We study Agency Mortgage Real Estate Investment Trusts (Agency MREITs)—shadow banks that invest in guaranteed U.S. Agency mortgage-backed securities (MBS) and that are principally funded with repo debt—to test how quantitative easing (QE) affects financial risk taking. Agency MREIT asset growth is inversely related to the Federal Reserve's Agency mortgage-backed securities (MBS) purchases, reflecting investor portfolio rebalancing. Agency MREITs increased leverage during QE, consistent with “reaching for yield.” They countered the heightened solvency risk by extending repo maturity and increased hedging of funding costs to reduce liquidity and interest rate risk. Research linking QE to increased credit risk taking should account for contemporaneous changes in financing choices and risk management.

中文翻译：

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抵押REITs的量化宽松与机构MBS投融资选择

我们研究机构抵押房地产投资信托基金 (Agency MREITs)——投资于有担保的美国机构抵押贷款支持证券 (MBS) 的影子银行，主要由回购债务提供资金——以测试量化宽松 (QE) 如何影响金融风险承担。机构 MREIT 资产增长与美联储的机构抵押贷款支持证券 (MBS) 购买成反比，反映了投资者投资组合的再平衡。机构 MREIT 在量化宽松期间增加了杠杆，与“争取收益”一致。他们通过延长回购期限和增加对冲资金成本以降低流动性和利率风险来应对偿付能力风险。将量化宽松与增加的信用风险承担联系起来的研究应该考虑到融资选择和风险管理的同期变化。