Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/200530 
Year of Publication: 
2018
Series/Report no.: 
Working Paper No. 2018-8
Publisher: 
Federal Reserve Bank of Atlanta, Atlanta, GA
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.
Subjects: 
quantitative easing
risk-taking
REITs
GSEs
mortgages
securitization
JEL: 
E58
G21
G23
G28
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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