Agency MBS as Safe Assets
研究发现机构MBS的便利溢价平均超过长期国债便利溢价的一半，且与抵押贷款利率负相关，2008年托管和2013年流动性监管显著影响该溢价，表明政府担保和监管渠道的作用。
Abstract Measured as yield spreads against Treasury securities and AAA corporate bonds, the convenience premium of newly issued agency MBS averages more than half of the long-term Treasury convenience premium. The agency MBS convenience premium and issuance amount vary negatively with mortgage rate, consistent with a prepayment-driven channel. Placing agencies into conservatorship in 2008 and introducing liquidity regulations in 2013 significantly affected MBS convenience premium, consistent with government guarantee and regulatory treatment channels. Analyses of dispersion of dealers’ prepayment forecasts, seasoned MBS, and investors’ MBS holdings deliver further economic implications for agency MBS as safe assets.