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Securitization Markets And Central Banking: Policy Announcement Effects

Author

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  • Charalambos Michael

Abstract

European and US monetary authorities designed policies to revive the issuance of asset backed securities (ABS) after the financial crisis of late 2007 and keep consumer and business funding uninterrupted. I examine how policy announcements affected excess ABS spreads, that is, spreads of newly issued ABS over and above broader financial market spreads, in the context of event studies. Though policy announcements effectively reduced and stabilized excess ABS spreads by late 2009, the volume of new issuance remained significantly low.

Suggested Citation

  • Charalambos Michael, 2016. "Securitization Markets And Central Banking: Policy Announcement Effects," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(4), pages 1-18.
    • Handle: RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:1-18
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    More about this item

    Keywords

    Securitization; ABS Spreads; TALF; Central Banking;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G1 - Financial Economics - - General Financial Markets

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