-linked mortgage-market data, we document that there is a "flypaper effect" of LSAPs, where the transmission of unconventional monetary …-eligible mortgage originations significantly more than the origination of GSE-ineligible mortgages. In contrast, QE2's focus on … facto allocation of credit across mortgage market segments, combined with sharp bunching around GSE eligibility cutoffs …

that (a) mortgage-backed securities purchases in QE1 were crucial for lowering mortgage-backed security yields as well as … on Treasuries and Agencies relative to mortgage-backed securities and corporates, with yields on the latter falling …

We examine the quantitative impact of the Federal Reserve's mortgage-backed securities (MBS) purchase program. We focus … on how much of the recent decline in mortgage interest rate spreads can be attributed to these purchases. The question is …

We introduce a reduced-form modeling framework for mortgage-backed securities in which we solve for the implied … actual prepayments, providing direct evidence of significant prepayment risk premia in mortgage-backed security prices. We … risk. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and …

This paper investigates the impact of lower mortgage rates on household balance sheets and other economic outcomes … loans, which constitute the vast majority of U.S. mortgage borrowers. Relying on variation in the timing of resets of … adjustable rate mortgages, we find that a sizable decline in mortgage payments ($150 per month on average) induces a significant …

We use variation in mortgage modifications to disentangle the impact of reducing long-term obligations with no change …