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

• 成果类型: Article
• 署名作者: Campbell, Sean; Covitz, Daniel; Nelson, William; Pence, Karen
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2011.05.003
• 发表日期: 2011
• 页码: 518-531
• 关键词: Securitization; Financial crisis; monetary policy; Discount window; Lender of last resort

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.