How monetary policy shaped the housing boom

• 成果类型: Article
• 署名作者: Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
• 署名单位: University of Pennsylvania; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.039
• 发表日期: 2022
• 页码: 992-1021
• 关键词: Monetary policy; Mortgage lending; banks; securitization; deposits; Private -label securitization

摘要

Between 2003 and 2006, the Federal Reserve raised rates by 4.25%. Yet it was precisely during this period that the housing boom accelerated, fueled by rapid growth in mortgage lending. There is deep disagreement about how, or even if, monetary policy impacted the boom. Using differences in exposure to the deposits channel of monetary policy, we show that Fed tightening induced a large reduction in banks' deposit funding, which led banks to contract portfolio mortgage lending by 32%. However, this contraction was largely off-set by substitution to privately-securitized (PLS) mortgages, led by nonbank originators. Fed tightening thus induced a shift in mortgage lending away from stable, insured deposit funding toward run-prone and fragile capital markets funding with little impact on overall lending. We find similar results during the most recent tightening cycle over 2014-2017 when PLS lending reemerged. (c) 2021 Elsevier B.V. All rights reserved.