Credit risk transfer and de facto GSE reform
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- David Finkelstein & Andreas Strzodka & James Vickery, 2018. "Credit risk transfer and de facto GSE reform," Economic Policy Review, Federal Reserve Bank of New York, issue 24-3, pages 88-116.
References listed on IDEAS
- Deborah Lucas, 2010. "Measuring and Managing Federal Financial Risk," NBER Books, National Bureau of Economic Research, Inc, number luca07-1, June.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009.
"Varieties of Crises and Their Dates,"
Introductory Chapters, in: This Time Is Different: Eight Centuries of Financial Folly,
Princeton University Press.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "This Time Is Different: Eight Centuries of Financial Folly," Economics Books, Princeton University Press, edition 1, volume 1, number 8973.
- Reinhart, Carmen, 2009. "The Second Great Contraction," MPRA Paper 21485, University Library of Munich, Germany.
- James Vickery & Joshua Wright, 2013.
"TBA trading and liquidity in the agency MBS market,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 19(May), pages 1-18.
- James Vickery & Joshua Wright, 2010. "TBA trading and liquidity in the agency MBS market," Staff Reports 468, Federal Reserve Bank of New York.
- Deborah Lucas, 2010. "Introduction to "Measuring and Managing Federal Financial Risk"," NBER Chapters, in: Measuring and Managing Federal Financial Risk, pages 1-12, National Bureau of Economic Research, Inc.
- W. Scott Frame, 2003. "Federal Home Loan Bank mortgage purchases: Implications for mortgage markets," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q3), pages 17-31.
- Erik Hurst & Benjamin J. Keys & Amit Seru & Joseph Vavra, 2016.
"Regional Redistribution through the US Mortgage Market,"
American Economic Review, American Economic Association, vol. 106(10), pages 2982-3028, October.
- Erik Hurst & Benjamin J. Keys & Amit Seru & Joseph S. Vavra, 2015. "Regional Redistribution Through the U.S. Mortgage Market," NBER Working Papers 21007, National Bureau of Economic Research, Inc.
- Hurst, Erik & Keys, Benjamin J. & Seru, Amit & Vavra, Joseph, 2015. "Regional Redistribution through the U.S. Mortgage Market," Research Papers 3458, Stanford University, Graduate School of Business.
- repec:rnp:ecopol:09111 is not listed on IDEAS
- Froot, Kenneth A., 2001.
"The market for catastrophe risk: a clinical examination,"
Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 529-571, May.
- Kenneth A. Froot, 1999. "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers 7286, National Bureau of Economic Research, Inc.
- Kenneth A. Froot, 2001. "The Market for Catastrophe Risk: A Clinical Examination," NBER Working Papers 8110, National Bureau of Economic Research, Inc.
- Susan M. Wachter, 2018. "Credit risk transfer, informed markets, and securitization," Economic Policy Review, Federal Reserve Bank of New York, issue 24-3, pages 117-137.
- 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.
- W. Scott Frame & Andreas Fuster & Joseph Tracy & James Vickery, 2015. "The rescue of Fannie Mae and Freddie Mac," Staff Reports 719, Federal Reserve Bank of New York.
- W. Scott Frame & Andreas Fuster & Joseph Tracy & James Vickery, 2015. "The rescue of Fannie Mae and Freddie Mac," FRB Atlanta Working Paper 2015-2, Federal Reserve Bank of Atlanta.
- Lucas, Deborah (ed.), 2010. "Measuring and Managing Federal Financial Risk," National Bureau of Economic Research Books, University of Chicago Press, number 9780226496580.
- Laurie S. Goodman, 0. "Housing finance reform: the future of Fannie Mae and Freddie Mac," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 0, pages 1-7.
- 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.
- Dwight Jaffee, 2003. "The Interest Rate Risk of Fannie Mae and Freddie Mac," Journal of Financial Services Research, Springer;Western Finance Association, vol. 24(1), pages 5-29, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andreas Fuster & David Lucca & James Vickery, 2023.
"Mortgage-backed securities,"
Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 15, pages 331-357,
Edward Elgar Publishing.
- Andreas Fuster & David O. Lucca & James Vickery, 2022. "Mortgage-Backed Securities," Staff Reports 1001, Federal Reserve Bank of New York.
