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Estimated Impact of the Federal Reserve’s Mortgage-Backed Securities Purchase Program
Purchase Program Mortgage-Backed
2015/8/3
The largest credit or liquidity program created by the
Federal Reserve during the financial crisis was the mortgagebacked
securities (MBS) purchase program. In this paper, we
examine the quantitati...
Federal Reserve Bank of New York Staff Reports
return predictability cross sectional asset pricing financial intermediation macrofinance
2014/3/18
We investigate intermediary asset pricing theories empirically and find strong support for
intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model
that uses...