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

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Blazsek, S, Blazsek, V orcid.org/0000-0002-0663-9548 and Kobor, A (2023) Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions. Studies in Nonlinear Dynamics and Econometrics, 27 (2). pp. 237-264. ISSN 1081-1826

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Item Type: Article
Authors/Creators:
Copyright, Publisher and Additional Information:

© 2022 Walter de Gruyter GmbH, Berlin/Boston. Reproduced in accordance with the publisher's self-archiving policy.

Keywords: dynamic conditional score (DCS); generalized autoregressive score (GAS); government conservatorship; government-sponsored enterprises (GSEs); mortgage-backed securities (MBSs); quantitative easing (QE) programs
Dates:
  • Published: April 2023
  • Published (online): 31 March 2022
  • Accepted: 24 January 2022
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Education, Social Sciences and Law (Leeds) > School of Law (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 05 Apr 2023 15:00
Last Modified: 08 Nov 2024 14:49
Status: Published
Publisher: De Gruyter
Identification Number: 10.1515/snde-2021-0066
Open Archives Initiative ID (OAI ID):

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