Access the full text.
Sign up today, get DeepDyve free for 14 days.
Philip Vasan (1986)
Credit rationing and corporate investment
H. Atesoglu (2003)
Monetary transmission--federal funds rate and prime rateJournal of Post Keynesian Economics, 26
L. Gambacorta (2004)
How Do Banks Set Interest Rates?Monetary Economics
Mitchell Berlin, Loretta Mester (1998)
Deposits and Relationship LendingReview of Financial Studies, 12
Adam Ashcraft, Allan Malz, Zoltan Pozsar (2012)
The Federal Reserve's Term Asset-Backed Securities Loan FacilityEconomic and Policy Review, 18
J. Payne (2006)
The response of the conventional mortgage rate to the federal funds rate: symmetric or asymmetric adjustment?Applied Financial Economics Letters, 2
Federal Reserve Bank of Kansas City Economic Review, 73
Federal Reserve Bank of St. Louis Review, 76
S. Johansen (1992)
Cointegration in partial systems and the efficiency of single-equation analysisJournal of Econometrics, 52
S. Karagiannis, Y. Panagopoulos, Prodromos Vlamis (2010)
Interest rate pass-through in Europe and the US: Monetary policy after the financial crisisJournal of Policy Modeling, 32
J. Stiglitz, A. Weiss (1981)
Credit Rationing in Markets with Imperfect InformationThe American Economic Review, 71
Michael Osterwald-Lenum (1992)
A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test StatisticsOxford Bulletin of Economics and Statistics, 54
C. Cottarelli, Angeliki Kourelis (1994)
Financial Structure, Bank Lending Rates, and the Transmission Mechanism of Monetary PolicyBanking & Financial Institutions
Karen Dynan, Kathleen Johnson, Karen Pence (2003)
Recent changes to a measure of U.S. household debt serviceFederal Reserve Bulletin, 89
S. Johansen (1991)
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive ModelsEconometrica, 59
Loretta Mester, A. Saunders (1995)
When does the prime rate changeJournal of Banking and Finance, 19
IMF (2008)
Stress in bank funding markets and implications for monetary policy
R. Eisenbeis, R. Herring (2015)
Playing for time: the Fed’s attempt to mange the crisis as a liquidity problemJournal of Financial Economic Policy, 7
David Tarr (2010)
The Political, Regulatory, and Market Failures That Caused the US Financial Crisis: What Are the Lessons?Journal of Financial Economic Policy, 2
J. Kolari, D. Fraser, Ali Anari (1998)
The Effects of Securitization on Mortgage Market Yields: A Cointegration AnalysisTexas A&M University Mays Business School Research Paper Series
Patricia Rudolph, John Griffith (1997)
Integration of the Mortgage Market into the National Capital Markets: 1963–1993Journal of Housing Economics, 6
Ferre Graeve, Olivier Jonghe, Rudi Vennet (2004)
Competition, Transmission and Bank Pricing Policies: Evidence from Belgian Loan and Deposit MarketsMonetary Economics eJournal
Wayne Passmore, R. Sparks, Jamie Ingpen (2001)
GSEs, Mortgage Rates, and the Long-Run Effects of Mortgage SecuritizationThe Journal of Real Estate Finance and Economics, 25
S. Johansen (1988)
STATISTICAL ANALYSIS OF COINTEGRATION VECTORSJournal of Economic Dynamics and Control, 12
Steven Todd (2000)
The Effects of Securitization on Consumer Mortgage CostsCapital Markets: Market Efficiency eJournal
Timothy Hannan, Allen Berger (1991)
The Rigidity of Prices: Evidence from the Banking IndustryThe American Economic Review, 81
B. Bernanke, A. Blinder (1988)
Credit, Money, and Aggregate DemandNBER Working Paper Series
P. Hendershott, Robert Order (1989)
Integration of Mortgage and Capital Markets and the Accumulation of Residential CapitalNBER Working Paper Series
A. Blinder (2012)
Revisiting Monetary Policy in a Low‐Inflation and Low‐Utilization EnvironmentJournal of Money, Credit and Banking, 44
Fan Xia (2014)
WORKING PAPER SERIES FEDERAL RESERVE BANK of ATLANTA Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Markus Brunnermeier (2008)
Deciphering the Liquidity and Credit Crunch 2007-08Regulation of Financial Institutions eJournal
Journal of Monetary Economics, 58
Federal Reserve Bank of New York Quarterly Review, 15
F. Fabozzi (2000)
Investing in asset-backed securities
J. Sa-Aadu, J. Shilling, George Wang (2000)
A Test of Integration and Cointegration of Commercial Mortgage RatesJournal of Financial Services Research, 18
