Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging

• 成果类型: Article
• 署名作者: Di Maggio, Marco; Kermani, Amir; Keys, Benjamin J.; Piskorski, Tomasz; Ramcharan, Rodney; Seru, Amit; Yao, Vincent
• 署名单位: Harvard University; University of California System; University of California Berkeley; University of Pennsylvania; Columbia University; University of Southern California; Stanford University; University System of Georgia; Georgia State University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20141313
• 发表日期: 2017
• 页码: 3550-3588
• 关键词: monetary-policy; consumer response; STIMULUS PAYMENTS; income changes; debt; CRISIS; securitization; transmission; BEHAVIOR; program

摘要

Exploiting variation in the timing of resets of adjustable-rate mortgages (ARMs), we find that a sizable decline in mortgage payments (up to 50 percent) induces a significant increase in car purchases (up to 35 percent). This effect is attenuated by voluntary deleveraging. Borrowers with lower incomes and housing wealth have significantly higher marginal propensity to consume. Areas with a larger share of ARMs were more responsive to lower interest rates and saw a relative decline in defaults and an increase in house prices, car purchases, and employment. Household balance sheets and mortgage contract rigidity are important for monetary policy pass-through.