TY - JOUR
T1 - Measuring potential GSE funding advantages
AU - Ambrose, Brent W.
AU - Warga, Arthur
N1 - Funding Information:
We thank Debbie Lucas and Marvin Phaup for their helpful comments and suggestions. This research was funded in part by a grant from the Congressional Budget Office. Any opinions expressed or implied are those of the authors and do not necessarily reflect the view or policies of the Congressional Budget Office.
PY - 2002
Y1 - 2002
N2 - As the size of government sponsored enterprises (GSE) has grown, attention has focused on the relationship between the federal government and the GSEs, with particular attention focused on estimating the impact of this relationship on GSE debt costs. Quantifying the GSEs' cost advantage is a controversial exexcise with several competing methodologies providing divergent values. Thus, this paper reviews the methods that have been utilized in previous studies and recommends an alternative approach that overcomes many of the criticisms of previous work. By using offering yields on GSE debt, we find that the three housing GSEs enjoyed an average advantage of between 25 and 29 basis points over "AA" banking sector bonds, between 43 and 47 basis points over "A" rated bonds, and between 76 and 80 basis points over "BBB" rated banking issues. We find that our results are robust to both the basic approach taken as well as to model specification.
AB - As the size of government sponsored enterprises (GSE) has grown, attention has focused on the relationship between the federal government and the GSEs, with particular attention focused on estimating the impact of this relationship on GSE debt costs. Quantifying the GSEs' cost advantage is a controversial exexcise with several competing methodologies providing divergent values. Thus, this paper reviews the methods that have been utilized in previous studies and recommends an alternative approach that overcomes many of the criticisms of previous work. By using offering yields on GSE debt, we find that the three housing GSEs enjoyed an average advantage of between 25 and 29 basis points over "AA" banking sector bonds, between 43 and 47 basis points over "A" rated bonds, and between 76 and 80 basis points over "BBB" rated banking issues. We find that our results are robust to both the basic approach taken as well as to model specification.
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U2 - 10.1023/A:1016569507838
DO - 10.1023/A:1016569507838
M3 - Review article
AN - SCOPUS:0141786776
SN - 0895-5638
VL - 25
SP - 129
EP - 150
JO - Journal of Real Estate Finance and Economics
JF - Journal of Real Estate Finance and Economics
IS - 2-3
ER -