Year: 2009
Type: report
Abstract: We examine the quantitative impact of the Federal Reserve's mortgage-backed securities (MBS) purchase program.We focus on how much of the recent decline in mortgage interest rate spreads can be attributed to these purchases.The question is more difficult than frequently perceived because of simultaneous changes in prepayment and default risks.When we control for these risks, we find evidence of statistically insignificant or small effects of the program.For specifications where the existence or announcement of the program appears to have lowered spreads, we find no separate effect of the size of the stock of MBS purchased by the Fed.
DOI: 10.3386/w15626
Authors: Johannes Stroebel, John Taylor
Institutions: National Bureau of Economic Research, Stanford University
Language: English
Topic: Housing Market and Economics
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1568256522