| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 97 === The Fed starts its easing policy from 2000 to 2004, and reveres the policy from 2004 to 2007, but the prices on the U.S. housing markets have steadily grown up for the whole period from 2000 to 2007. Fannie Mae and Freddie Mac, the Government-Sponsored Enterprises (GSEs), are the main players in the secondary mortgage markets to fulfill the goal of housing affordability. In our research, we investigate if the activities of GSEs prolong the housing returns and if GSEs are stabilizing the housing returns volatility. We employ the VECM model to evaluate the GSEs’ impacts on the FHFA housing markets, and apply the GARCH model to examine if the GSEs activities are able to stabilize the housing volatility. Our results indicate that the GSEs activities do significantly stoke the increase in housing prices returns before and after 2004, but the GSEs activities don’t show significant statistics evidence in stabilizing the housing returns volatility.
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