Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
33 Pages Posted: 31 Jul 2013
There are 3 versions of this paper
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
Economic Volatility and Financial Markets: The Case of Mortgage-Backed Securities
Economic Volatility and Financial Markets: The Case of MortgageāBacked Securities
Date Written: April 29, 2013
Abstract
The volatility of aggregate economic activity in the United States decreased markedly in the mid eighties. The decrease involved several components of GDP and has been linked to a more stable economic environment, identified by smaller shocks and more effective policy, and a diverse set of innovations related to inventory management as well as financial markets. We document a negative relation between the volatility of GDP and some of its components and one such financial development: the emergence of mortgage-backed securities. We also document that this relationship changed sign, from negative to positive, in the early 2000's.
Keywords: Mortgage backed securities, volatility, great moderation
JEL Classification: E3, G1
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
By James H. Stock and Mark W. Watson
-
Output Fluctuations in the United States: What Has Changed Since the Early 1980s?
-
Time Varying Structural Vector Autoregressions and Monetary Policy
-
Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?
By Shaghil Ahmed, Andrew T. Levin, ...
-
On the Causes of the Increased Stability of the U.S. Economy
By James A. Kahn, Margaret Mary Mcconnell, ...
-
The Rise in Firm-Level Volatility: Causes and Consequences
By Diego Comin and Thomas Philippon
-
The Rise in Firm-Level Volatility: Causes and Consequences
By Diego Comin and Thomas Philippon
-
The Rise in Firm-Level Volatility: Causes and Consequences
By Diego A. Comin and Thomas Philippon
-
The Estimation of Prewar Gnp: Methodology and New Evidence
By Nathan S. Balke and Robert J. Gordon
