SYSTEMATIC MONETARY POLICY AND THE MACROECONOMIC EFFECTS OF SHIFTS IN RESIDENTIAL LOAN-TO-VALUE RATIOS

• 成果类型: Article
• 署名作者: Bachmann, Ruediger; Rueth, Sebastian K.
• 署名单位: University of Notre Dame; Leibniz Association; Ifo Institut; Ruprecht Karls University Heidelberg; Ghent University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12432
• 发表日期: 2020
• 页码: 503-530
• 关键词: business-cycle; credit constraints; housing finance; shocks; price; expectations; inflation; spreads

摘要

What are the macroeconomic consequences of changing aggregate lending standards in residential mortgage markets, as measured by loan-to-value (LTV) ratios? Using a structural vector autoregression (VAR), we find that GDP and business investment increase following an expansionary LTV shock. Residential investment, by contrast, falls after a small initial uptick, a result that depends on the systematic reaction of monetary policy. We show that, historically, the Fed tended to respond to expansionary LTV shocks by raising the monetary policy instrument, and, as a result, mortgage rates increased and residential investment declined. House prices are affected in a similar manner.