This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Mortgage Markets, Collateral Constraints, and Monetary Policy: Do Institutional Factors Matter? Author info | Abstract | Publisher info | Download info | Related research | Statistics Alessandro Calza () (European Central Bank)
Tommaso Monacelli () (Bocconi University)
Livio Stracca () (European Central Bank)
Additional information is available for the following
registered author(s):
We study the role of institutional characteristics of mortgage markets in affecting the strength and timing of the effects of monetary policy shocks on house prices and consumption in a sample of OECD countries. We document three facts: (1) there is significant divergence in the structure of mortgage markets across the main industrialised countries; (2) at the business cycle frequency, the correlation between consumption and house prices increases with the degree of flexibility/development of mortgage markets; (3) the transmission of monetary policy shocks on consumption and house prices is stronger in countries with more flexible/developed mortgage markets. We then build a two-sector dynamic general equilibrium model with price stickiness and collateral constraints, where the ability of borrowing is endogenously linked to the nominal value of a durable asset (housing). We study how the response of consumption to monetary policy shocks is affected by alternative values of three key institutional parameters: (i) down-payment rate; (ii) mortgage repayment rate; (iii) interest rate mortgage structure (variable vs. fixed interest rate). In line with our empirical evidence, the sensitivity of consumption to monetary policy shocks increases with lower values of (i) and (ii), and is larger under a variable-rate mortgage structure.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number
2007/10.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 61 pages
Date of creation: 16 Feb 2007Date of revision:
Handle: RePEc:cfs:cfswop:wp200710Contact details of provider: Postal: House of Finance, Gr�neburgplatz 1, HPF H5, D-60323 Frankfurt am Main Phone: +49 (0)69 798-30050 Fax: +49 (0)69 798-30077 Email: Web page: http://www.ifk-cfs.de/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Birgit Pässler).
Keywords: House Prices ; Mortgage Markets ; Collateral Constraints ; Monetary Policy ; Other versions of this item:
Find related papers by JEL classification: E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1998.
"Asymmetries in Housing and Financial Market Institutions and EMU ,"
Oxford Review of Economic Policy ,
Oxford University Press, vol. 14(3), pages 54-80, Autumn.
Other versions: Ignazio Angelloni & Luc Aucremanne & Michael Ehrmann & Jordi Galí & Andrew Levin & Frank Smets, 2005.
"New Evidence on Inflation Persistence and Price Stickiness in the Euro Area: Implications for Macro Modelling ,"
Economics Working Papers
910, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
Other versions: Charles Ka Yui Leung, 2004.
"Macroeconomics and Housing: A Review of the Literature ,"
Discussion Papers
00004, Chinese University of Hong Kong, Department of Economics.
[Downloadable!]
Other versions:
Charles Ka-Yui Leung, 2004.
"Macroeconomics and Housing: A Review of the Literature ,"
Departmental Working Papers
_164, Chinese University of Hong Kong, Department of Economics.
Leung, Charles, 2004.
"Macroeconomics and housing: a review of the literature ,"
Journal of Housing Economics ,
Elsevier, vol. 13(4), pages 249-267, December.
[Downloadable!] (restricted) Aoki, Kosuke & Proudman, James & Vlieghe, Gertjan, 2004.
"House prices, consumption, and monetary policy: a financial accelerator approach ,"
Journal of Financial Intermediation ,
Elsevier, vol. 13(4), pages 414-435, October.
[Downloadable!] (restricted)
Other versions:
Kosuke Aoki & James Proudman & Gertjan Vlieghe, .
"House prices, consumption, and monetary policy: a financial accelerator approach ,"
Bank of England working papers
169, Bank of England.
[Downloadable!] Aoki, Kosuke & James Proudman & Gertjan Vlieghe, 2003.
"House prices, consumption, and monetary policy: a financial accelerator approach ,"
Royal Economic Society Annual Conference 2003
7, Royal Economic Society.
[Downloadable!] Mark Bils & Peter J. Klenow, 2004.
"Some Evidence on the Importance of Sticky Prices ,"
Journal of Political Economy ,
University of Chicago Press, vol. 112(5), pages 947-985, October.
