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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 275
- Klassifikation
-
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
- Thema
-
Sources of business cycles
unconventional monetary policy
credit supply
housing demand
house prices
financial frictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Walentin, Karl
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Walentin, Karl
- Sveriges Riksbank
Entstanden
- 2014
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