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Debt Spreads between GSEs and Other Corporations

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Author Info
Nothaft, Frank E
Pearce, James E
Stevanovic, Stevan
Abstract

Policy analysis of the housing GSEs--Freddie Mac, Fannie Mae, and the Federal Home Loan Bank System--has largely centered on a comparison of their cost advantages relative to the benefits they provide to consumers and the market. Researchers generally treat their lower funding costs as the largest component of their cost advantage and measure it by a comparison of spreads between yields on non-GSE securities and GSE securities. This paper provides the first econometric analysis of such spreads. Special components of this research are separate analysis of debentures and medium-term notes, a comparison with all financial firms and a banking subsample, and the introduction of liquidity proxies. Comparing Freddie Mac and Fannie Mae debt with non-GSE debt rated AA- gives an estimated range of 27 to 30 basis points without the inclusion of the liquidity proxies, and a range of 22 to 27 basis points with their inclusion, over 1995-2000. Copyright 2002 by Kluwer Academic Publishers

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Publisher Info
Article provided by Springer in its journal Journal of Real Estate Finance & Economics.

Volume (Year): 25 (2002)
Issue (Month): 2-3 (Sept.-Dec.)
Pages: 151-72
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Handle: RePEc:kap:jrefec:v:25:y:2002:i:2-3:p:151-72

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  1. 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. [Downloadable!]
    Other versions:
  2. Su Zhou & Mohsen Bahmani-Oskooee & Aali M. Kutan, . "Purchasing Power Parity Before And After The Adoption Of The Euro," Working Papers 0031, College of Business, University of Texas at San Antonio. [Downloadable!]
  3. John M. Quigley, 2006. "Federal credit and insurance programs: housing," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 281-310. [Downloadable!]
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  4. Adam B. Ashcraft & Morten L. Bech & W. Scott Frame, 2008. "The Federal Home Loan Bank System: the lender of next-to-last resort?," Staff Reports 357, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  5. Wayne Passmore & Shane M. Sherlund & Gillian Burgess, 2005. "The effect of housing government-sponsored enterprises on mortgage rates," Finance and Economics Discussion Series 2005-06, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Wayne Passmore, 2003. "The GSE implicit subsidy and value of government ambiguity," Finance and Economics Discussion Series 2003-64, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  7. W. Scott Frame, 2009. "The 2008 federal intervention to stabilize Fannie Mae and Freddie Mac," Working Paper 2009-13, Federal Reserve Bank of Atlanta. [Downloadable!]
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