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Working Paper
Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs
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 ...
Journal Article
MBS Real Estate Investment Trusts: A Primer
This article examines those real estate investment trusts (REITs) that invest predominantly in mortgage-backed securities (MBS) and fund themselves with repurchase agreements (repos)---so-called mortgage REITS, or mREITs. mREITs grew quite rapidly after the financial crisis that began in 2008 and have come to be significant players in the MBS and repo markets. We review how they operate, how they are regulated, their recent growth, the risks they face, how they manage these risks, and the dangers they may pose to the broader economy.