2024年超边际借款人与货币政策的抵押贷款支付渠道(英).pdf
《2024年超边际借款人与货币政策的抵押贷款支付渠道(英).pdf》由会员分享,可在线阅读,更多相关《2024年超边际借款人与货币政策的抵押贷款支付渠道(英).pdf(45页珍藏版)》请在咨信网上搜索。
1、Finance and Economics Discussion SeriesFederal Reserve Board,Washington,D.C.ISSN 1936-2854(Print)ISSN 2767-3898(Online)Inframarginal Borrowers and the Mortgage Payment Channel ofMonetary PolicyDaniel Ringo2024-069Please cite this paper as:Ringo,Daniel(2024).“Inframarginal Borrowers and the Mortgage
2、Payment Channel ofMonetary Policy,”Finance and Economics Discussion Series 2024-069.Washington:Boardof Governors of the Federal Reserve System,https:/doi.org/10.17016/FEDS.2024.069.NOTE:Staffworking papers in the Finance and Economics Discussion Series(FEDS)are preliminarymaterials circulated to sti
3、mulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staffor theBoard of Governors.References in publications to the Finance and Economics Discussion Series(other thanacknowledgement)sho
4、uld be cleared with the author(s)to protect the tentative character of these papers.Inframarginal Borrowers and the Mortgage PaymentChannel of Monetary PolicyDaniel RingoFederal Reserve BoardJuly 30,2024AbstractDespite the widespread use of fixed-rate mortgages in the United States,I show that monet
5、arypolicy is effectively passed through to aggregate outstanding mortgage debt service.Using creditbureau,lender,and servicer data on mortgage payments and originations and exogenous mone-tary policy shocks,I estimate a mortgage rate semi-elasticity of payments over 10.Inframarginalborrowershousehol
6、ds whose choice to buy a home or refinance does not depend on the partic-ular monetary policy decision under considerationare the most important conduit,explainingover half of the pass-through.Consistently large flows of inframarginal borrowing relative to thestock of outstanding debt account for th
7、e strength of this channel.Households with adjustable-ratemortgages and marginal refinancers,the focus of much of the literature on monetary policys effecton mortgage borrowers,each explain about 20 percent of the pass-through.I show the mortgagepayment channel induces a lag in the operation of poli
8、cy,as the cumulative effects on debt servicebuild over time in response to persistent shocks to longer-term rates.Estimated magnitudes suggestthat mortgage payments are a primary channel by which monetary policy affects consumption.Keywords:Monetary policy;interest rates;refinancing channel;debt ser
9、viceJEL codes:G21;E43;E52.MS93,BoardofGovernorsoftheFederalReserveSystem,WashingtonD.C.20551daniel.r.ringofrb.gov.Thanks to Neil Bhutta,John Driscoll,and seminar participants at the Federal Re-serve Board and Ghent University Empirical Macroeconomics Workshop for helpful comments.The analysisand con
10、clusions set forth are those of the author and do not indicate concurrence by other members of theresearch staffor the Board of Governors.11IntroductionMonetary policy can affect households consumption via their debt service payments,in-creasing their disposable incomes net of required payments as i
11、nterest rates decrease andvice versa.Residential mortgage debt represents the outright majority of all household debtand is the largest source of debt service obligations,and so should be a potent channel bywhich monetary policy can influence consumer demand.In the United States,however,thepopularit
12、y of fixed-rate mortgages presents an obstacle to the pass-through of interest ratechanges to payments.When rates rise,debtor households will hang on to their old rates andbe unaffected.When rates fall,only a fraction of households for whom refinancing would beprofitable exercise their option to do
13、so.The frictions inherent in this process have moti-vated a growing body of literature analyzing the refinancing channel of monetary policy.1Inan international context,it is commonly argued that the prevalance of fixed-rate mortgagesdampens the effectiveness of monetary policy in countries like the
14、U.S.2In this paper,I show that the pass-through of monetary policy shocks to mortgagepayments in the U.S.is actually quite robust due to the large volume of borrowing byinframarginal borrowers.These are households whose decision to take out a new loan doesnot depend on the particular monetary policy
