Item Details

Print View

Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac [electronic resource]

Frank A. Schmid
Format
Computer Resource; Online
Published
Ann Arbor, Mich. Inter-university Consortium for Political and Social Research [distributor] 2005
Edition
2005-03-15
Series
ICPSR
ICPSR (Series)
Access Restriction
AVAILABLE. This study is freely available to the general public.
Abstract
Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) with the stated objective of promoting home ownership by improving the availability of mortgage financing for private households. These enterprises engage in two separate and distinct lines of business: (1) assembling and marketing pools of mortgages on which they guarantee the timely payments of principal and interest and (2) purchasing mortgage assets for their own portfolio, mostly funded with debt securities. This article examines the sensitivity of the returns on GSEs' shares to realizations of interest rate risk. The study shows that the market value of Fannie Mae and Freddie Mac's equity is vulnerable to increases in short-term interest rates and changes in the term spread (the difference between the long-term and short-term interest rates).Cf: http://doi.org/10.3886/ICPSR01312.v1
Contents
Dataset
Description
Mode of access: Intranet.
Notes
Title from ICPSR DDI metadata of 2016-02-11.
Series Statement
ICPSR 1312
ICPSR (Series) 1312
Other Forms
Also available as downloadable files.
Copyright Not EvaluatedCopyright Not Evaluated
Technical Details
  • Staff View

    LEADER 02171cmm a2200349la 4500
    001 ICPSR01312
    003 MiAaI
    006 m f a u
    007 cr mn mmmmuuuu
    008 160211s2005 miu f a eng d
    035
      
      
    a| (MiAaI)ICPSR01312
    040
      
      
    a| MiAaI c| MiAaI
    245
    0
    0
    a| Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac h| [electronic resource] c| Frank A. Schmid
    250
      
      
    a| 2005-03-15
    260
      
      
    a| Ann Arbor, Mich. b| Inter-university Consortium for Political and Social Research [distributor] c| 2005
    490
      
      
    a| ICPSR v| 1312
    516
      
      
    a| Numeric
    538
      
      
    a| Mode of access: Intranet.
    500
      
      
    a| Title from ICPSR DDI metadata of 2016-02-11.
    536
      
      
    a| Federal Reserve Bank of St. Louis
    506
      
      
    a| AVAILABLE. This study is freely available to the general public.
    530
      
      
    a| Also available as downloadable files.
    522
      
      
    a| United States
    520
    3
      
    a| Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) with the stated objective of promoting home ownership by improving the availability of mortgage financing for private households. These enterprises engage in two separate and distinct lines of business: (1) assembling and marketing pools of mortgages on which they guarantee the timely payments of principal and interest and (2) purchasing mortgage assets for their own portfolio, mostly funded with debt securities. This article examines the sensitivity of the returns on GSEs' shares to realizations of interest rate risk. The study shows that the market value of Fannie Mae and Freddie Mac's equity is vulnerable to increases in short-term interest rates and changes in the term spread (the difference between the long-term and short-term interest rates).Cf: http://doi.org/10.3886/ICPSR01312.v1
    505
      
      
    t| Dataset
    650
      
    7
    a| interest rates 2| icpsr
    650
      
    7
    a| mortgages 2| icpsr
    653
    0
      
    a| ICPSR XVIII. Replication Datasets
    700
    2
      
    a| Schmid, Frank A. u| Federal Reserve Bank of St. Louis
    710
    2
      
    a| Inter-university Consortium for Political and Social Research.
    830
      
    0
    a| ICPSR (Series) v| 1312
    856
    4
    0
    u| http://proxy.its.virginia.edu/login?url=http://doi.org/10.3886/ICPSR01312.v1
    999
      
      
    w| WEB l| INTERNET m| UVA-LIB t| INTERNET
▾See more
▴See less

Availability

Access Online