Securitization markets and central banking: An evaluation of the term asset-backed securities loan facility

被引：25

作者：

Campbell, Sean ^{[1
]}

Covitz, Daniel ^{[1
]}

Nelson, William ^{[1
]}

Pence, Karen ^{[1
]}

机构：

[1] Fed Reserve Board, Washington, DC 20551 USA

来源：

JOURNAL OF MONETARY ECONOMICS | 2011年 / 58卷 / 05期

基金：

美国国家科学基金会;

关键词：

Securitization; Financial crisis; Monetary policy; Discount window; Lender of last resort;

D O I：

10.1016/j.jmoneco.2011.05.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered nonrecourse loans to finance investors' purchases of certain highly rated asset-backed securities. We study the effects of this program and find that it lowered interest rate spreads for some categories of asset-backed securities but had little impact on the pricing of individual securities. These findings suggest that the program improved conditions in securitization markets but did not subsidize individual securities. We also find that the risk of loss to the US government was small. Published by Elsevier B.V.

引用

页码：518 / 531

页数：14

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