LEADER 09314oam 22014054 450 001 9910817535103321 005 20200520144314.0 010 $a1-4623-2349-9 010 $a1-4527-8337-3 010 $a9786612842481 010 $a1-4518-7173-2 010 $a1-282-84248-X 035 $a(CKB)3170000000055187 035 $a(SSID)ssj0000940048 035 $a(PQKBManifestationID)11523032 035 $a(PQKBTitleCode)TC0000940048 035 $a(PQKBWorkID)10947098 035 $a(PQKB)11139768 035 $a(OCoLC)680613573 035 $a(IMF)WPIEE2009026 035 $a(MiAaPQ)EBC1608153 035 $a(IMF)WPIEA2009026 035 $a(EXLCZ)993170000000055187 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 13$aAn Investigation of Some Macro-Financial Linkages of Securitization /$fXin Long, Mangal Goswami, Andreas Jobst 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a46 p 225 1 $aIMF Working Papers 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-4519-1609-4 320 $aIncludes bibliographical references. 327 $aIntro -- 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). 327 $a9. 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). 327 $a9. 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). 330 3 $aPolicy-makers have attributed the scale of the credit crisis and its profound impact on money markets (as well as financial sector stability) to the fast rise of securitization and the way it has arguably complicated both the conduct of monetary policy and the effect of interest rate transmission to the real economy. In our study, we examine whether financial innovation, specifically through securitization, has altered the nature of some macro-financial linkages, often with considerable policy implications. We find that securitization activity in the United States (mature market) and South Africa (emerging market) has indeed dampened the interest rate elasticity of real output via the balance sheet channel (while decreasing the interest rate pass-through from policy rates to market rates). That being said, current reservations about securitization do not invalidate the fact that securitization activity helps cushion the immediate impact of interest rate shocks to loan origination, which might be particularly effective in EM countries where poorly developed capital markets provide few alternatives to bank lending. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/026 606 $aFinancial crises 606 $aAsset-backed financing 606 $aAccounting$2imf 606 $aAsset-backed financing$2imf 606 $aBanking$2imf 606 $aBanks and Banking$2imf 606 $aBanks$2imf 606 $aCentral bank policy rate$2imf 606 $aDepository Institutions$2imf 606 $aFinance$2imf 606 $aFinance, Public$2imf 606 $aFinancial institutions$2imf 606 $aFinancial reporting, financial statements$2imf 606 $aFinancial services$2imf 606 $aFinancial statements$2imf 606 $aGovernment and the Monetary System$2imf 606 $aIndustries: Financial Services$2imf 606 $aInterest rates$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aInternational Economic Order and Integration$2imf 606 $aInternational Monetary Arrangements and Institutions$2imf 606 $aInvestment & securities$2imf 606 $aInvestments: General$2imf 606 $aMicro Finance Institutions$2imf 606 $aMonetary Systems$2imf 606 $aMortgages$2imf 606 $aPayment Systems$2imf 606 $aPublic Administration$2imf 606 $aPublic financial management (PFM)$2imf 606 $aPublic Sector Accounting and Audits$2imf 606 $aReal interest rates$2imf 606 $aRegimes$2imf 606 $aSecuritization$2imf 606 $aStandards$2imf 607 $aUnited States$2imf 615 0$aFinancial crises. 615 0$aAsset-backed financing. 615 7$aAccounting 615 7$aAsset-backed financing 615 7$aBanking 615 7$aBanks and Banking 615 7$aBanks 615 7$aCentral bank policy rate 615 7$aDepository Institutions 615 7$aFinance 615 7$aFinance, Public 615 7$aFinancial institutions 615 7$aFinancial reporting, financial statements 615 7$aFinancial services 615 7$aFinancial statements 615 7$aGovernment and the Monetary System 615 7$aIndustries: Financial Services 615 7$aInterest rates 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aInternational Economic Order and Integration 615 7$aInternational Monetary Arrangements and Institutions 615 7$aInvestment & securities 615 7$aInvestments: General 615 7$aMicro Finance Institutions 615 7$aMonetary Systems 615 7$aMortgages 615 7$aPayment Systems 615 7$aPublic Administration 615 7$aPublic financial management (PFM) 615 7$aPublic Sector Accounting and Audits 615 7$aReal interest rates 615 7$aRegimes 615 7$aSecuritization 615 7$aStandards 676 $a332.632094 700 $aLong$b Xin$01660810 701 $aGoswami$b Mangal$01630728 701 $aJobst$b Andreas$01593631 801 0$bDcWaIMF 906 $aBOOK 912 $a9910817535103321 996 $aAn Investigation of Some Macro-Financial Linkages of Securitization$94016290 997 $aUNINA