The Transmission of Monetary Policy under the Microscope

• 成果类型: Article
• 署名作者: Holm, Martin Blomhoff; Paul, Pascal; Tischbirek, Andreas
• 署名单位: University of Oslo; Federal Reserve System - USA; University of Lausanne
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/715416
• 发表日期: 2021
• 页码: 2861-2904
• 关键词: precautionary savings; consumption response; interest-rates; income; credit; Heterogeneity; expenditure; surprises; channel; shocks

摘要

We investigate the transmission of monetary policy to household consumption using administrative data on the universe of households in Norway. On the basis of identified monetary policy shocks, we estimate the dynamic responses of consumption, income, and saving along the liquid asset distribution of households. For low-liquidity but also for high-liquidity households, changes in disposable income are associated with a sizable consumption reaction. The impact consumption response is closely linked to interest rate exposure, which is negative at the bottom but positive at the top of the distribution. Indirect effects of monetary policy gradually build up and eventually outweigh the direct effects.