Other versions: Álvarez, L. & Dhyne, E. & Hoeberichts, M. & Kwapil, C. & Le Bihan, H. & Lünnemann, P. & Martins, F. & Sabbatini, R. & Stahl,H. & Vermeulen, P. & Vilmunen, J., 2005.
"Sticky Prices in the Euro Area: A Summary of New Micro Evidence ,"
Documents de Travail
138, Banque de France.
[Downloadable!]
Other versions:
L. J. Álvarez & E. Dhyne & M. Hoeberichts & C. Kwapil & H. Le Bihan, 2005.
"Sticky Prices in the Euro Area: a Summary of New Micro Evidence ,"
DNB Working Papers
062, Netherlands Central Bank, Research Department.
[Downloadable!] Luis J. Álvarez & Emmanuel Dhyne & Marco M. Hoeberichts & Claudia Kwapil & Hervé Le Bihan & Patrick Lünnemann & Roberto Sabbatini & Fernando Martins & Harald Stahl & Philip Vermeulen & Jouko Vilmun, 2005.
"Sticky prices in the euro area - a summary of new micro evidence ,"
Working Paper Series
563, European Central Bank.
[Downloadable!] Álvarez, Luís & Dhyne, Emmanuel & Hoeberichts, Marco & Kwapil, Claudia & Le Bihan, Hervé & Lünnemann, Patrick & Martins, Fernando & Sabbatini, Roberto & Stahl, Harald & Vermeulen, Philip & Vilmune, 2006.
"Sticky prices in the euro area: a summary of new micro evidence ,"
Discussion Paper Series 1: Economic Studies
2006,02, Deutsche Bundesbank, Research Centre.
[Downloadable!] Luis J. Álvarez & Emmanuel Dhyne & Marco M. Hoeberichts & Claudia Kwapil & Hervé le Bihan & Patrick Lünnemann & Fernando Martins & Roberto Sabbatini & Harald Stahl & Philip Vermeulen & Jouko Vilmun, 2005.
"Sticky prices in the euro area: a summary of new micro evidence ,"
Banco de España Working Papers
0542, Banco de España.
[Downloadable!] Luis J. Álvarez & Emmanuel Dhyne & Marco Hoeberichts & Claudia Kwapil & Hervé Le Bihan & Patrick Lünnemann & Fernando Martins & Roberto Sabbatini & Harald Stahl & Philip Vermeulen & Jouko Vilmunen, 2006.
"Sticky Prices in the Euro Area: A Summary of New Micro-Evidence ,"
Journal of the European Economic Association ,
MIT Press, vol. 4(2-3), pages 575-584, 04-05.
[Downloadable!] (restricted) Jeffrey R. Campbell & Zvi Hercowitz, 2004.
"The role of households' collateralized debts in macroeconomic stabilization ,"
Working Paper Series
WP-04-24, Federal Reserve Bank of Chicago.
[Downloadable!]
Guy Debelle, 2004.
"Macroeconomic implications of rising household debt ,"
BIS Working Papers
153, Bank for International Settlements.
[Downloadable!]
John Y. Campbell & Joao F. Cocco, 2003.
"Household Risk Management and Optimal Mortgage Choice ,"
NBER Working Papers
9759, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Joao Cocco & John Campbell, 2004.
"Household Risk Management and Optimal Mortgage Choice ,"
Econometric Society 2004 North American Winter Meetings
632, Econometric Society.
[Downloadable!] John Campbell & Joao F. Cocco, 2002.
"Household Risk Management and Optimal Mortgage Choice ,"
Computing in Economics and Finance 2002
47, Society for Computational Economics.
John Y. Campbell & Joao F. Cocco, 2002.
"Household Risk Management and Optimal Mortgage Choice ,"
Harvard Institute of Economic Research Working Papers
1946, Harvard - Institute of Economic Research.
[Downloadable!] Joao Cocco & John Campbell, 2004.
"Household Risk Management and Optimal Mortgage Choice ,"
Econometric Society 2004 North American Winter Meetings
646, Econometric Society.
[Downloadable!] John Y. Campbell & Joao F. Cocco, 2003.
"Household Risk Management And Optimal Mortgage Choice ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 118(4), pages 1449-1494, November.
[Downloadable!] (restricted) Muellbauer, J & Murphy, A, 1996.
