NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Johannes C. Stroebel, John B. Taylor

NBER Working Paper No. 15626
Issued in December 2009
NBER Program(s):   EFG   ME

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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Document Object Identifier (DOI): 10.3386/w15626

Published: Estimated Impact of the Federal Reserve’s Mortgage-Backed Securities Purchase Program with Johannes C. Stroebel, International Journal of Central Banking June 2012

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