English, Article, Journal or magazine article edition: Assessing the effectiveness of the Paulson "Teaser Freezer" plan : evidence from the ABX index Eliana Balla; Robert E. Carpenter; Breck Robinson

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Bookmark: http://trove.nla.gov.au/version/6864
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Assessing the effectiveness of the Paulson "Teaser Freezer" plan : evidence from the ABX index
Author
  • Eliana Balla
  • Robert E. Carpenter
  • Breck Robinson
Physical Description
  • preprint
Notes
  • How did investors holding assets backed by subprime residential mortgages react when Treasury Secretary Paulson announced the so-called "teaser freezer" plan to modify mortgages in December 2007? We apply event-study methodology to the ABX index, the only source of daily securities prices in subprime mortgage markets. Our results show investors in the ABX initially perceived that the plan would improve conditions in the subprime housing markets, but results from a longer event window show this positive effect was swamped by continued deterioration in housing markets. The positive effects of the plan disappear for junior tranche securities in recent vintages, consistent with poorer quality collateral pools.
  • Mortgages ; Subprime mortgage
  • RePEc:fip:fedrwp:09-07
Language
  • English
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