A research note by Citi analysts Rohit Thapliyal, Haein Choi and Robert Rowe examines the impact of GSE related headlines on agency debt, MBS, preferred stock and equity markets during the course of the past five years and across three phases.
Agency preferred stock: Headline sensitivity
It is clear from the above charts that agency debt shows low volatility across the three phases of crisis response, stabilization and recovery.
However, agency MBS can be observed to be more sensitive to headlines, compared to debt, as it reacted to headlines from the Fed relating to QE,...
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