House prices, borrowing constraints, and monetary policy in the business cycle

• 成果类型: Article
• 署名作者: Iacoviello, M
• 署名单位: Boston College
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/0002828054201477
• 发表日期: 2005
• 页码: 739-764
• 关键词: capital-market imperfections; technology shocks; AGENCY COSTS; net worth; consumption; liquidity; income

摘要

I develop and estimate a monetary business cycle model with nominal loans and collateral constraints tied to housing values. Demand shocks move housing and nominal prices in the same direction, and are amplified and propagated over time. The financial accelerator is not uniform: nominal debt dampens supply shocks, stabilizing the economy under interest rate control. Structural estimation supports two key model features: collateral effects dramatically improve the response of aggregate demand to housing price shocks; and nominal debt improves the sluggish response of output to inflation surprises. Finally, policy evaluation considers the role of house prices and debt indexation in affecting monetary policy trade-offs.