g******4
发帖数: 6339 | 1 【 以下文字转载自 Boston 讨论区 】
发信人: gogo2004 (挑灯看剑), 信区: Boston
标 题: 缩表->MBS bond prices-> ->房价
发信站: BBS 未名空间站 (Thu Sep 21 21:38:24 2017, 美东)
美联储(Federal Reserve)保留了今年内再一次加息的可能性，同时逆转其在危机时代
出台的刺激计划，这是一个乐观标志，说明美联储相信通胀将会摆脱今年的疲软态势。
由珍妮特•耶伦(Janet Yellen)担任主席的美国央行周三表示，将从10月开始缩
减其数万亿美元的资产负债表，即便其维持1%至1.25%的基准利率目标区间不变。在承
认最近飓风在德克萨斯州和佛罗里达州造成重大损失的同时，多数政策制定者坚持原有
的预测，即2017年将会再加息一次（最有可能是在12月），2018年还会进一步加息三次。
FED will start selling off MBS holding. It will cause the bond supply curve
to shift right, which alone will decrease bond prices (increase the interest
rate)
Month MBS for FED to sell
1 $4b
2 $4b
3 $4b
4 $8b
5 $8b
6 $8b
7 $12b
8 $12b
9 $12b
10 $16b
11 $16b
12 $16b
13 $20b
14 $20b
....
$20b
$20b
----------------------------------------------
*** the size of the MBS market relative to Federal Reserve holdings ***
The Fed holds about $1.7 trillion of MBS, or about 23%
MBS trading volume is many times larger than that observed in the corporate
bond market. Daily MBS trading volume fluctuates between $10 and $80
billion per day while trading volume in a typical, U.S. corporate bond
fluctuates between $15 and $40 million per day suggesting that MBS are much
more liquid than U.S. corporate bonds. Finally, MBS and U.S. Treasury
trading volumes are of a similar order of magnitude though MBS trading
volumes are generally larger and somewhat more volatile.
https://mkevane.com/2015/08/06/size-of-mortgage-backed-securities-market/ |
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