State-Dependent Effects of Monetary Policy: The Refinancing Channel

• 成果类型: Article
• 署名作者: Eichenbaum, Martin; Rebelo, Sergio; Wong, Arlene
• 署名单位: Northwestern University; National Bureau of Economic Research; Northwestern University; Centre for Economic Policy Research - UK; Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20191244
• 发表日期: 2022
• 页码: 721-761
• 关键词: interest-rates; life-cycle; house prices; redistribution; Heterogeneity; valuation; surprises; COSTS

摘要

This paper studies how the impact of monetary policy depends on the distribution of savings from refinancing mortgages. We show that the efficacy of monetary policy is state dependent, varying in a systematic way with the pool of potential savings from refinancing. We construct a quantitative dynamic life-cycle model that accounts for our findings and use it to study how the response of consumption to a change in mortgage rates depends on the distribution of savings from refinancing. These effects are strongly state dependent. We also use the model to study the impact of a long period of low interest rates on the potency of monetary policy. We find that this potency is substantially reduced both during the period and for a substantial amount of time after interest rates renormalize.