Arbeitspapier
Business cycle implications of mortgage spreads
How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we .nd that mortgage spread shocks impact the real economy by both economically and statistically signi.cant magnitudes: a 100 basis point decline in the spread causes a peak increase in consumption, residential investment and GDP by 1.6 percent, 6.2 percent and 1.9 percent, respectively. These e¤ects are magni.ed when the policy rate is held .xed, as was the case in the US during the recent implementation of unconventional monetary policy.
- Language
-
Englisch
- Bibliographic citation
-
Series: Sveriges Riksbank Working Paper Series ; No. 275
- Classification
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Monetary Policy
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
- Subject
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Sources of business cycles
unconventional monetary policy
credit supply
housing demand
house prices
financial frictions
- Event
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Geistige Schöpfung
- (who)
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Walentin, Karl
- Event
-
Veröffentlichung
- (who)
-
Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Walentin, Karl
- Sveriges Riksbank
Time of origin
- 2014
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