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

By D. Hancock, Wayne Passmore. 2010

238 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5e74adcbfdca29ac05891572e7c71c6b0c562445

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Citations in the corpus

A Tale of Two Decades: The Ecb's Monetary Policy at 20 (2019, background): “201 See Hancock and Passmore (2011) and Krishnamurthy and Vissing-Jorgensen (2013). The latter paper writes: “The MBS purchases lower MBS yields because of capital constraints in the MBS market and because the Fed’s purchases are concentrated in the production coupon MBS where the Fed’s purchases cr”
Unconventional monetary policies: a re-appraisal (2018, background): “Gagnon et al (2011) Event study –912a –1132b Hancock and Passmore (2011) Time series regressions –443c”
QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool (2013, background): “Krishnamurthy and Vissing-Jorgensen (2011) present careful event-study evidence from the QE2 period suggesting that default-corrected corporate yields moved one for one with government bond yields, using credit default swap (CDS) spreads to correct for default risk.”
How Quantitative Easing Works: Evidence on the Refinancing Channel (2016, background): “induces less capitalized banks to lend to riskier firms, while Jimenez et al. (2012) show that for distressed banks, tighter monetary policy and worse economic conditions substantially reduce lending.”
The Financial Market Impact of UK Quantitative Easing (2012, background): “Important empirical contributions include Doh (2010), D’Amico and King (2010), Gagnon et al. (2010), Hamilton andWu (2010), Neely (2010), Hancock and Passmore (2011), Krishnamurthy and Vissing-Jorgenson (2011) and Wright (2011).”
Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events (2011, background): “18 As discussed in Gagnon et al. (2010) and Hancock and Passmore (2011), the Federal Reserve’s MBS purchases also improved the functioning of the mortgage market, thereby reducing spreads of residential mortgage rates over 10-year Treasury yields by about 50 basis points during 2009.”
On the International Spillovers of US Quantitative Easing (2018, unknown): “17 “reduce the cost and the increase the availability of credit for the purchases of houses”.18 As discussed in Hancock and Passmore (2011), the Federal Reserve’s MBS Purchase Program re-established robust secondary mortgage market, which meant that the marginal mortgage borrower could be funded…”