Mortgages and Monetary Policy

• 成果类型: Article
• 署名作者: Garriga, Carlos; Kydland, Finn E.; Sustek, Roman
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of California System; University of California Santa Barbara; National Bureau of Economic Research; University of London; Queen Mary University London
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx043
• 发表日期: 2017
• 页码: 3337
• 关键词: inflation; constraints; adjustment

摘要

Mortgages are long-term loans with nominal payments. Consequently, in incomplete asset markets, monetary policy can affect housing investment and the economy through the cost of new mortgage borrowing and real payments on outstanding debt. These channels, distinct from the traditional real rate channel, are embedded in a general equilibrium model. The transmission mechanism is stronger under adjustable-rate mortgages compared with fixed-rate mortgages. Further, persistent monetary policy shocks affecting the level of the nominal yield curve have larger real effects compared with transitory shocks. Persistently higher inflation gradually benefits homeowners under FRMs, but hurts them immediately under ARMs.