Nonlinear Effects of Mortgage Spreads Over the Business Cycle
用平滑转换向量自回归模型证明，美国经济衰退期抵押贷款利差冲击对消费和住房市场的负面影响比扩张期更深更持久，且这种冲击可视为抵押贷款市场的信贷供给冲击。
Abstract This paper provides robust evidence for the nonlinear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a smooth‐transition vector autoregression (STVAR) model, we show that mortgage spread shocks hitting in a recessionary phase create significantly deeper and more protracted declines in consumption and housing market variables. In addition, we provide evidence that these mortgage spread shocks could be largely interpreted as credit supply shocks in the mortgage market. Our empirical results imply that unconventional monetary policy, such as the Federal Reserve's mortgage‐backed security purchase program, would be a more effective tool for stabilizing the economy during recessions than in expansions.