Take Action
Research Details
Valuing Government Guarantees: Fannie and Freddie Revisited
Abstract
Estimates for the size of the implicit Federal guarantees for debt issued by Fannie Mae and Freddie Mac have ranged from $200 million (Stiglitz et al, 2002) to $122 to $182 billion (Passmore, 2005). This paper extends and updates the estimates in Lucas and McDonald (2006), by simultaneously estimating the current stock price and the possible future loss, and permitting jumps in asset value. We annuitized expected losses of 15-20 basis points, with a present value in the vicinity of $20 billion.
Type
Book Chapter
Author(s)
Deborah Lucas, Robert L. McDonald
Date Published
2010
Citations
Lucas, Deborah, and Robert L. McDonald. 2010. Valuing Government Guarantees: Fannie and Freddie Revisited.