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Unconventional monetary policy and risk-taking: Evidence from agency mortgage REITs
Frame, W. Scott; Steiner, Eva - 2018
. We document that Agency mortgage REITs: [i] equity prices reacted to QE announcements and in a manner consistent with …We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate … investment trusts (REITs) - a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk …
Persistent link: https://www.econbiz.de/10012030274
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Quantitative easing and agency MBS investment and financing choices by mortgage REITs
Frame, W. Scott; Steiner, Eva - In: Real estate economics 50 (2022) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10013275943
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Quantitative easing and financial risk taking : evidence from agency mortgage REITs
Frame, W. Scott; Steiner, Eva - 2020
Persistent link: https://www.econbiz.de/10012387983
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How the Federal Reserve's Large-Scale Asset Purchases (LSAPs) Influence Mortgage-Backed Securities (MBS) Yields and U.S. Mortgage Rates
Hancock, Diana - 2014
mortgage rates. The Federal Reserve's accumulation of MBS and Treasury securities lowered MBS yields and mortgage rates by more … turn significantly lower mortgage rates …
Persistent link: https://www.econbiz.de/10013059311
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Toxic asset subsidies and the early redemption of talf loans
Wilson, Linus - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-20
predict the early redemption of Term Asset-Backed Securities Loan Facility (TALF) loans used to purchase commercial mortgage …
Persistent link: https://www.econbiz.de/10013252762
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Unconventional Monetary Policy and Risk-Taking : Evidence from Agency Mortgage REITs
Frame, W. Scott - 2018
We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage REITs – a set of … institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage … REITs: (i) equity prices reacted to QE announcements and in a manner consistent with their business prospects; (ii) grew …
Persistent link: https://www.econbiz.de/10012917272
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The bank liquidity channel of financial (in)stability
Bosshardt, Joshua; Kakhbod, Ali; Saidi, Farzad - 2021
We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...
Persistent link: https://www.econbiz.de/10012614764
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Agency conflicts in residential mortgage securitization : what does the empirical literature tell us?
Frame, W. Scott - 2016
research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the …The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent … origination and distribution of observably riskier loans. Low-documentation mortgages, for which asymmetric information problems …
Persistent link: https://www.econbiz.de/10011623267
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Resolving a non-performing loan crisis : the ongoing case of the Irish mortgage market
McCann, Fergal - 2018
resolution of the mortgage arrears crisis in Ireland. Using a large and close to exhaustive panel data set of Irish mortgages … legacy effects of the crisis in explaining recent entry to arrears, the role of mortgage modification in the reduction in … Irish mortgage market. …
Persistent link: https://www.econbiz.de/10011848377
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Conservatorship, Quantitative Easing, and Mortgage Spreads : A New Multi-Equation Score-Driven Model of Policy Actions
Blazsek, Szabolcs; Kobor, Adam; Blazsek, Virág Ilona - 2021
This paper studies how United States (US) policy actions impacted mortgage-backed securities (MBS) investors and … mortgage borrowers during the subprime mortgage crisis of 2007 to 2010. The effects of the following policy actions on MBS … spreads and mortgage lending spreads are studied: (i) US Government conservatorship of Fannie Mae and Freddie Mac; (ii) US …
Persistent link: https://www.econbiz.de/10013222373