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Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac (ICPSR 1312)
Principal Investigator(s): Schmid, Frank A., Federal Reserve Bank of St. Louis
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).
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 available to the general public.
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: http://doi.org/10.3886/ICPSR01312.v1
This study was funded by:
- Federal Reserve Bank of St. Louis
Scope of Study
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.
Original ICPSR Release: 2005-03-15
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