"Booms and Busts in the UK Housing Market ,"
Economics Papers
125, Economics Group, Nuffield College, University of Oxford.
Other versions:
Muellbauer, John & Murphy, Anthony, 1997.
"Booms and Busts in the UK Housing Market ,"
CEPR Discussion Papers
1615, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Muellbauer, John & Murphy, Anthony, 1997.
"Booms and Busts in the UK Housing Market ,"
Economic Journal ,
Royal Economic Society, vol. 107(445), pages 1701-27, November.
[Downloadable!] (restricted) Becker, Robert A. & Foias, Ciprian, 1987.
"A characterization of Ramsey equilibrium ,"
Journal of Economic Theory ,
Elsevier, vol. 41(1), pages 173-184, February.
[Downloadable!] (restricted)
Jappelli, Tullio & Pagano, Marco, 1989.
"Consumption and Capital Market Imperfections: An International Comparison ,"
American Economic Review ,
American Economic Association, vol. 79(5), pages 1088-1105, December.
[Downloadable!] (restricted)
Other versions: Pietro Catte & Nathalie Girouard & Robert Price & Christophe André, 2004.
"Housing Markets, Wealth and the Business Cycle ,"
OECD Economics Department Working Papers
394, OECD, Economics Department.
[Downloadable!]
Monacelli, Tommaso, 2006.
"New Keynesian Models, Durable Goods and Collateral Constraints ,"
CEPR Discussion Papers
5916, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Morris A. Davis & Jonathan Heathcote, 2005.
"Housing And The Business Cycle ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(3), pages 751-784, 08.
[Downloadable!] (restricted)
Other versions:
Morris Davis & Jonathan Heathcote, 2004.
"Housing and the business cycle ,"
Finance and Economics Discussion Series
2004-11, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!] Davis, Morris & Heathcote, Jonathan, 2001.
"Housing and the Business Cycle ,"
Working Papers
01-09, Duke University, Department of Economics.
[Downloadable!] Jonathan Heathcote, 2003.
"Housing and the Business Cycle ,"
Working Papers
gueconwpa~03-03-21, Georgetown University, Department of Economics.
[Downloadable!] Robert Barsky & Christopher L. House & Miles Kimball, 2005.
"Sticky Price Models and Durable Goods ,"
Macroeconomics
0501031, EconWPA.
[Downloadable!]
Other versions: Benoit Mojon & Gert Peersman, 2001.
"A VAR description of the effects of monetary policy in the individual countries of the Euro area ,"
Working Paper Series
092, European Central Bank.
[Downloadable!]
N. Gregory Mankiw, 2000.
"The Savers-Spenders Theory of Fiscal Policy ,"
American Economic Review ,
American Economic Association, vol. 90(2), pages 120-125, May.
[Downloadable!] (restricted)
Other versions: Nathalie Girouard & Sveinbjörn Blöndal, 2001.
"House Prices and Economic Activity ,"
OECD Economics Department Working Papers
279, OECD, Economics Department.
[Downloadable!]
Kiyotaki, Nobuhiro & Moore, John, 1997.
"Credit Cycles ,"
Journal of Political Economy ,
University of Chicago Press, vol. 105(2), pages 211-48, April.
Other versions:
Nobuhiro Kiyotaki & John Moore, 1995.
"Credit Cycles ,"
NBER Working Papers
5083, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) John Moore & Nobuhiro Kiyotaki, .
"Credit Cycles ,"
Discussion Papers
1995-5, Edinburgh School of Economics, University of Edinburgh.
Ryo Kato, 2003.
"Matlab code for Kiyotaki-Moore credit cycles ,"
QM&RBC Codes
113, Quantitative Macroeconomics & Real Business Cycles.
[Downloadable!] Per Krusell & Anthony A. Smith & Jr., 1998.
"Income and Wealth Heterogeneity in the Macroeconomy ,"
Journal of Political Economy ,
University of Chicago Press, vol. 106(5), pages 867-896, October.
[Downloadable!] (restricted)
Other versions:
Per Krusell & Anthony A. Smith, Jr., .
"Income and Wealth Heterogeneity in the Macroeconomy ,"
GSIA Working Papers
1997-37, Carnegie Mellon University, Tepper School of Business.
