Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions

DOI10.1515/snde-2021-0066OpenAlexW3186535814MaRDI QIDQ6138242

Virag Blazsek, Adam Kobor, Szabolcs Blazsek

Publication date: 5 September 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2021-0066

zbMATH Keywords

dynamic conditional score (DCS)generalized autoregressive score (GAS)government conservatorshipgovernment-sponsored enterprises (GSEs)mortgage-backed securities (MBSs)quantitative easing (QE) programs

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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