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Journal Article
Decoding messages from the yield curve
Working Paper
Assessing the effectiveness of the Paulson \"Teaser Freezer\" plan : evidence from the ABX index
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 ...
Working Paper
Assessing the effectiveness of the Paulson \"teaser freezer\" plan: evidence from the ABX index
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 that investors initially perceived that the Paulson Plan would improve conditions in subprime housing markets. Specifically, those investors who held the riskiest securities backed by subprime residential housing benefited the most from the Paulson Plan. These ...