The Effect of Conforming Loan Status on Mortgage Yield Spreads : A Loan Level Analysis

@inproceedings{Ambrose2003TheEO,
  title={The Effect of Conforming Loan Status on Mortgage Yield Spreads : A Loan Level Analysis},
  author={Brent W. Ambrose and Michael LaCour-Little and Anthony B. Sanders},
  year={2003}
}
The magnitude of the effect of government-sponsored enterprise purchases on primary mortgage market rates has been a difficult research question with differing data and competing methodologies producing varying results. Here we present a new approach using loan level data and controlling for credit risk differentials between conforming and non-conforming loans. Our method also addresses econometric problems of endogeneity and sample selection bias. We find that conforming loans have yield… CONTINUE READING

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