IDEAS home Printed from https://ideas.repec.org/a/kap/jrefec/v25y2002i2-3p151-72.html
   My bibliography  Save this article

Debt Spreads between GSEs and Other Corporations

Author

Listed:
  • 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

Suggested Citation

  • 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 151-172, Sept.-Dec.
    • Handle: RePEc:kap:jrefec:v:25:y:2002:i:2-3:p:151-72
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0895-5638/contents
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gordian Rättich & Kim Clark & Evi Hartmann, 2011. "Performance measurement and antecedents of early internationalizing firms: A systematic assessment," Working Papers 0031, College of Business, University of Texas at San Antonio.
    2. John M. Quigley, 2006. "Federal credit and insurance programs: housing," Review, Federal Reserve Bank of St. Louis, vol. 88(Jul), pages 281-310.
    3. Adam Ashcraft & Morten L. Bech & W. Scott Frame, 2010. "The Federal Home Loan Bank System: The Lender of Next-to-Last Resort?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(4), pages 551-583, June.
    4. Gillian Burgess & Wayne Passmore & Shane M. Sherlund, 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.).
    5. W. Scott Frame, 2016. "The federal home loan bank system and U.S. housing finance," FRB Atlanta Working Paper 2016-2, Federal Reserve Bank of Atlanta.
    6. Dwight Jaffee & John M. Quigley, 2012. "The Future of the Government-Sponsored Enterprises: The Role for Government in the U.S. Mortgage Market," NBER Chapters, in: Housing and the Financial Crisis, pages 361-417, National Bureau of Economic Research, Inc.
    7. W. Scott Frame & Andreas Fuster & Joseph Tracy & James Vickery, 2015. "The Rescue of Fannie Mae and Freddie Mac," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 25-52, Spring.
    8. Robert Eisenbeis & W. Frame & Larry Wall, 2007. "An Analysis of the Systemic Risks Posed by Fannie Mae and Freddie Mac and An Evaluation of the Policy Options for Reducing Those Risks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 31(2), pages 75-99, June.
    9. W. Scott Frame & Kristopher Gerardi & Paul S. Willen, 2015. "The failure of supervisory stress testing: Fannie Mae, Freddie Mac, and OFHEO," FRB Atlanta Working Paper 2015-3, Federal Reserve Bank of Atlanta.
    10. Karan Bhanot & Donald Lien & Margot Quijano, 2008. "Will Pulling Out the Rug Help? Uncertainty about Fannie and Freddie’s Federal Guarantee and the Cost of the Subsidy," Working Papers 0035, College of Business, University of Texas at San Antonio.
    11. W. Scott Frame & Larry D. Wall & Lawrence J. White, 2012. "The devil's in the tail: residential mortgage finance and the U.S. Treasury," FRB Atlanta Working Paper 2012-12, Federal Reserve Bank of Atlanta.
    12. W. Scott Frame & Lawrence J. White, 2007. "Charter Value, Risk-Taking Incentives, and Emerging Competition for Fannie Mae and Freddie Mac," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 83-103, February.
    13. 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.).
    14. W. Scott Frame & Lawrence J. White, 2005. "Fussing and Fuming over Fannie and Freddie: How Much Smoke, How Much Fire?," Journal of Economic Perspectives, American Economic Association, vol. 19(2), pages 159-184, Spring.
    15. Gianluca Marcato, 2018. "Liquidity Pricing of Illiquid Assets," ERES eres2018_215, European Real Estate Society (ERES).
    16. Loutskina, Elena, 2011. "The role of securitization in bank liquidity and funding management," Journal of Financial Economics, Elsevier, vol. 100(3), pages 663-684, June.
    17. Levitin, Adam & Wachter, Susan, 2012. "Explaining the Housing Bubble," MPRA Paper 41920, University Library of Munich, Germany.
    18. Lucas, Deborah & McDonald, Robert L., 2006. "An options-based approach to evaluating the risk of Fannie Mae and Freddie Mac," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 155-176, January.
    19. Ms. Evridiki Tsounta, 2011. "Home Sweet Home: Government's Role in Reaching the American Dream," IMF Working Papers 2011/191, International Monetary Fund.
    20. 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.
    21. W. Scott Frame, 2009. "The 2008 federal intervention to stabilize Fannie Mae and Freddie Mac," FRB Atlanta Working Paper 2009-13, Federal Reserve Bank of Atlanta.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jrefec:v:25:y:2002:i:2-3:p:151-72. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.