ICPSR Logo

This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.

Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac (ICPSR 1312) RSS

Principal Investigator(s):

Summary:

Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) with the stated objective of promoting home ownership by improving the availability of mortgage financing for private households. These enterprises engage in two separate and distinct lines of business: (1) assembling and marketing pools of mortgages on which they guarantee the timely payments of principal and interest and (2) purchasing mortgage assets for their own portfolio, mostly funded with debt securities. This article examines the sensitivity of the returns on GSEs' shares to realizations of interest rate risk. The study shows that the market value of Fannie Mae and Freddie Mac's equity is vulnerable to increases in short-term interest rates and changes in the term spread (the difference between the long-term and short-term interest rates).

Access Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

Dataset(s)

Dataset - Download All Files (0 MB)
Data:

Study Description

Citation

Schmid, Frank A. Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac. ICPSR01312-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2005-03-15. http://doi.org/10.3886/ICPSR01312.v1

Persistent URL:

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote XML (EndNote X4.0.1 or higher)

Funding

This study was funded by:

  • Federal Reserve Bank of St. Louis

Scope of Study

Subject Terms:   interest rates, mortgages

Geographic Coverage:   United States

Data Collection Notes:

(1) The file submitted is the program file 0501fsp.prg. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

Methodology

Version(s)

Original ICPSR Release:  

Related Publications

Utilities

Metadata Exports

If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.

Download Statistics

Found a problem? Use our Report Problem form to let us know.