Arbeitspapier

Monetary policy, housing, and collateral constraints

House-purchasing decisions and the possibility of existing homeowners to tap into their housing equity depend decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth transition local projection (STLP) approach, I show that monetary policy shocks in the U.S. evoke stronger reactions in the housing sector in times of high LTV ratios, which, through changes in mortgage lending and mortgage equity withdrawals (MEWs), translate into larger effects of consumption. This result is more pronounced for contractionary shocks, in line with occasionally binding constraints. The strong procyclicality of LTV ratios reconciles these findings with past evidence on a less powerful transmission of monetary policy during recessions.

Sprache
Englisch
ISBN
978-3-95729-547-7

Erschienen in
Series: Deutsche Bundesbank Discussion Paper ; No. 02/2019

Klassifikation
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Monetary Policy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Housing Supply and Markets
Thema
monetary policy
LTV ratio
mortgage equity withdrawals
collateral constraints
local projections
non-linear impulse responses

Ereignis
Geistige Schöpfung
(wer)
Franz, Thorsten
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2019

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Franz, Thorsten
  • Deutsche Bundesbank

Entstanden

  • 2019

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