- Fuster, Andreas & Lucca, David & Vickery, James, 2022. "Mortgage-Backed Securities," CEPR Discussion Papers 16989, C.E.P.R. Discussion Papers.
- Andreas Fuster & David O. Lucca & James Vickery, 2025. "Mortgage-Backed Securities," Working Papers 25-10, Federal Reserve Bank of Philadelphia.
- Andreas Fuster & David O. Lucca & James I. Vickery, 2022. "Mortgage-Backed Securities," Swiss Finance Institute Research Paper Series 22-13, Swiss Finance Institute.
- Pedro Gete & Athena Tsouderou & Susan M. Wachter, 2024. "Climate risk in mortgage markets: Evidence from Hurricanes Harvey and Irma," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 52(3), pages 660-686, May.
- Wayne Passmore & Alexander H. von Hafften, 2018. "GSE guarantees, financial stability, and home equity accumulation," Economic Policy Review, Federal Reserve Bank of New York, issue 24-3, pages 11-27.
- Jesper Berg & Morten Bækmand Nielsen & James Vickery, 2018.
"Peas in a pod? Comparing the U.S. and Danish mortgage finance systems,"
Economic Policy Review, Federal Reserve Bank of New York, issue 24-3, pages 63-87.
- Jesper Berg & Morten Bækmand Nielsen & James Vickery, 2018. "Peas in a pod? Comparing the U.S. and Danish mortgage finance systems," Staff Reports 848, Federal Reserve Bank of New York.
- W. Scott Frame & Joseph Tracy, 2018. "Introduction to Special Issue: The Appropriate Role of Government in U.S. Mortgage Markets," Economic Policy Review, Federal Reserve Bank of New York, issue 24-3, pages 1-10.
- Grundl, Serafin & Kim, You Suk, 2021. "The marginal effect of government mortgage guarantees on homeownership," Journal of Monetary Economics, Elsevier, vol. 119(C), pages 75-89.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stefan Nagel & Amiyatosh Purnanandam, 2020.
"Banks’ Risk Dynamics and Distance to Default,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
- Nagel, Stefan & Purnanandam, Amiyatosh, 2019. "Bank Risk Dynamics and Distance to Default," CEPR Discussion Papers 13715, C.E.P.R. Discussion Papers.
- Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank risk dynamics and distance to default," CESifo Working Paper Series 7637, CESifo.
- Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank Risk Dynamics and Distance to Default," NBER Working Papers 25807, National Bureau of Economic Research, Inc.
- Natalie Cox, 2017. "Pricing, Selection, and Welfare in the Student Loan Market: Evidence from Borrower Repayment Decisions," Working Papers 2017-2, Princeton University. Economics Department..
- Chirinko, Robert, 2023.
"What went wrong? The Puerto Rican debt crisis, the “Treasury Put,” and the failure of market discipline,"
Journal of Corporate Finance, Elsevier, vol. 80(C).
- Robert S. Chirinko & Ryan Chiu & Shaina Henderson, 2019. "What went wrong?: The Puerto Rican debt crisis, the "Treasury Put," and the failure of market discipline," CESifo Working Paper Series 7558, CESifo.
- Chirinko, Robert S. & Chiu, Ryan & Henderson, Shaina, 2019. "What Went Wrong?: The Puerto Rican Debt Crisis, The "Treasury Put," And The Failure Of Market Discipline," Working Papers 281, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Robert S. Chirinko, 2022. "What Went Wrong? The Puerto Rican Debt Crisis, the "Treasury Put," and the Failure of Market Discipline," IMES Discussion Paper Series 22-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
- Andrew G. Atkeson & Adrien d’Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2019.
"Government Guarantees and the Valuation of American Banks,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 81-145.
- Andrew G. Atkeson & Adrien d'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 81-145, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Adrien D'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," Staff Report 567, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Adrien d'Avernas & Andrea Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," 2018 Meeting Papers 847, Society for Economic Dynamics.
- Andrew G. Atkeson & Adrien d'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," NBER Working Papers 24706, National Bureau of Economic Research, Inc.
- Samuel Antill & Asani Sarkar, 2018. "Is size everything?," Staff Reports 864, Federal Reserve Bank of New York.
