An Investigation of Some Macro-Financial Linkages of Securitization

Policy-makers have attributed the scale of the credit crisis and its profound impact on money markets (as well as financial sector stability) to the fast rise of securitization and the way it has arguably complicated both the conduct of monetary policy and the effect of interest rate transmission to the real economy. In our study, we examine whether financial innovation, specifically through securitization, has altered the nature of some macro-financial linkages, often with considerable policy implications. We find that securitization activity in the United States (mature market) and South Afr

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Year of publication:	2009
Authors:	Long, Xin
Other Persons:	Mangal Goswami (contributor) ; Jobst, Andreas A. (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Verbriefung \| Securitization \| Internationaler Finanzmarkt \| International financial market \| Finanzprodukt \| Financial product \| Welt \| World

Extent:	Online-Ressource (48 p)
Series:	IMF Working Papers IMF working paper ; WP/09/26
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Contents; I. Introduction; Figures; 1. Transmission Channels of Monetary Policy in the United States; II. Empirical Analysis; 2. Mortgage-Related Securitization (Outstanding and Issuance) in the United States, Emerging Markets, and South Africa; A. Macro-Financial Linkages in Mature Economies-Evidence from U.S. Secondary Mortgage Market; 3. Stock of U.S. Mortgage-Backed Securities (In billions of U.S. dollars, 1966-2006); B. Macro-financial Linkages in Emerging Economies-Evidence from South African Mortgage Market; Box 1. Mortgage Securitization in South Africa; III. Conclusion; References Tables1. United States-OLS Estimation Results: IS Dynamic Equation of Output Gap with Instrumental Variable Controls for Securitization and Financial Depth (1970-2006); 2. United States-Estimation Results: VAR(2,2) Simultaneous Equation Model with Model with Instrumental Variable Controls for Securitization and Financial Depth (1970-2006); 3. United States-OLS Estimation Results of the Mortgage Interest Rate Pass-through, with Instrumental Variable Controls for Securitization (1970-2006) 4. United States-Summary Table of OLS Estimation Results for Interest Rate Pass-through (Different Time Periods)5. South Africa-OLS Estimation Results: IS Dynamic Equation of Output Gap with Instrumental Variable Controls for Securitization (1965-2006); 6. South Africa-Estimation Results: VECM(3,2) Simultaneous Equation Model of Balance Sheet Effects (Bank Lending) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006) 7. South Africa-Estimation Results: VECM (3,2) Simultaneous Equation Model of Balance Sheet Effects (Bank Securities Investment) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006)8. South Africa-Estimation Results: VECM (3, 2) Simultaneous Equation Model of Balance Sheet Effects (Bank Deposits) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006) 9. South Africa-Estimation Results (Summary Table): VECM (3,2) Model Simultaneous Equation Model of Balance Sheet Effects (Bank Lending, Bank Deposits, Bank Securities Investments) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006)4. United States--Impulse-Response Graphs of Interest Rate Elasticity: VAR (5,2) Simultaneous Equation Model with Instrumental Variable Controls for Securitization and Financial Depth (1970-2006) 5. United States-Impulse-Response Graphs of Interest Rate Elasticity: VAR (5,2) Simultaneous Equation Model with Instrumental Variable Controls for Securitization and Financial Depth (1970-1990)
ISBN:	978-1-4518-7173-9 ; 978-1-4519-1609-6 ; 978-1-4518-7173-9
Source:	ECONIS - Online Catalogue of the ZBW

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