Krusell, P & Smith Jr, A-A, 1995.
"Income and Wealth Heterogeneity in the Macroeconomic ,"
RCER Working Papers
399, University of Rochester - Center for Economic Research (RCER).
Massimo Giuliodori, 2004.
"Monetary Policy Shocks and the Role of House Prices Across European Countries ,"
DNB Working Papers
015, Netherlands Central Bank, Research Department.
[Downloadable!]
Other versions: Matteo Iacoviello, 2002.
"House Prices and Business Cycles in Europe: a VAR Analysis ,"
Boston College Working Papers in Economics
540, Boston College Department of Economics.
[Downloadable!]
Kostas Tsatsaronis & Haibin Zhu, 2004.
"What drives housing price dynamics: cross-country evidence ,"
BIS Quarterly Review ,
Bank for International Settlements, March.
[Downloadable!]
John Krainer & Milton H. Marquis, 2003.
"Mortgages as recursive contracts ,"
Working Papers in Applied Economic Theory
2003-03, Federal Reserve Bank of San Francisco.
[Downloadable!]
Other versions: Ignazio Angeloni & Anil K. Kashyap & Benoît Mojon & Daniele Terlizzese, 2003.
"The output composition puzzle - a difference in the monetary transmission mechanism in the euro area and the US ,"
Working Paper Series
268, European Central Bank.
[Downloadable!]
Bennett, Paul & Peach, Richard & Peristiani, Stavros, 2001.
"Structural Change in the Mortgage Market and the Propensity to Refinance ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 33(4), pages 955-75, November.
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Federico di Pace, 2008.
"Revisiting the Comovement Puzzle: the Input-Output Structure as an Additional Solution ,"
Birkbeck Working Papers in Economics and Finance
0807, Birkbeck, Department of Economics, Mathematics & Statistics.
[Downloadable!]
Katrin Assenmacher-Wesche & Stefan Gerlach, 2008.
"Ensuring financial stability: financial structure and the impact of monetary policy on asset prices ,"
IEW - Working Papers
iewwp361, Institute for Empirical Research in Economics - IEW.
[Downloadable!]
Other versions: Tommaso Monacelli, 2006.
"Optimal Monetary Policy with Collateralized Household Debt and Borrowing Constraints ,"
NBER Working Papers
12470, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Matthieu Darracq Pariès & Alessandro Notarpietro, 2008.
"Monetary policy and housing prices in an estimated DSGE model for the US and the euro area ,"
Working Paper Series
972, European Central Bank.
[Downloadable!]
Richard Disney & Sarah Bridges & John Gathergood, 2006.
"Housing Wealth and Household Indebtedness: Is there a Household 'Financial Accelerator'? ,"
Working Papers
2006/12, Czech National Bank, Research Department.
[Downloadable!]
Silvia Sgherri & Bertrand Gruss, 2009.
"The Volatility Costs of Procyclical Lending Standards:An Assessment Using a DSGE Model ,"
IMF Working Papers
09/35, International Monetary Fund.
[Downloadable!]
Other versions: Dimitrios Christelis & Dimitris Georgarakos & Michael Haliassos, 2008.
"Economic Integration and Mature Portfolios ,"
CSEF Working Papers
194, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
[Downloadable!]
John N. Muellbauer, 2007.
"Housing, credit and consumer expenditure ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 267- 334.
[Downloadable!]
Other versions: Ben S. Bernanke, 2007.
"Housing, housing finance, and monetary policy: a symposium sponsored by the Federal Reserve Bank of Kansas City: opening remarks ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 1-20.
[Downloadable!]
Aqib Aslam & Emiliano Santoro, 2008.
"Bank Lending, Housing and Spreads ,"
Discussion Papers
08-27, University of Copenhagen. Department of Economics, revised Nov 2008.
[Downloadable!]
Frank Smets, 2007.
"Housing is the business cycle: commentary ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 235-243.
[Downloadable!]
Frederic S. Mishkin, 2007.
"Housing and the monetary transmission mechanism ,"
Proceedings ,
Federal Reserve Bank of Kansas City, pages 359-413.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? Authors registered on the RePEc Author Service receive monthly emails with details about downloads and abstract views of their works.
This page was last updated on 2009-11-11.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .