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An options-based approach to evaluating the risk of Fannie Mae and Freddie Mac

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  • Lucas, Deborah
  • McDonald, Robert L.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 53 (2006)
Issue (Month): 1 (January)
Pages: 155-176

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Handle: RePEc:eee:moneco:v:53:y:2006:i:1:p:155-176

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Web page: http://www.elsevier.com/locate/inca/505566

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References

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  1. W. Scott Frame & Lawrence J. White, 2004. "Fussing and fuming over Fannie and Freddie: how much smoke, how much fire?," Working Paper 2004-26, Federal Reserve Bank of Atlanta.
  2. Hayne E. Leland., 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Research Program in Finance Working Papers RPF-233, University of California at Berkeley.
  3. Pierre Collin-Dufresne, 2001. "Do Credit Spreads Reflect Stationary Leverage Ratios?," Journal of Finance, American Finance Association, vol. 56(5), pages 1929-1957, October.
  4. Nothaft, Frank E & Pearce, James E & Stevanovic, Stevan, 2002. "Debt Spreads between GSEs and Other Corporations," The Journal of Real Estate Finance and Economics, Springer, vol. 25(2-3), pages 151-72, Sept.-Dec.
  5. Dwight Jaffee, 2003. "The Interest Rate Risk of Fannie Mae and Freddie Mac," Journal of Financial Services Research, Springer, vol. 24(1), pages 5-29, August.
  6. Merton, Robert C, 1978. "On the Cost of Deposit Insurance When There Are Surveillance Costs," The Journal of Business, University of Chicago Press, vol. 51(3), pages 439-52, July.
  7. Sharpe, William F., 1976. "Corporate pension funding policy," Journal of Financial Economics, Elsevier, vol. 3(3), pages 183-193, June.
  8. Wayne Passmore, 2005. "The GSE Implicit Subsidy and the Value of Government Ambiguity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(3), pages 465-486, 09.
  9. Naranjo, Andy & Toevs, Alden, 2002. "The Effects of Purchases of Mortgages and Securitization By Government Sponsored Enterprises on Mortgage Yield Spreads and Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 25(2-3), pages 173-95, Sept.-Dec.
  10. Wayne Passmore, 2005. "The GSE implicit subsidy and the value of government ambiguity," Finance and Economics Discussion Series 2005-05, Board of Governors of the Federal Reserve System (U.S.).
  11. Ambrose, Brent W & Warga, Arthur, 2002. "Measuring Potential GSE Funding Advantages," The Journal of Real Estate Finance and Economics, Springer, vol. 25(2-3), pages 129-50, Sept.-Dec.
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Citations

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Cited by:
  1. Viral V. Acharya & Thomas Cooley & Matthew Richardson & Ingo Walter, 2011. "Market Failures and Regulatory Failures : Lessons from Past and Present Financial Crises," Finance Working Papers 23273, East Asian Bureau of Economic Research.
  2. Kristopher Gerardi & Andreas Lehnert & Shane M. Sherlund & Paul Willen, 2008. "Making Sense of the Subprime Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(2 (Fall)), pages 69-159.
  3. Panageas, Stavros, 2010. "Optimal taxation in the presence of bailouts," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 101-116, January.
  4. Robert A. Eisenbeis & W. Scott Frame & Larry D. Wall, 2006. "An analysis of the systemic risks posed by Fannie Mae and Freddie Mac and an evaluation of the policy options for reducing those risks," Working Paper 2006-02, Federal Reserve Bank of Atlanta.
  5. Andreas Lehnert & Wayne Passmore & Shane M. Sherlund, 2006. "GSEs, mortgage rates, and secondary market activities," Finance and Economics Discussion Series 2006-30, Board of Governors of the Federal Reserve System (U.S.).
  6. Stavros Panageas, 2009. "Bailouts, the Incentive to Manage Risk, and Financial Crises," NBER Working Papers 15058, National Bureau of Economic Research, Inc.
  7. Stavros Panageas, 2009. "Optimal taxation in the presence of bailouts," NBER Working Papers 15405, National Bureau of Economic Research, Inc.
  8. Panageas, Stavros, 2010. "Bailouts, the incentive to manage risk, and financial crises," Journal of Financial Economics, Elsevier, vol. 95(3), pages 296-311, March.
  9. TINA M. Mukta Kulkarni & Mark L. Lengnick-Hall, . "Obstacles To Success In The Workplace For People With Disabilities: A Review And Research Agenda," Working Papers 0031, College of Business, University of Texas at San Antonio.
  10. Deborah Lucas & Damien Moore, 2007. "The Student Loan Consolidation Option: An Analysis of an Exotic Financial Derivative: Working Paper 2007-05," Working Papers 18540, Congressional Budget Office.
  11. Deborah Lucas & Robert McDonald, 2010. "Valuing Government Guarantees: Fannie and Freddie Revisited," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 131-154 National Bureau of Economic Research, Inc.
  12. Quigley, John M., 2006. "Federal Credit and Insurance Programs: Housing," Berkeley Program on Housing and Urban Policy, Working Paper Series qt41d5k3bd, Berkeley Program on Housing and Urban Policy.

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