They show that retaining a greater fraction of credit risk in the balance sheet of the originator significantly lowers the probability of default of the underlying loan. The same problem may arise in the case of CRT via CDS, as Parlour and Winton show in their paper.
Nonetheless, various academic studies suggest that unconventional tools, via their effect on term premiums, may have depressed 10-year US yields by as much as 50 to 100 basis points.1 As for capital flows to emerging markets, it may be no surprise that the era of very accommodative policy in the developed world coincided (according to data of the Institute of International Finance) with inflows in excess of $ 1 trillion per year from 2010 to 2014, a level that had only been exceeded once before the global financial crisis.2 This backdrop, however is likely to change soon.