HOUSING FINANCE AND MONETARY POLICY

• 成果类型: Article
• 署名作者: Calza, Alessandro; Monacelli, Tommaso; Stracca, Livio
• 署名单位: European Central Bank; Bocconi University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2012.01095.x
• 发表日期: 2013
• 页码: 101-122
• 关键词: consumption

摘要

We document three facts concerning how the structure of housing finance affects the monetary transmission mechanism: first, the characteristics of residential mortgage markets differ markedly across industrialized countries; second, the impact of monetary policy shocks to residential investment and house prices is significantly stronger in those countries with larger flexibility/development of mortgage markets; third, the transmission to consumption is stronger only in those countries where mortgage equity release is common and mortgage contracts are predominantly of the variable-rate type. We then build a two-sector DSGE model with financial constraints to rationalize those facts.