On December 12, 2019, Fed in Print will introduce its new platform for discovering content. Please direct your questions to Anna Oates
Federal Reserve Bank of Atlanta
FRB Atlanta Working Paper
Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs
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.
Cite this item
W. Scott Frame & Eva Steiner, Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs, Federal Reserve Bank of Atlanta, FRB Atlanta Working Paper 2018-8, 01 Aug 2018.
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Keywords: quantitative easing; risk-taking; REITs; GSEs; mortgages; securitization
This item with handle RePEc:fip:fedawp:2018-08
is also listed on EconPapers
For corrections, contact Elaine Clokey ()