储蓄、量化宽松和抵押贷款利差：一个新的多方程得分驱动的政策行动模型

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2022-03-31 DOI:10.1515/snde-2021-0066

Szabolcs Blazsek, V. Blazsek, Adam Kobor

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引用次数: 0

摘要

摘要本文利用美国次贷危机前后的数据，衡量了美国政策行动对抵押贷款支持证券和抵押贷款利差的影响。我们研究了以下政策行动的影响：（i）将房利美和房地美置于美国政府的监护之下；（ii）美国联邦储备委员会的量化宽松计划。我们为文献提供了以下贡献：（i）对于政策效果的稳健测量，使用了一种新的多方程分数驱动的t-QVARMA（准向量自回归移动平均）模型。（ii）除了量化宽松效应的衡量外，本文还衡量了政府监管的影响。（iii）此外，相关文献的数据期延长至1998年6月至2020年3月。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

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.