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Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study

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  • Wang, Ling

Abstract

Using micro-level data of Mortgage-Backed Securities (MBS) deals – a different empirical approach than those employed in the existing literature, this paper examines quantitatively how unconventional monetary policy affect MBS spreads and thus augments the still very limited literature on the link between unconventional monetary policy and mortgage markets. This paper also provides the first comparative study including both the U.S. and Japan in order to offer a broader perspective on this issue. We find that unconventional monetary policies implemented by the U.S. Federal Reserve and the Bank of Japan both have statistically significant effects in lowering MBS spreads. Furthermore, our evidence suggests that in the U.S., the Federal Reserve’s market-based approach to unconventional monetary policy of providing direct financial support to the MBS market is effective in reducing MBS spreads, while in Japan, it is the Bank of Japan’s bank-based approach to unconventional monetary policy of providing direct financial support to commercial banks that is effective in reducing MBS spreads.

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  • Wang, Ling, 2019. "Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 235-251.
    • Handle: RePEc:eee:ecofin:v:49:y:2019:i:c:p:235-251
    DOI: 10.1016/j.najef.2019.03.020
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    Cited by:

    1. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
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    3. Wang, Ling, 2020. "Unconventional monetary policy and stock repurchases: Firm-level evidence from a comparison between the United States and Japan," Research in International Business and Finance, Elsevier, vol. 51(C).
    4. Wang, Ling, 2023. "Central bank asset purchases, banks’ risky security holdings and profitability: Macro and micro evidence from Japan and the U.S," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 347-364.

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    More about this item

    Keywords

    Unconventional monetary policy; Asset purchases; Mortgage-backed securities (MBS); MBS spreads; Financial structure;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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