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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
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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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: |
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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): | oai:eprints.whiterose.ac.uk:194986 |
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Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions. (deposited 28 Jan 2022 10:37)
- Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions. (deposited 05 Apr 2023 15:00) [Currently Displayed]