Interest Rate Pass-Through and Consumption Response: The Deposit Channel

• 成果类型: Article
• 署名作者: Agarwal, Sumit; Chomsisengphet, Souphala; Yildirim, Yildiray; Zhang, Jian
• 署名单位: National University of Singapore; United States Department of the Treasury; Office of the Comptroller of the Currency; City University of New York (CUNY) System; University of Hong Kong
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00941
• 发表日期: 2021-12
• 页码: 922-938
• 关键词: monetary-policy; household consumption; debt response; credit; transmission; shocks; constraints; expenditure; liquidity

摘要

This study assesses a new mechanism, the deposit channel, in the transmission of interest rate shock to household consumption using an administrative panel data set of financial transactions for Turkey. Our empirical strategy exploits variation in consumers' adherence to the Islamic laws that forbid earning interest and employs a standard difference-in-difference design. Following an unanticipated announcement of interest rate hike, rate-sensitive consumers significantly reduce their overall spending, and the response persists throughout the post-announcement period. The response of debt payment, disparate exposure to inflation, exchange rate, and the demographic difference can hardly fully account for the documented consumption response heterogeneity.