Is the financial crisis over? a yield spread perspective

Our finding is consistent with some recent, substantial volatility in the U.S. corporate bond market and leaves open a possibility that additional, future shocks to default premia may have long-lived effects.Financial crises

The LIBOR-OIS spread as a summary indicator

Money market

Recent movements in the Baltic Dry Index

Manufactures ; Industrial productivity

Taming the long-term spreads

Given the size of the underlying markets, cutting the cost of capital to firms and households by reducing the yields required on long-term corporate bonds and mortgages is a key policy objective.Government securities ; Monetary policy ; Interest rates

Why HARM the subprime borrower?

Hybrid adjustable rate mortgages (HARM) were designed to be refinanced by the reset date, when the interest rate would jump. These mortgages worked out well for many people who were credit risks - but only as long as housing prices continued to rise.Subprime mortgage

Mortgage originations: 2000-2006

Mortgages

Home prices: a case for cautious optimism

Many analysts are cautiously optimistic that the house price decline has ended, citing that house prices increased in June and July. There are several reasons for being cautious.Housing - Prices

A yield spread perspective on the great financial crisis: break-point test evidence

We use a simple partial adjustment econometric framework to investigate the effects of the crisis on the dynamic properties of a number of yield spreads. We find that the crisis has caused substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in their unconditional mean levels. Formal breakpoint tests confirm that the financial crisis has been over approximately since the Spring of 2009. The financial crisis can be conservatively dated as a August 2007 – June 2009 phenomenon, although some yield spread series seem to point out to an end of the most serious disruptions as early as in December 2008. We uncover evidence that the LSAP program implemented by the Fed in the US residential mortgage market has been effective, in the sense that the risk premia in this market have been uniquely shielded from the disruptive effects of the crisis.Financial crises ; Risk

A yield spread perspective on the great financial crisis: Break-point test evidence

We use a simple partial adjustment econometric framework to investigate the effects of the crisis on the dynamic properties of a number of yield spreads. We find that the crisis has caused substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in their unconditional mean levels. Formal breakpoint tests confirm that the financial crisis has been over approximately since the Spring of 2009. The financial crisis can be conservatively dated as a August 2007 - June 2009 phenomenon, although some yield spread series seem to point out to an end of the most serious disruptions as early as in December 2008. We uncover evidence that the LSAP program implemented by the Fed in the US residential mortgage market has been effective, in the sense that the risk premia in this market have been uniquely shielded from the disruptive effects of the crisis

A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence

We use a simple partial adjustment econometric framework to investigate the effects of financial crises on the dynamic properties of yield spreads. We find that crises manifest themselves in the form of substantial disruptions revealed by changes in the persistence of the shocks to spreads as much as by in their unconditional mean levels. Formal breakpoint tests confirm that in the U.S. the Great Financial Crisis has been over approximately since the Spring of 2009 and provide a conservative dating centered around the August 2007–June 2009 dates. However, some yield spread series point to an end of the most serious disruptions as early as in December 2008. Some symptoms of an impending crisis re-appear instead in the second half of 2011. We also uncover evidence that the LSAP program implemented by the Fed in the U.S. residential mortgage market has been effective, in the sense that the risk premia in this market have been uniquely shielded from the disruptive effects of the crisis