An Evaluation of Mortgage-Backed Security Transactions Under the Troubled Asset Relief Program.

摘要

There is a lack of scholarly research into the effectiveness of the U.S. government's policy to stabilize the financial markets through providing liquidity to the market for mortgage-backed securities (MBSs). The purpose of this study was to examine if the U.S. Treasury met its goal of providing liquidity to the MBSs market under the Troubled Asset Relief Program (TARP). TARP represented a large outlay of funds, the size and complexity of which had the potential to limit policy initiatives of the U.S. Treasury. The research questions addressed the difference between the average transaction prices of agency MBSs and their Par values, the difference between the MBSs' purchase prices and sale prices, and the relationship between MBSs transaction prices and the date of transaction, the size of the transaction, and the firms involved. Existing data from the Federal Reserve Bank New York (FRBNY) were used; the variables of interest were the transaction prices of mortgage-backed securities purchased and sold by the Federal Open Market Committee. Analyses including t tests and analysis of variance were used to document that the Treasury successfully maintained the price of agency MBSs at or above their theoretical market values, the sale prices obtained by the Desk were in excess of the prices paid by the Desk, and that the Fed's transaction prices were statistically different from market prices. Regression and rank correlations demonstrated weak predictive value regarding relationships linking MBSs transaction prices and the date of transaction, the size of the transaction, and the firms involved. Implications for positive social change include more effective intervention policy in the MBSs market, which can benefit investors in the MBS and help stabilize the housing market.