09314oam 22014054 450 991081753510332120200520144314.01-4623-2349-91-4527-8337-397866128424811-4518-7173-21-282-84248-X(CKB)3170000000055187(SSID)ssj0000940048(PQKBManifestationID)11523032(PQKBTitleCode)TC0000940048(PQKBWorkID)10947098(PQKB)11139768(OCoLC)680613573(IMF)WPIEE2009026(MiAaPQ)EBC1608153(IMF)WPIEA2009026(EXLCZ)99317000000005518720020129d2009 uf 0engurcn|||||||||txtccrAn Investigation of Some Macro-Financial Linkages of Securitization /Xin Long, Mangal Goswami, Andreas Jobst1st ed.Washington, D.C. :International Monetary Fund,2009.46 pIMF Working PapersBibliographic Level Mode of Issuance: Monograph1-4519-1609-4 Includes bibliographical references.Intro -- Contents -- I. Introduction -- II. Empirical Analysis -- A. Macro-Financial Linkages in Mature Economies-Evidence from U.S. Secondary Mortgage Market -- B. Macro-financial Linkages in Emerging Economies-Evidence from South African Mortgage Market -- III. Conclusion -- References -- Box 1. Mortgage Securitization in South Africa -- Tables -- 1. United States-OLS Estimation Results: IS Dynamic Equation of Output Gap with Instrumental Variable Controls for Securitization and Financial Depth (1970-2006) -- 2. United States-Estimation Results: VAR(2,2) Simultaneous Equation Model with Model with Instrumental Variable Controls for Securitization and Financial Depth (1970-2006) -- 3. United States-OLS Estimation Results of the Mortgage Interest Rate Pass-through, with Instrumental Variable Controls for Securitization (1970-2006) -- 4. United States-Summary Table of OLS Estimation Results for Interest Rate Pass-through (Different Time Periods) -- 5. South Africa-OLS Estimation Results: IS Dynamic Equation of Output Gap with Instrumental Variable Controls for Securitization (1965-2006) -- 6. South Africa-Estimation Results: VECM(3,2) Simultaneous Equation Model of Balance Sheet Effects (Bank Lending) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006) -- 7. South Africa-Estimation Results: VECM (3,2) Simultaneous Equation Model of Balance Sheet Effects (Bank Securities Investment) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006) -- 8. South Africa-Estimation Results: VECM (3, 2) Simultaneous Equation Model of Balance Sheet Effects (Bank Deposits) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006).9. South Africa-Estimation Results (Summary Table): VECM (3,2) Model Simultaneous Equation Model of Balance Sheet Effects (Bank Lending, Bank Deposits, Bank Securities Investments) with Instrumental Variable Control for Securitization (1987-2006 and 2002-2006) -- Figures -- 1. Transmission Channels of Monetary Policy in the United States -- 2. Mortgage-Related Securitization (Outstanding and Issuance) in the United States, Emerging Markets, and South Africa -- 3. Stock of U.S. Mortgage-Backed Securities (In billions of U.S. dollars, 1966-2006) -- 4. United States--Impulse-Response Graphs of Interest Rate Elasticity: VAR (5,2) Simultaneous Equation Model with Instrumental Variable Controls for Securitization and Financial Depth (1970-2006) -- 5. United States-Impulse-Response Graphs of Interest Rate Elasticity: VAR (5,2) Simultaneous Equation Model with Instrumental Variable Controls for Securitization and Financial Depth (1970-1990) -- 6. United States-Impulse-Response Graphs of Interest Rate Elasticity: VAR (5,2) Simultaneous Equation Model with Instrumental Variable Controls for Securitization and Financial Depth (1991-2006) -- 7. South Africa-Impulse-Response Graphs of Interest Rate Elasticity: VECM (3,2) Simultaneous Equation Mode of Balance Sheet Effects (with Bank Lending as Bank Balance Sheet Variable)with and without Control for Securitization (1987-2006 and 2002-2006) -- 8. South Africa-Impuls-Response Graphs of Interest Rate Elasticity: VECM (3,2) Simultaneous Equation Model of Balance Sheet Effects (with Bank Securities I nvestment as Bank Balance Sheet Variable wit and without Control for Securitization (1987-2006 and 2002-2006).9. South Africa-Impulse-Response Graphs of Interest Rate Elasticity: VECM (3,2) Simultaneous Equation Model of Balance Sheet Effects (with Bank Deposits as Bank Balance Sheet Variable) with and without Control for Securitization (1987-2006 and 2002-2006).Policy-makers have attributed the scale of the credit crisis and its profound impact on money markets (as well as financial sector stability) to the fast rise of securitization and the way it has arguably complicated both the conduct of monetary policy and the effect of interest rate transmission to the real economy. In our study, we examine whether financial innovation, specifically through securitization, has altered the nature of some macro-financial linkages, often with considerable policy implications. We find that securitization activity in the United States (mature market) and South Africa (emerging market) has indeed dampened the interest rate elasticity of real output via the balance sheet channel (while decreasing the interest rate pass-through from policy rates to market rates). That being said, current reservations about securitization do not invalidate the fact that securitization activity helps cushion the immediate impact of interest rate shocks to loan origination, which might be particularly effective in EM countries where poorly developed capital markets provide few alternatives to bank lending.IMF Working Papers; Working Paper ;No. 2009/026Financial crisesAsset-backed financingAccountingimfAsset-backed financingimfBankingimfBanks and BankingimfBanksimfCentral bank policy rateimfDepository InstitutionsimfFinanceimfFinance, PublicimfFinancial institutionsimfFinancial reporting, financial statementsimfFinancial servicesimfFinancial statementsimfGovernment and the Monetary SystemimfIndustries: Financial ServicesimfInterest ratesimfInterest Rates: Determination, Term Structure, and EffectsimfInternational Economic Order and IntegrationimfInternational Monetary Arrangements and InstitutionsimfInvestment & securitiesimfInvestments: GeneralimfMicro Finance InstitutionsimfMonetary SystemsimfMortgagesimfPayment SystemsimfPublic AdministrationimfPublic financial management (PFM)imfPublic Sector Accounting and AuditsimfReal interest ratesimfRegimesimfSecuritizationimfStandardsimfUnited StatesimfFinancial crises.Asset-backed financing.AccountingAsset-backed financingBankingBanks and BankingBanksCentral bank policy rateDepository InstitutionsFinanceFinance, PublicFinancial institutionsFinancial reporting, financial statementsFinancial servicesFinancial statementsGovernment and the Monetary SystemIndustries: Financial ServicesInterest ratesInterest Rates: Determination, Term Structure, and EffectsInternational Economic Order and IntegrationInternational Monetary Arrangements and InstitutionsInvestment & securitiesInvestments: GeneralMicro Finance InstitutionsMonetary SystemsMortgagesPayment SystemsPublic AdministrationPublic financial management (PFM)Public Sector Accounting and AuditsReal interest ratesRegimesSecuritizationStandards332.632094Long Xin1660810Goswami Mangal1630728Jobst Andreas1593631DcWaIMFBOOK9910817535103321An Investigation of Some Macro-Financial Linkages of Securitization4016290UNINA