Debt Spreads Between GSEs and Other Corporations |
| |
Authors: | Nothaft Frank E. Pearce James E. Stevanovic Stevan |
| |
Affiliation: | (1) Freddie Mac, 8200 Jones Branch Drive, McLean, VA, 22102-3110;(2) Welch Consulting, 111 University Drive East, Suite 205, College Station, TX, 77840 |
| |
Abstract: | Policy analysis of the housing GSEs—Freddie Mac, Fannie Mae, and the Federal Home Loan Bank System—has largely centered on a comparison of their cost advantages relative to the benefits they provide to consumers and the market. Researchers generally treat their lower funding costs as the largest component of their cost advantage and measure it by a comparison of spreads between yields on non-GSE securities and GSE securities. This paper provides the first econometric analysis of such spreads. Special components of this research are separate analysis of debentures and medium-term notes, a comparison with all financial firms and a banking subsample, and the introduction of liquidity proxies. Comparing Freddie Mac and Fannie Mae debt with non-GSE debt rated AA– gives an estimated range of 27 to 30 basis points without the inclusion of the liquidity proxies, and a range of 22 to 27 basis points with their inclusion, over 1995–2000. |
| |
Keywords: | government-sponsored enterprises debt spreads medium-term notes mortgage finance |
本文献已被 SpringerLink 等数据库收录! |
|