Mortgage Prepayment and Path-Dependent Effects of Monetary Policy

• 成果类型: Article
• 署名作者: Berger, David; Milbradt, Konstantin; Tourre, Fabrice; Vavra, Joseph
• 署名单位: Duke University; National Bureau of Economic Research; Northwestern University; Copenhagen Business School; University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181857
• 发表日期: 2021
• 页码: 2829-2878
• 关键词: Idiosyncratic risk; interest-rates; consumption; Heterogeneity; redistribution; inflation; COSTS

摘要

How much ability does the Fed have to stimulate the economy by cutting interest rates? We argue that the presence of substantial debt in fixed-rate, prepayable mortgages means that the ability to stimulate the economy by cutting interest rates depends not just on their current level but also on their previous path. Using a household model of mortgage prepayment matched to detailed -loan-level evidence on the relationship between prepayment and rate incentives, we argue that recent interest rate paths will generate substantial headwinds for future monetary stimuli.