Similar Search Results

The term asset-backed securities loan facility

Caviness, Elizabeth; Sarkar, Asani; Goyal, Ankur; Park, … - In: Economic policy review 28 (2022) 1, pp. 161-184

Persistent link: https://www.econbiz.de/10013329793

Large-scale asset purchases by the Federal Reserve : did they work?

Gagnon, Joseph E.; Raskin, Matthew; Remache, Julie; … - 2010

Since December 2008, the Federal Reserve’s traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...

Persistent link: https://www.econbiz.de/10003948813

The rise and fall of demand for securitizations

Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi - 2014

government-guaranteed MBS to meet their liquidity needs during the crisis …

Persistent link: https://www.econbiz.de/10010532196

Funding liquidity risk and the cross-section of MBS returns

Kitsul, Yuriy; Ochoa, Marcelo - 2016

This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …

Persistent link: https://www.econbiz.de/10011500433

A Chinese Slowdown and the Nominal Term Structures of the US and German Interest Rates

Maletic, Matjaz - 2018

To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...

Persistent link: https://www.econbiz.de/10012913804

Assessing the impact of demand shocks on the US term premium

Barnett, Russell; Zmitrowicz, Konrad - 2018

During and after the Great Recession of 2008-09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more...

Persistent link: https://www.econbiz.de/10011873794

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates

Jarrow, Robert A. - 2012

This paper estimates the impact of the Federal Reserve's 2008-2011 quantitative easing (QE) program on the U.S. term structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly includes the quantity impact of the Fed's trades on...

Persistent link: https://www.econbiz.de/10013108838

Intermediary balance sheets and the treasury yield curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022

We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...

Persistent link: https://www.econbiz.de/10013277487

Using conceptual models to theorize about the relationship between records and risk in the global financial crisis

Monu, Kafui; Lemieux, Victoria L.; Limonad, Lior; Woo, … - In: Financial analysis and risk management : data …, (pp. 73-98). 2013

Persistent link: https://www.econbiz.de/10009665260

Skin-in-the-game in ABS transactions : a critical review of policy options

Krahnen, Jan Pieter; Wilde, Christian - 2017

This paper applies the theory of structured finance to the regulation of asset backed securities. We find the current regulation in Europe (Article 405 of the CRR) and the US (Section D of Dodd-Frank Act) to be severely flawed with respect to its key intention: the imposition of a strict loss...

Persistent link: https://www.econbiz.de/10011593319