
      • Faculty Publications  (4)

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      • May 2020
      • Article

      How Quantitative Easing Works: Evidence on the Refinancing Channel

      By: Marco Di Maggio, Amir Kermani and Christopher Palmer
      We document the transmission of large-scale asset purchases by the Federal Reserve to the real economy using rich borrower-linked mortgage-market data and an identification strategy based on mortgage market segmentation. We find that central bank QE1 MBS purchases...  View Details
      Keywords: Monetary Policy; MBS; Quantitative Easing; LSAP; Refinancing; Deleveraging; HARP; GSE; Central Banking; Global Range; Financing and Loans; Credit; United States
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      Di Maggio, Marco, Amir Kermani, and Christopher Palmer. "How Quantitative Easing Works: Evidence on the Refinancing Channel." Review of Economic Studies 87, no. 3 (May 2020): 1498–1528.
      • 2015
      • Mimeo

      Market Power in Mortgage Lending and the Transmission of Monetary Policy

      By: David S. Scharfstein and Adi Sunderam
      We present evidence that high concentration in mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. We isolate the direct effect of concentration and rule out alternative explanations in two ways....  View Details
      Keywords: Mortgage Lending; Market Power; Monetary Policy Transmission; Mortgages; Banking Industry; United States
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      Scharfstein, David S., and Adi Sunderam. "Market Power in Mortgage Lending and the Transmission of Monetary Policy." April 2015. Mimeo.
      • August 2014
      • Article

      Mortgage Convexity

      By: Samuel G. Hanson
      Most home mortgages in the United States are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. I show that these changes in MBS...  View Details
      Keywords: Mortgages; Interest Rates; Volatility
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      Hanson, Samuel G. "Mortgage Convexity." Journal of Financial Economics 113, no. 2 (August 2014): 270–299. (Internet Appendix Here.)
      • 2011
      • Chapter

      The Economics of Housing Finance Reform

      By: David S. Scharfstein and Adi Sunderam
      This paper analyzes the two leading types of proposals for reform of the housing finance system: (i) broad-based, explicit, priced government guarantees of mortgage-backed securities (MBS) and (ii) privatization. Both proposals have drawbacks. Properly-priced...  View Details
      Keywords: Economics; Housing; Governing Rules, Regulations, and Reforms; Policy; Government and Politics
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      Scharfstein, David S., and Adi Sunderam. "The Economics of Housing Finance Reform." In The Future of Housing Finance: Restructuring the U.S. Residential Mortgage Market, edited by Martin Neil Baily. Brookings Institution Press, 2011.
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