R. Buttimer (2011)
The financial crisis: imperfect markets and imperfect regulationJournal of Financial Economic Policy, 3
A. Lehnert, Wayne Passmore, S. Sherlund (2006)
GSEs, Mortgage Rates, and Secondary Market ActivitiesThe Journal of Real Estate Finance and Economics, 36
G. Bondt (2005)
Interest Rate Pass-Through: Empirical Results for the Euro AreaGerman Economic Review, 6
Journal of Banking and Finance, 31
A. Naranjo, Alden Toevs (2002)
The Effects of Purchases of Mortgages and Securitization by Government Sponsored Enterprises on Mortgage Yield Spreads and VolatilityThe Journal of Real Estate Finance and Economics, 25
Journal of Economic Perspectives, 23
Journal of International Money and Finance, 23
Journal of Money, Credit and Banking, 48
Real Estate Economics, 29
H. Sander, S. Kleimeier (2003)
Convergence in Eurozone Retail Banking? What Interest Rate Pass-Through Tells Us About Monetary Policy Transmission, Competition and IntegrationMonetary Economics eJournal
Federal Reserve Bank of Kansas City Economic Review, 87
M. Affinito, F. Farabullini (2012)
Does the Law of One Price Hold in Euro-Area Retail Banking? An Empirical Analysis of Interest Rate Differentials across the Monetary Union
Amelia Pais (2008)
Securitization and Rate Setting in the UK Mortgage MarketBanking & Financial Institutions eJournal
International Review of Finance, 8
(1994)
Testing for an unstable root in conditional and structural error correction models
American Economic Review, 78
Federal Reserve Bank of New York Economic Policy Review, 18
PurposeThe transmission of monetary policy rates to lending rates is viewed as a crucial path of monetary policy. As an integral part of the financial system and the recent financial crisis, securitized assets have the potential to affect the interest rate pass-through process and monetary policy effectiveness. This paper aims to investigate the influence of securitization on the transmission of policy rate changes to lending rates and how rate transmission has changed since the recent financial crisis. Emphasis is placed on differences among the mortgage, consumer credit and business loan securitization markets and between agency and private-label securitization transactions.Design/methodology/approachThe empirical framework is an error-correction model augmented to directly measure the influence of securitization. Monetary policy effectiveness is measured by the size and speed of transmitted policy rate changes to lending rates. An efficiency measure of relative adjustment accounts for differences in the size of long-run responses across loan markets and changes in efficiency from securitization within loan markets.FindingsThe size and speed of interest rate pass-through tend to increase with securitization. Liquidity, capital relief and funding from securitization help to make lending rates more responsive. Increases in pass-through with securitization are less in the consumer credit and business loan markets after the recent financial crisis relative to before the crisis. In contrast, mortgage markets tend to have larger pass-through after the financial crisis. Differences in rate transmission after the recent financial crisis point to the role on nonbanks in consumer credit and business loans and asset purchase programs of the Federal Reserve in mortgage markets. Securitization tends to make the adjustment process more efficient, and gains in efficiency from securitization are larger after the financial crisis.Originality/valueA key contribution of the study differentiates securitization across markets and types to determine the effects on the interest rate pass-through process. The results show that increases in the efficiency of the adjustment process from securitization tend to be greater in mortgage markets and for all private-label securitized assets. These findings have implications for proposed government-sponsored entity (GSE) reform to reduce the role of GSEs in the housing market, promote private-label mortgage credit and strengthen securitization deals.
Journal of Financial Economic Policy – Emerald Publishing
Published: Nov 7, 2016
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.