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Estimated Impact of the Fed’s Mortgage-Backed Securities Purchase Program

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  • Johannes C. Stroebel
  • John B. Taylor

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.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15626.

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Date of creation: Dec 2009
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Publication status: published as Estimated Impact of the Federal Reserve’s Mortgage-Backed Securities Purchase Program with Johannes C. Stroebel, International Journal of Central Banking June 2012
Handle: RePEc:nbr:nberwo:15626

Note: EFG ME
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