La Fed podría prolongar compras de MBS mientras modera compras de UST

Genevieve Signoret & Patrick Signoret

Barclays cree que hay razones para pensar que, cuando la Fed modere su programa de compras de activos (QE3), el tapering estará más enfocado en las compras de bonos del Tesoro de EE UU (UST) que en los títulos respaldados por hipotecas (MBS). Las razones se resumen en la percepción de que las compras de MBS tienen efectos macroeconómicos positivos más concretos y notables que las compras de bonos soberanos. La Fed actualmente está comprando $45 MMn de bonos del tesoro y $40 MMn de títulos respaldados por hipotecas cada mes. Nuestro escenario central es que la Fed anuncie una disminución en el ritmo de compra de activos en su reunión del 18 de septiembre.

Barry Knapp de Barclays (Global Macro Daily, 5 septiembre 2013):

We believe there is a case that the FOMC could taper asset purchases entirely in Treasuries in the early stages of the exit from QE. Barclays’ economics team forecast is biased toward reducing more Treasury purchases than MBS: $10bn Treasuries and $5bn MBS. However, a number of factors suggest minimal to no MBS tapering, including policy-related impairments in the mortgage credit channel, the Fed leadership’s views of the effect of MBS purchases on the housing market, research presented at Jackson Hole suggesting MBS purchases had larger macro benefits, an increase in fixed income implied volatility in recent months and the drop in housing-related equities.

[…One] paper in particular, “The Ins and Outs of LSAPs” by Arvind Krishnamurthy and Annette Vissing-Jorgensen, may offer some clues about the sequencing of the Fed’s exit from policy accommodation. The authors concluded that “QE works through narrow channels that effect prices of purchased assets with spill-overs depending on the particulars of the assets.” They go on to provide evidence of a ‘scarcity channel’ that rendered MBS purchases more effective than Treasury purchases, with beneficial macroeconomic effects.

[…With] the mortgage credit channel likely to be less clogged by next spring, we think there is a decent case for the Fed to continue to buy MBS even as Treasury purchases are perhaps completely eliminated. The secondary effect of dampening fixed income volatility through continued MBS purchases should reduce credit market uncertainty, though it likely will not change the path of rates.