SECURITIZATION MARKETS AND CENTRAL BANKING: POLICY ANNOUNCEMENT EFFECTS

Charalambos Michael

The International Journal of Business and Finance Research, 2016, vol. 10, issue 4, 1-18

Abstract: European and US monetary authorities designed policies to revive the issuance of asset backed securities (ABS) after the financial crisis of late 2007 and keep consumer and business funding uninterrupted. I examine how policy announcements affected excess ABS spreads, that is, spreads of newly issued ABS over and above broader financial market spreads, in the context of event studies. Though policy announcements effectively reduced and stabilized excess ABS spreads by late 2009, the volume of new issuance remained significantly low.

Keywords: Securitization; ABS Spreads; TALF; Central Banking (search for similar items in EconPapers)
JEL-codes: E58 G1 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:10:y:2016:i:4:p:1-18

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