摘要：In this paper, I evaluate one of several commonly cited
potential costs of quantitative easing. Specifically, I assess the
effect of ongoing Federal Reserve mortgage-backed securities
(MBS) purchases on MBS market liquidity. Examining several
standard liquidity indicators, I find that Federal Reserve MBS
purchases adversely affected average trading volume, trade
sizes, and the number of trades. Bid-ask spreads remained
mostly unaffected, although a spread widening in response to
Fed purchases evidently emerged just after the beginning of the
largest MBS purchase program. Although the marginal liquidity
effects of purchases can be sizable, the economic magnitude
of the effects is relatively modest when taking into account the
size of Federal Reserve MBS operations. Lastly, I find no evidence
of impaired price discovery in the MBS market during
the time of Federal Reserve purchases.
