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  1. The portfolio balance channel of quantitative easing in a DSGE model with financial frictions
    Autor*in: Nelson, Genevieve
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    Investors who arbitrage between long term government debt and corporate debt expand the Portfolio Balance Channel in that the effects of QE spill over to the overall cost of corporate borrowing. I find that overall the Federal Reserve's second round... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 135
    Fernleihe:
    keine Fernleihe

     

    Investors who arbitrage between long term government debt and corporate debt expand the Portfolio Balance Channel in that the effects of QE spill over to the overall cost of corporate borrowing. I find that overall the Federal Reserve's second round of Large-Scale Asset Purchases (LSAPII) boosts output between 0.5 - 1.7%, the equivalent of a 83 - 279 basis point cut in the Federal Funds rate. The long term maturity preference of investors increases output growth by between 0.4 and 1.3% points, and inflation between 20 and 68 annualized basis points more than the model without this expanded channel.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/246001
    Schriftenreihe: Working paper / Danmarks Nationalbank ; nr. 180 (28 June 2021)
    Schlagworte: Monetary Policy; Monetary-policy instrument
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  2. Securitization and house price growth
    Autor*in: Nelson, Genevieve
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    From 2000-2006 U.S. house prices and mortgage credit grew while the relative cost of mortgage credit fell - particularly for privately securitized mortgages - suggesting a credit supply expansion. This paper explores two (credit supply) shocks: an... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 135
    Fernleihe:
    keine Fernleihe

     

    From 2000-2006 U.S. house prices and mortgage credit grew while the relative cost of mortgage credit fell - particularly for privately securitized mortgages - suggesting a credit supply expansion. This paper explores two (credit supply) shocks: an increased inow of global savings into the United States, and innovations in the securitization of mortgage credit. I model the interaction of financially constrained commercial banks and mortgage securitizers, generating a novel balance sheet effect: changes in the distribution ofaggregate mortgage credit quantity are linked to changes in mortgage spreads. Only innovation in securitization (direct relaxation of the securitizers' financial constraint) matches mortgage market dynamics.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/246002
    Schriftenreihe: Working paper / Danmarks Nationalbank ; nr. 181 (28 June 2021)
    Schlagworte: Housing Finance; Financial Sector; USA
    Umfang: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  3. Do strategic interaction effects drive excess capital financing of banks?
    Autor*in: Jørgensen, Mia Herløv; Nelson, Genevieve
    Erschienen: [2021]
    Verlag:  Danmarks Nationalbank, Copenhagen

    This memo examines the excess capital financing of Danish banks. Excess capital is the level of capital held by a given bank minus the present regulatory capital. We find empirical evidence consistent with the hypothesis that banks act strategically... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 817
    Fernleihe:
    keine Fernleihe

     

    This memo examines the excess capital financing of Danish banks. Excess capital is the level of capital held by a given bank minus the present regulatory capital. We find empirical evidence consistent with the hypothesis that banks act strategically to hold similar levels of excess capital as their competitors. In particular we find that when a bank observes a 100 basis point increase in the average excess capital among its competitors it increases its own level of excess capital by 14.4 basis points in the following quarter. Our results suggest that strategic interaction is an important but not the main driver of banks' changes in excess capital. These results suggest that policymakers should consider strategic interaction when forecasting how banks adjust to changes in capital requirements

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/261824
    Schriftenreihe: Economic memo / Danmarks Nationalbank ; no. 9 (10. December 2021)
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen