THE MACROECONOMIC EFFECTS OF GOVERNMENT ASSET PURCHASES: EVIDENCE FROM POSTWAR US HOUSING CREDIT POLICY

• 成果类型: Article
• 署名作者: Fieldhouse, Andrew J.; Mertens, Karel; Ravn, Morten O.
• 署名单位: Cornell University; Federal Reserve System - USA; Federal Reserve Bank - Dallas; Centre for Economic Policy Research - UK; University of London; University College London
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjy002
• 发表日期: 2018
• 页码: 1503-1560
• 关键词: mortgage-backed securities; Tax changes; spreads; shocks; rates

摘要

We document the portfolio activity of federal housing agencies and provide evidence on its impact on mortgage markets and the economy. Through a narrative analysis, we identify historical policy changes leading to expansions or contractions in agency mortgage holdings. Based on those regulatory events that we classify as unrelated to short-run cyclical or credit market shocks, we find that an increase in mortgage purchases by the agencies boosts mortgage lending, in particular refinancing, and lowers mortgage rates. Agency purchases also influence prices in other asset markets, stimulate residential investment, and expand homeownership. We compare these effects to those of conventional monetary policy shocks, and we provide evidence on the interactions between housing credit and monetary policies.