The predictive strength of MBS yield spreads during asset bubbles
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DOI: 10.1007/s11156-020-00888-8
Abstract: We examine whether the predictive power of initial yield spreads of mortgage-backed securities (MBS) vary with the financial cycle. Using a cross-country sample of 4203 MBS, we find that initial yield spreads of MBS incorporate… read more here.
Keywords: initial yield; asset; predictive strength; yield spreads ... See more keywords