Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions-Reference-Cited by-同舟云学术

Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions

Published:2022-03-31 Issue:2 Volume:27 Page:237-264
ISSN:1558-3708
Container-title:Studies in Nonlinear Dynamics & Econometrics
language:en
Short-container-title:

Author:

Blazsek Szabolcs¹,Blazsek Virag²,Kobor Adam³

Affiliation:

1. School of Business , Universidad Francisco Marroquín , Guatemala City , 01010 , Guatemala

2. School of Law , University of Leeds , Leeds LS2 9JT , UK

3. Investment Office , New York University , New York NY 10012 , USA

Abstract

Abstract In this paper, the effects of United States (US) policy actions on mortgage-backed security and mortgage loan spreads are measured, by using data before, during, and after the US subprime mortgage crisis. We study the effects of the following policy actions: (i) the placement of Fannie Mae and Freddie Mac into US Government conservatorship; (ii) the US Federal Reserve quantitative easing (QE) programs. We provide the following contributions to the literature: (i) for a robust measurement of policy effects, a new multi-equation score-driven t-QVARMA (quasi-vector autoregressive moving average) model is used. (ii) In addition to the measurement of the effects of QE, the effects of government conservatorship are also measured in this paper. (iii) Furthermore, the data period of the relevant literature is extended to the period of June 1998 to March 2020.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis

Link

https://www.degruyter.com/document/doi/10.1515/snde-2021-0066/pdf

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