This paper provides robust evidence for the non-linear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a smooth-transition VAR model, we show that mortgage spread shocks hitting in recessionary regimes create significantly deeper and more...

Between 1970 and 2014 the federal funds rate soared from approximately 7.18% to 16.38%, and subsequently declined to 0.09%. Based on economic theory, corporate cash holdings should have moved inversely with these interest rate swings. Using a new measure of cash holdings and a random effects...