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首页> 外文期刊>The North American journal of economics and finance >Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study
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Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study

机译：衡量非常规货币政策对MBS利差的影响：一项比较研究

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Using micro-level data of Mortgage-Backed Securities (MBS) deals - a different empirical approach than those employed in the existing literature, this paper examines quantitatively how unconventional monetary policy affect MBS spreads and thus augments the still very limited literature on the link between unconventional monetary policy and mortgage markets. This paper also provides the first comparative study including both the U.S. and Japan in order to offer a broader perspective on this issue. We find that unconventional monetary policies implemented by the U.S. Federal Reserve and the Bank of Japan both have statistically significant effects in lowering MBS spreads. Furthermore, our evidence suggests that in the U.S., the Federal Reserve's market-based approach to unconventional monetary policy of providing direct financial support to the MBS market is effective in reducing MBS spreads, while in Japan, it is the Bank of Japan's bank-based approach to unconventional monetary policy of providing direct financial support to commercial banks that is effective in reducing MBS spreads.
机译：本文使用抵押支持证券（MBS）交易的微观数据-与现有文献中采用的经验方法不同的经验方法，本文定量研究了非常规货币政策如何影响MBS利差，从而扩大了关于货币之间的联系的非常有限的文献非常规货币政策和抵押市场。本文还提供了包括美国和日本在内的首次比较研究，以便对此问题提供更广阔的视野。我们发现，美联储和日本银行实施的非常规货币政策在降低MBS利差方面均具有统计学上的显着影响。此外，我们的证据表明，在美国，美联储采取基于市场的非常规货币政策为MBS市场提供直接金融支持的方法有效地降低了MBS利差，而在日本，这是日本银行基于银行的向商业银行提供直接金融支持的非常规货币政策的方法，可以有效地减少MBS利差。

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