{"title":"Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions","authors":"Szabolcs Blazsek, V. Blazsek, Adam Kobor","doi":"10.1515/snde-2021-0066","DOIUrl":null,"url":null,"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.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"27 1","pages":"237 - 264"},"PeriodicalIF":0.7000,"publicationDate":"2022-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies in Nonlinear Dynamics and Econometrics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1515/snde-2021-0066","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.
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