15、 action under consideration,but whose paymentfor that new loan still depends on the stance of policy.Importantly,inframarginal borrowersinclude households who are borrowing for the purposes of home purchase,refinancing,orany other ends.While only a small percentage of households engage in any new mo
16、rtgageborrowing in a given year,in dollar terms annual new borrowing represents approximatelyone quarter of the outstanding stock of household mortgage debt.This is because newloans tend to be larger than the unpaid principal balance of existing loans,and explains thestrength of the mortgage payment
17、 channel.Historically,a large percentage of mortgage debthas carried a recently determined interest rate.The effect of a typical monetary policy shock on the monthly payments of an infra-marginal borrower is small relative to that experienced by a marginal refinancera household1See Amromin,Bhutta an
18、d Keys(2020)for a helpful summary.2See,e.g.,Bernanke(2007),Calza,Monacelli and Stracca(2013),Rubio(2011),or Kim and Lim(2020).2that would be induced into or out of refinancing their current mortgage by a small changein rates.However,inframarginal borrowers are so much more numerous than marginal bor
19、-rowers that the inframarginal channel is more than twice as important for the pass-throughof rate shocks to aggregate payments.I find that over the last 25 years,a monetary pol-icy shock which cuts mortgage rates by only 7 basis points would reduce aggregate annualmortgage payments by approximately
20、$9 billion in 2023 dollars.Inframarginal borrowerswould account for about$5 billion of this reduction,and marginal refinancers$2 billion.An additional$2 billion would go to the minority of borrowers with adjustable-rate mort-gages(ARMs),although this latter channel has diminished in recent years.Mar
21、ginal homepurchase borrowers and the intensive margin of borrowing(i.e.,the amount borrowed con-ditional on getting a loan)are not significant channels of pass-through to payments in thefirst few years post-shock.The stance of monetary policy and the level of mortgage rates are endogenous to the sta
22、teof the economy.To consistently estimate the effects of policy decisions,I therefore exploitvariation from the exogenous,unanticipated components of rate responses to Federal OpenMarket Committee(FOMC)announcements.I begin by estimating the effects of monetarypolicy shocks on mortgage interest rate
23、s.It is important here to recognize that mortgageinterest rates are tied to yields on relatively longer-maturity debt(as a typical mortgagewill endure for years before prepaying)and the Federal Reserve has tools at its disposalthat affect different portions of the yield curve differently.The Fed can
24、 directly control veryshort-term rates by setting the overnight federal funds rate.Longer-term rates depend moreon investors beliefs about the future path of monetary policy decisions,and the Fed canattempt to influence these beliefs via forward guidance and asset purchases.I therefore usethe series
25、 of monetary policy shocks estimated by Swanson(2021),who separately identifiedshocks to the federal funds rate,forward guidance,and large-scale asset purchases(LSAP)contained in FOMC announcements.3Using the local projections estimator of Jord a(2005),3Lewis(2023)also estimates shock series that di
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 2024 边际 借款人 货币政策 抵押 贷款 支付 渠道
1、咨信平台为文档C2C交易模式,即用户上传的文档直接被用户下载,收益归上传人(含作者)所有;本站仅是提供信息存储空间和展示预览,仅对用户上传内容的表现方式做保护处理,对上载内容不做任何修改或编辑。所展示的作品文档包括内容和图片全部来源于网络用户和作者上传投稿,我们不确定上传用户享有完全著作权,根据《信息网络传播权保护条例》,如果侵犯了您的版权、权益或隐私,请联系我们,核实后会尽快下架及时删除,并可随时和客服了解处理情况,尊重保护知识产权我们共同努力。
2、文档的总页数、文档格式和文档大小以系统显示为准(内容中显示的页数不一定正确),网站客服只以系统显示的页数、文件格式、文档大小作为仲裁依据,平台无法对文档的真实性、完整性、权威性、准确性、专业性及其观点立场做任何保证或承诺,下载前须认真查看,确认无误后再购买,务必慎重购买;若有违法违纪将进行移交司法处理,若涉侵权平台将进行基本处罚并下架。
3、本站所有内容均由用户上传,付费前请自行鉴别,如您付费,意味着您已接受本站规则且自行承担风险,本站不进行额外附加服务,虚拟产品一经售出概不退款(未进行购买下载可退充值款),文档一经付费(服务费)、不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
4、如你看到网页展示的文档有www.zixin.com.cn水印,是因预览和防盗链等技术需要对页面进行转换压缩成图而已,我们并不对上传的文档进行任何编辑或修改,文档下载后都不会有水印标识(原文档上传前个别存留的除外),下载后原文更清晰;试题试卷类文档,如果标题没有明确说明有答案则都视为没有答案,请知晓;PPT和DOC文档可被视为“模板”,允许上传人保留章节、目录结构的情况下删减部份的内容;PDF文档不管是原文档转换或图片扫描而得,本站不作要求视为允许,下载前自行私信或留言给上传者【宇***】。
5、本文档所展示的图片、画像、字体、音乐的版权可能需版权方额外授权,请谨慎使用;网站提供的党政主题相关内容(国旗、国徽、党徽--等)目的在于配合国家政策宣传,仅限个人学习分享使用,禁止用于任何广告和商用目的。
6、文档遇到问题,请及时私信或留言给本站上传会员【宇***】,需本站解决可联系【 微信客服】、【 QQ客服】,若有其他问题请点击或扫码反馈【 服务填表】;文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“【 版权申诉】”(推荐),意见反馈和侵权处理邮箱:1219186828@qq.com;也可以拔打客服电话:4008-655-100;投诉/维权电话:4009-655-100。