Much attention has been paid to the large decreases in value of non-agency residential mortgage-backed securities (RMBS) during the financial crisis. Many observers have argued that the fall in prices was partly driven by decreased liquidity and fire sales. We investigate whether capital...

We extend the work of Bernanke and Kuttner (2005) by examining the impact of monetary shocks and policy tools on aggregate stock and bond returns as well as the stock returns of financial institutions during the recent period of Quantitative Easing (QE) in the U.S. Specially, we test for the...