Housing Collateral and the Monetary Transmission Mechanism
构建包含抵押品约束的两部门DSGE模型，量化住房贷款价值比上升对货币政策传导机制的影响，发现抵押品渠道作用显著且随LTV增强。
Abstract In this paper, we quantify the effects of the recent increase in the housing loan‐to‐value ratio (LTV) on the monetary transmission mechanism. We set up a two‐sector dynamic stochastic general equilibrium model with collateral constraints and production of goods and housing. Using Bayesian methods, we quantify the component of the monetary transmission mechanism that is generated by housing collateral. We find that this component is substantial and strongly increasing in the LTV. We conclude that in order to properly understand the monetary transmission mechanism, we need to take into account the effects of housing‐related collateral constraints and their changing nature.