Have Federal Reserve MBS purchases affected market functioning?

John Kandrac

Economics Letters, 2013, vol. 121, issue 2, 188-191

Abstract: Beginning in October 2011, the Federal Reserve began ongoing purchases of Mortgage Backed Securities (MBS). I test the extent to which these purchases were associated with disruptions in indicators of market functioning by using daily data on Federal Reserve MBS purchase operations. I find that two separate proxies for market functioning show adverse responses to Federal Reserve purchases that appear to be most closely linked to the additional open-ended MBS purchase program announced in September 2012. However, the magnitude of the disruption in market functioning appears to be quite modest.

Keywords: LSAP; Quantitative easing; Monetary policy; MBS; Market functioning; Open market operations (search for similar items in EconPapers)
JEL-codes: E52 E58 E65 G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:188-191

DOI: 10.1016/j.econlet.2013.08.011

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