{"title":"Did the Federal Reserve’s MBS Purchase Program Lower Mortgage Rates?","authors":"D. Hancock, S. W. Passmore","doi":"10.2139/ssrn.1957380","DOIUrl":"https://doi.org/10.2139/ssrn.1957380","url":null,"abstract":"On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were important during the height of the financial crisis, but the effects of the third depended on market conditions. Overall, the program put significant downward pressure on mortgage rates.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130442025","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Monetary Policy and Excessive Bank Risk Taking","authors":"Itai Agur, M. Demertzis","doi":"10.2139/ssrn.1950167","DOIUrl":"https://doi.org/10.2139/ssrn.1950167","url":null,"abstract":"If monetary policy is to aim at financial stability, how would it change? To analyze this question, this paper develops a general-form model with endogenous bank risk profiles. Policy rates affect both bank incentives to search for yield and the cost of wholesale funding. Financial stability objectives are then shown to make a monetary authority more conservative and more aggressive. Conservative as it sets higher rates on average. And aggressive because, in reaction to negative shocks, cuts are deeper but shorter-lived than otherwise. Keeping cuts short is crucial as bank risk responds primarily to stable low rates. Within the short span, cuts then must be deep to achieve standard objectives.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127654585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Euro Area Yield Curve: An Analysis with Nelson-Siegel Type Models","authors":"A. Carboni, A. Carboni","doi":"10.2139/ssrn.1962845","DOIUrl":"https://doi.org/10.2139/ssrn.1962845","url":null,"abstract":"We present Nelson-Siegel-type yield curves for the Euro Area, by studying the in-sample fit and the out-of sample forecasting properties. Moreover, we add macro variables (output gap, EONIA and HICP or alternatively Eurocoin) to estimate the interactions with yield curve factors (level, slope and curvature), following the rationale of Diebold et al (2006). We use a two step procedure as in Diebold and Li (2006) and we find three interesting results. The Svensson model has better in-sample fit properties with respect to the Nelson-Siegel model. There exist interactions among both the level and the curvature with macroeconomic variables, while on the other hand, the slope interacts with all macroeconomic variables. The addiction of a business cycle indicator like Eurocoin gives better results with respect to both yields-only and alterative yields-macro models, confirming the success of parsimonious models for out-of sample forecasting.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114823403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Models for Moody’s Bank Ratings","authors":"A. Peresetsky, Alexander Karminsky","doi":"10.2139/ssrn.1304590","DOIUrl":"https://doi.org/10.2139/ssrn.1304590","url":null,"abstract":"The paper presents an econometric study of the two bank ratings assigned by Moody's Investors Service. According to Moody’s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Finan-cial Strength Ratings (BFSR), taking into account “external bank support factors” (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public infor-mation can approximate the ratings reasonably well. It appears that the ob-served rating degradation can be explained by the growth of the banking sys-tem as a whole. Moody’s has a special approach for banks in developing countries in general and for Russia in particular. The models help reveal the factors that are important for external bank support.","PeriodicalId":258154,"journal":{"name":"ERN: Monetary Economics & Interest Rates (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132094678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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