Multiperiod Loans, Occasionally Binding Constraints, and Monetary Policy: A Quantitative Evaluation
在一个包含住房的DSGE模型中引入多期抵押贷款、固定利率和贷款约束，发现这些特征对理解美国住房市场繁荣与萧条期间的抵押债务演变至关重要，且货币政策传导效果取决于住房周期。
Abstract We introduce multiperiod mortgage loans, fixed interest rate, a lower bound constraint on newly granted loans, and a possibly slack collateral constraint, in an otherwise standard Dynamic Stochastic General Equilibrium (DSGE) model with housing. Our nonlinear estimation shows that all those features are important to understand the evolution of mortgage debt during the recent U.S. housing market boom and bust. The transmission of monetary policy becomes dependent on the housing cycle, with weaker effects when house prices are high or start falling sharply. Higher average loan duration makes monetary policy less effective, eventually leading to asymmetric responses to positive and negative monetary shocks.