Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program / Johannes C. Stroebel, John B. Taylor.

Format:

Book

Author/Creator:

Stroebel, Johannes C.

Contributor:

National Bureau of Economic Research.

Taylor, John B.

Series:

Working Paper Series (National Bureau of Economic Research) no. w15626.

NBER working paper series no. w15626

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2009.

Summary:

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.

Notes:

Print version record

December 2009.