242
Views
1
CrossRef citations to date
0
Altmetric
Research Article

Measuring the Impact of Monetary Policy on Mortgage Rates

&

References

  • Acharya, V. , & Pedersen, L. (2005). Asset pricing with liquidity risk. Journal of Financial Economics , 77 , 375–410.
  • Bauer, M. , & Rudebusch, G. (2014). The signaling channel for federal reserve bond purchases. International Journal of Central Banking , 10 , 233–89.
  • Bernanke, B. , Boivin, J. , & Eliasz, P. (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics , 120 , 387–422.
  • Bernanke B. (2013, March 1). Long-term interest rates [Conference presentation]. Annual Monetary/Macroeconomics Conference: The Past and Future of Monetary Policy, San Francisco California.
  • Bhar, R. , Malliaris, A.G. , & Malliaris, M. (2015). The impact of large-scale asset purchases on the S&P 500 Index, long-term interest rates and unemployment. Applied Economics , 47 , 6010–6019.
  • Black, F. (1995). Interest rates as options. Journal of Finance , 50 , 1371–1376.
  • Bomfim, A. , & Meyer, L. (2010). Quantifying the effects of Fed asset purchases on treasury yields, monetary policy insights: Large fixed income focus. Macroeconomic Advisers Report.
  • Boudoukh, J. , Richardson, M. Stanton, R. , & Whitelaw, R. (1997). Pricing mortgage-backed securities in a multifactor interest rate environment: A multivariate density estimation approach. Review of Financial Studies , 10 , 405–446.
  • Christensen, J. , & Rudebusch, G. (2012). The response of interest rates to US and UK quantitative easing. The Economic Journal , 122 , 385–414.
  • D'Amico., S. , & King, T. (2010). Flow and stock effects of large-scale treasury purchases (Finance and Economics Discussion Series (FEDS) Working Paper No. 2010-52). Board of Governors of the Federal Reserve System .
  • D’Amico., S. , & King, T. B. (2013). Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply. Journal of Financial Economics , 108 , 425–448.
  • Demary, M. (2010). The interplay between output, inflation, interest rates and house prices: International evidence. Journal of Property Research , 27 (1), 1–17.
  • Doh, T. (2010). The efficacy of large-scale asset purchases at the zero lower bound, Federal Reserve Bank of Kansas City. Economic Review, Q II, 5–34.
  • Durlauf, S. N. , & Phillips, P. C. B. (1988). Trends versus random walks in time series analysis. Econometrica , 56 , 1333–1354.
  • Federal Reserve Bank of Philadelphia . (2017). Survey of Professional Forecasters. https://www.philadelphiafed.org/-/media/research-and-data/real-time-center/survey-of-professional-forecasters/2017/spfq417.pdf
  • Fischer S. (2016, October 5). Low interest rates [Presentation]. 40th Annual Central Banking Seminar, New York, New York.
  • Francis, N. Jackson, L. , & Owyang, M. (2016). How has empirical monetary policy analysis changed after the financial crisis? (Working Paper No. 2014-019B). Research Division Federal Reserve Bank of St. Louis.
  • Fuller, W.A. , (1976). Introduction to statistical time series . Wiley.
  • Gagnon, J. , Raskin, M. , Remache, J. , and Sack, B. (2011). The financial market effects of the Federal Reserve’s large-scale asset purchase. International Journal of Central Banking , 7 (1), 3–43.
  • Granger, C. W. J. , & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics , 2 , 111–120.
  • Greenspan, A. (2010). The crisis (Brookings Papers on Economic Activities). The Brookings Institution. https://www.brookings.edu/wp-content/uploads/2010/03/2010a_bpea_greenspan.pdf
  • Greenwood, R. , & Vayanos, D. (2008). Bond supply and excess bond returns (NBER Working Paper No. 13806). National Bureau of Economic Research. https://www.nber.org/papers/w13806.pdf
  • Hamilton, J. D. , & Wu, J. C. (2011). The effectiveness of alternative monetary policy tools in a zero lower bound environment (NBER Working Paper No. 16956). National Bureau of Economic Research.
  • Hancock, D. , & Passmore, W. (2011). Did the Federal Reserve’s MBS purchase program lower mortgage rates? Journal of Monetary Economics , 58 , 498–514.
  • Hancock, D. , & Passmore, W. (2012). The Federal Reserve’s portfolio and its effects on mortgage markets (Finance and Economics Discussion Series (FEDS) Working Paper No. 2012-22). Board of Governors of the Federal Reserve System .
