Did the Federal Reserve's MBS purchase program lower mortgage rates?

• 成果类型: Article
• 署名作者: Hancock, Diana; Passmore, Wayne
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2011.05.002
• 发表日期: 2011
• 页码: 498-514
• 关键词: MBS; Federal Reserve; GSEs; mortgage

摘要

On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were important during the height of the financial crisis, but the effects of the third depended on market conditions. Overall, the program put significant downward pressure on mortgage rates. Published by Elsevier B.V.