The Real Effects of Secondary Market Trading Structure: Evidence from the Mortgage Market
研究了TBA市场结构对抵押贷款利率的影响，发现TBA资格使利率降低7至28个基点，且对预期提前还款较高的抵押贷款影响更大，同时影响再融资行为，对货币政策传导和住房政策有启示。
Abstract By allowing different agency mortgage-backed securities (MBS) to be traded based on limited characteristics, the to-be-announced (TBA) market generates liquidity and benefits the MBS market broadly. We quantify effects of the TBA structure on mortgage borrowers. Exploiting discontinuities in TBA eligibility, we estimate that TBA eligibility reduces mortgage rates by 7 to 28 basis points. The TBA eligibility benefit is larger for mortgages with higher expected prepayments. We also find that TBA eligibility affects refinancing, which has implications for monetary policy transmission. Our finding is relevant for housing policies, such as housing finance reforms and uniform MBS. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.