- Habib, Michel & Brealey, Richard & Cooper, Ian, 2018. "Valuation in the Public and Private Sectors: Tax, Risk, Debt Capacity, and the Cost of Capital," CEPR Discussion Papers 13277, C.E.P.R. Discussion Papers.
- Pedro Gete & Franco Zecchetto, 2018.
"Distributional Implications of Government Guarantees in Mortgage Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 1064-1097.
- Gete, Pedro & Zecchetto, Franco, 2017. "Distributional Implications of Government Guarantees in Mortgage Markets," MPRA Paper 80643, University Library of Munich, Germany.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012.
"A Survey of Systemic Risk Analytics,"
Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.
- Lance Lochner & Qian Liu & Martin Gervais, 2021.
"Innis Lecture: Returns on student loans in Canada,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(4), pages 1495-1524, November.
- Lance Lochner & Qian Liu & Martin Gervais, 2021. "Innis Lecture: Return on Student Loans in Canada," University of Western Ontario, Centre for Human Capital and Productivity (CHCP) Working Papers 20214, University of Western Ontario, Centre for Human Capital and Productivity (CHCP).
- Zhao, Yunhui, 2016. "Got Hurt for What You Paid? Revisiting Government Subsidy in the U.S. Mortgage Market," MPRA Paper 81083, University Library of Munich, Germany, revised 01 Aug 2017.
- Cóndor Richard, 2019. "Measuring the cost of U.S. housing policy," Working Papers 2019-08, Banco de México.
- Erik Hurst & Benjamin J. Keys & Amit Seru & Joseph Vavra, 2016.
"Regional Redistribution through the US Mortgage Market,"
American Economic Review, American Economic Association, vol. 106(10), pages 2982-3028, October.
- Hurst, Erik & Keys, Benjamin J. & Seru, Amit & Vavra, Joseph, 2015. "Regional Redistribution through the U.S. Mortgage Market," Research Papers 3458, Stanford University, Graduate School of Business.
- Erik Hurst & Benjamin J. Keys & Amit Seru & Joseph S. Vavra, 2015. "Regional Redistribution Through the U.S. Mortgage Market," NBER Working Papers 21007, National Bureau of Economic Research, Inc.
- Hsin‐Tien Tsai, 2023. "Advantageous selection with intermediaries: a study of GSE‐securitized mortgage loans," RAND Journal of Economics, RAND Corporation, vol. 54(4), pages 668-694, December.
- McDonald, Robert L., 2013. "Contingent capital with a dual price trigger," Journal of Financial Stability, Elsevier, vol. 9(2), pages 230-241.
- Tzioumis, Konstantinos, 2017. "Mortgage (mis)pricing: The case of co-borrowers," Journal of Urban Economics, Elsevier, vol. 99(C), pages 79-93.
- Benjamin L. Collier & Andrew F. Haughwout & Howard C. Kunreuther & Erwann O. Michel‐Kerjan, 2020.
"Firms’ Management of Infrequent Shocks,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1329-1359, September.
- Benjamin L. Collier & Andrew F. Haughwout & Howard C. Kunreuther & Erwann O. Michel-Kerjan & Michael A. Stewart, 2016. "Firms’ Management of Infrequent Shocks," NBER Working Papers 22612, National Bureau of Economic Research, Inc.
- Carolyn Kousky, 2014. "Managing shoreline retreat: a US perspective," Climatic Change, Springer, vol. 124(1), pages 9-20, May.
- Ilja Boelaars & Roel Mehlkopf, 2018. "Optimal risk-sharing in pension funds when stock and labor markets are co-integrated," DNB Working Papers 595, Netherlands Central Bank, Research Department.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013.
"The Wealth-Consumption Ratio,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
- Robert Novy-Marx & Joshua Rauh, 2014.
"The Revenue Demands of Public Employee Pension Promises,"
American Economic Journal: Economic Policy, American Economic Association, vol. 6(1), pages 193-229, February.
- Robert Novy-Marx & Joshua D. Rauh, 2012. "The Revenue Demands of Public Employee Pension Promises," NBER Working Papers 18489, National Bureau of Economic Research, Inc.
More about this item
Keywords
mortgage; securitization; credit risk transfer; Freddie Mac; GSE; Fannie Mae;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2018-03-12 (Banking)
- NEP-URE-2018-03-12 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
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:fip:fednsr:838. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.