n?u=RePEc:bde:wpaper:1526&r=all

repec.nep.mac

n?u=RePEc:bde:wpaper:1526&r=all

The first figure below shows the estimations when either securitization or asset holdings

is included in the VAR. The second figure shows the impulse responses to a securitization

shock when both variables are included in the VAR. We observe that controlling for asset

Figure 17: Augmented Models - Foreign demand for U.S. assets

0.1

Term Spread

0.1

Term Spread

0

0

−0.1

0 2 4 6 8 10 12 14 16 18 20

Horizon

Bond Excess Return

−0.1

2 4 6 8 10 12 14 16 18 20

Horizon

Bond Excess Return

−1

−2

0 2 4 6 8 10 12 14 16 18 20

0 x 10−3 Horizon

5

0

−5

0 2 4 6 8 10 12 14 16 18 20

10 x 10−4 Horizon

0.1

Equity Excess Return

0.1

Equity Excess Return

0

0

−0.1

0 2 4 6 8 10 12 14 16 18 20

Horizon

benchmark agcy corp stk treas tot

−0.1

0 2 4 6 8 10 12 14 16 18 20

Horizon

benchmark agcy corp stk treas tot

(a) Impulse Response to Asset-backed Securities

(b) Impulse Response to Mortgage-backed Securities

growth of these financial institutions does not altered the explanatory power of securitization

and that a shock to securitization leads to a sharp increase in asset holdings,

supporting the portfolio link explored in the theoretical model.

Figure 18: Impulse Responses - Quarterly Frequency - Benchmark

0.4

Term Spread

Bond Premium

3 x Equity Premium

10−3

0.01

0.2

2

0.005

ABS

Shock

0

1

0

0

−0.005

−0.2

−1

−0.01

−0.4

2 4 6 8 10

−2

−0.015

2 4 6 8 10

2 4 6 8 10

1.4. Predictive Regressions

BANCO DE ESPAÑA 50 DOCUMENTO DE TRABAJO N.º 1526

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