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Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs

W Frame () and Eva Steiner

No 2018-8, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate investment trusts (REITs)?a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: [i] equity prices reacted to QE announcements and in a manner consistent with their business prospects; [ii] grew markedly during QE2 and receded during QE3 in relation to the Federal Reserve's Agency MBS purchase activity; and [iii] increased their leverage during QE3. Our findings are consistent with unconventional monetary policy actions crowding out private investment and "reaching for yield" behavior by financial institutions.

Keywords: quantitative easing; risk-taking; REITs; GSEs; mortgages; securitization (search for similar items in EconPapers)
JEL-codes: E58 G21 G23 G28 (search for similar items in EconPapers)
Date: 2018-08-01
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:2018-08

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DOI: 10.29338/wp2018-08

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