SYSTEMATIC MONETARY POLICY AND THE MACROECONOMIC EFFECTS OF SHIFTS IN RESIDENTIAL LOAN‐TO‐VALUE RATIOS
用结构向量自回归模型研究居民贷款价值比（LTV）变化对GDP、投资和房价的影响，发现扩张性LTV冲击会提升GDP和商业投资，但住宅投资先升后降，这取决于美联储的系统性货币政策反应。
Abstract What are the macroeconomic consequences of changing aggregate lending standards in residential mortgage markets, as measured by loan‐to‐value (LTV) ratios? Using a structural vector autoregression (VAR), we find that GDP and business investment increase following an expansionary LTV shock. Residential investment, by contrast, falls after a small initial uptick, a result that depends on the systematic reaction of monetary policy. We show that, historically, the Fed tended to respond to expansionary LTV shocks by raising the monetary policy instrument, and, as a result, mortgage rates increased and residential investment declined. House prices are affected in a similar manner.