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Thursday, June 10th: Zoom Code: 980 0891 3763
| Time | Speaker | Affiliation | Topic | |
|---|---|---|---|---|
| 11:50am - 12:00pm | Gathering and Introductions | |||
| Section 1: Microstructure of Housing Markets | ||||
| 12:00pm - 1:00pm | Jia Xie | California State University, Fullerton | Market Distortions with Collusion of Agents | |
| 1:00pm - 2:00pm | Anthony Lee Zhang | Chicago Booth | Liquidity in Residential Real Estate Markets | |
| 1:00pm - 2:00pm | Coffee/Tea Break | |||
| Section 2: Housing and Inequality | ||||
| 2:00pm - 2:30pm | Yongqiang Chu | University of North Carolina, Charlotte | The Color of Hedge Fund Activism | |
| 2:30pm - 3:30pm | Dan | |||
| McMillen | University of Illinois, Chicago | Measures of Vertical Inequality in Assessments | ||
| 3:30pm - 4:30pm | Break | |||
Friday, June 11th: Zoom Code: 995 2915 3136
| Time | Speaker | Affiliation | Title | |
|---|---|---|---|---|
| 10:20am - 10:30am | Gathering and Introductions | |||
| Section 3: Mortgage Market | ||||
| 10:30am - 11:30am | Haoyang Liu | Federal Reserve Bank of New York | Defragmenting Markets - Evidence from Agency MBS | |
| 11:30am - 12:30pm | Yildiray Yildirim | City University of New York | Deep Learning for disentangling Liquidity-constrained and Strategic Default | |
| 12:30pm - 1:30pm | Coffee/Tea Break | |||
| Section 4: Housing Cycle, Financial Stability, Corporate Finance | ||||
| 1:30pm - 2:30pm | Timothy McQuade | University of Colorado - Boulder | The 2000s Housing Cycle With 2020 Hindsight - A Neo-Kindlebergerian View | |
| 2:30pm - 3:30pm | Amiyatosh Purnanandam | University of Michigan | Did Banks Pay "Fair" Returns to Taxpayers on TARP? | |
| 3:30pm - 4:30pm | Neng Wang | Columbia University | Leverage Dynamics under Costly Equity Issuance | |
| 4:30pm - 4:40pm | Wrap Up | |||
Speakers:
Anthony Lee Zhang
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| Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae MBS, leading to higher issuance and trading volume, lower transaction costs, higher security prices, and a lower primary market cost of capital for Fannie Mae. We then analyze a change in market design—the Single Security Initiative—which consolidated Fannie Mae and Freddie Mac MBS trading into a single market in June 2019. We find that consolidation increased the liquidity and prices of Freddie Mac MBS without measurably reducing liquidity for Fannie Mae; this was in part achieved by aligning characteristics of the underlying MBS pools issued by the two agencies. Prices partially converged prior to the consolidation event, in anticipation of future liquidity. Consolidation increased Freddie Mac’s fee income by enabling it to remove discounts that previously compensated loan sellers for lower liquidity. |
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Dan
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McMillen
University of Illinois, Chicago
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