TY  - JOUR
AU  - Stroebel,Johannes C.
AU  - Taylor,John B.
TI  - Estimated Impact of the Fed’s Mortgage-Backed Securities Purchase Program
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15626
PY  - 2009
Y2  - December 2009
UR  - http://www.nber.org/papers/w15626
L1  - http://www.nber.org/papers/w15626.pdf
N1  - Author contact info:
Johannes C. Stroebel
The University of Chicago
Booth School of Business
5807 South Woodlawn Ave
Chicago
IL - 60637
E-Mail: johannes.stroebel@chicagobooth.edu

John B. Taylor
Herbert Hoover Memorial Building
Stanford University
Stanford, CA 94305-6010
Tel: 650/723-9677
Fax: 650-723-1687
E-Mail: John.Taylor@stanford.edu
AB  - 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.
ER  -