  • Hancock, D. , & Passmore, W. (2015) How does the Federal Reserve’s large-scale asset purchases (LSAPs) influence mortgage-backed securities (MBS) yields and U.S. mortgage rates? Real Estate Economics , 43 (4), 855–890.
  • Higgins, M. , & T. Klitgaard. (1998). Viewing the current account deficit as a capital inflow. Current Issue in Economics and Finance, Federal Reserve Bank of New York , 4 , 1–6.
  • Johansen, S. (1996). Likelihood-based inference in cointegrated vector autoregressive models (2nd ed.). Advanced Texts in Econometrics, Oxford University Press.
  • Joyce, M. , Lasaosa, A. , & Stevens, I. (2011). The financial market impact of quantitative easing. International Journal of Central Banking , 7 , 113– 61.
  • Krishnamurthy, A. , & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: Channels and implications for policy . (Brookings Papers on Economic Activity). The Brookings Institution.
  • Miles, W. (2014). The housing bubble: How much blame does the Fed really deserve? Journal of Real Estate Research , 36 , 41–58.
  • Neely, C. (2013). Unconventional monetary policy had large international effects (Working Paper 2010-018D). Federal Reserve Bank of St. Louis.
  • Pesaran, H. H. , & Shins, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters , 58 (1), 17–29.
  • Piskorski, T. and Seru, A. (2018). Mortgage market design: Lessons from the Great Recession. (Brookings Papers on Economic Activity Conference Drafts). The Brookings Institution.
  • Powell, J. (2016, November 29). Recent economic developments and longer-run challenges [Speech]. The Economic Club of Indiana, Indianapolis, Indiana. Board of Governors of the Federal Reserve System. https://www.federalreserve.gov/newsevents/speech/powell20161129a.htm
  • Powell, J. (2017, January 7). Low interest rates and the financial system [Conference presentation]. 77th Annual Meeting of the American Finance Association, Chicago, Illinois.
  • Rachel, L. , & Smith, T. D. (2015, December). Secular drivers of the global real interest rate (Staff Working Paper 571). Bank of England, London.
  • Rogoff, K. (2006). Impact of globalization on monetary policy . Federal Reserve Bank of Kansas City Proceedings, 265–305.
  • Seiler, M. J. (2017). A search for the genetic contributors to strategic mortgage default: The Catechol-O-Methyltransferase (COMT) Gene. Journal of Real Estate Research , 39 (3), 349–371.
  • Seiler, Michael J. , & Walden, E. (2016). Using neurological evidence to differentiate between informational and social herding among strategic mortgage defaulters. Journal of Real Estate Research , 38 (3), 453–471.
  • Sims, C. A. , Stock, J. H. , & Watson, M. W. (1990). Inference in linear times series models with some unit roots. Econometrica , 58 (1), 113–44.
  • Stefania, D. , English, W. , & Lopez-Salido, D. (2012). The Federal Reserve’s large-scale asset purchase programs: Rationale and effects (Federal Reserve Board Working Paper). Federal Reserve Board.
  • Stock, J. H. (1987). Asymptotic properties of least square estimators of cointegrating vectors. Econometrica , 55 (5), 1035–56.
  • Stock, J. , & Watson, M. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business Economics and Statistics , 20 (2), 147–162.
  • Swanson, E. T. (2011). Let’s twist again: a high-frequency event-study analysis of operation twist and its implications for QE2 (Brookings Papers on Economic Activity 42). The Brookings Institution.
  • Taylor, J. (2007). Housing and monetary policy (NBER Working Paper 13682). National Bureau of Economic Research.
  • Termos, A. , & Saad, M. , (2016). Do mortgage loans respond perversely to monetary policy? Journal of Real Estate Research ,v38 , 251–289.
  • Thornton, D.L. (2017). Effectiveness of QE: An assessment of event-study evidence. Journal of Macroeconomics , 52 , 56–74.
  • West, K. D. (1988).Asymptotic Normality: When regressors have a unit root. Econometrica , 56 , 1397–1417.
  • Wu, T. (2006). Globalization’s effect on interest rates and the yield curve. Federal Reserve Bank of Dallas Economic Letter , 1 , 1–8.
  • Wu, J. , & Xia, F. (2015). Measuring the macroeconomic impact of monetary policy at the zero lower bound (Working Paper No. 13-77). The University of Chicago Booth School of Business.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.