经济波动和金融市场:以抵押贷款支持证券为例

Q1 Economics, Econometrics and Finance

Financial Markets, Institutions and Instruments Pub Date : 2019-03-05 DOI:10.1111/fmii.12107

Gaetano Antinolfi, Celso Brunetti

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引用次数: 2

摘要

美国总体经济活动的波动性在八十年代中期显著下降。这种下降涉及GDP的几个组成部分，并与更稳定的经济环境有关，经济环境的特征是较小的冲击、更有效的政策以及技术和金融市场的各种创新。我们研究了一个这样的金融创新，并记录了从20世纪70年代中期到90年代末，抵押贷款支持证券的快速增长与GDP及其部分组成部分的波动性之间的负相关关系。我们还记录了这种关系在21世纪初从负向正的变化。

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Economic volatility and financial markets: The case of mortgage-backed securities

The volatility of aggregate economic activity in the United States decreased markedly in the mid-eighties. The decrease involved several components of GDP and has been linked to a more stable economic environment, identified by smaller shocks, more effective policy, and a diverse set of innovations in technology as well as financial markets. We study one such financial innovation, and document a negative relation between the rapid growth of mortgage-backed securities and the volatility of GDP and some of its components from the mid-1970s to the late 1990s. We also document that this relation changed sign, from negative to positive, in the early 2000s.

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来源期刊

Financial Markets, Institutions and Instruments Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： Financial Markets, Institutions and Instruments bridges the gap between the academic and professional finance communities. With contributions from leading academics, as well as practitioners from organizations such as the SEC and the Federal Reserve, the journal is equally relevant to both groups. Each issue is devoted to a single topic, which is examined in depth, and a special fifth issue is published annually highlighting the most significant developments in money and banking, derivative securities, corporate finance, and fixed-income securities.