Data and Code for: State-dependent Effects of Monetary Policy: the Refinancing Channel
Principal Investigator(s): View help for Principal Investigator(s) Martin Eichenbaum, Northwestern University; Sergio Rebelo, Northwestern University; Arlene Wong, Princeton University
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| Code | 11/27/2021 11:54:PM | ||
| Confidential_Data | 10/16/2021 05:20:PM | ||
| Modified_Data | 10/16/2021 05:21:PM | ||
| Output | 11/27/2021 10:58:PM | ||
| Public_Data | 10/16/2021 05:35:PM | ||
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application/vnd.openxmlformats-officedocument.spreadsheetml.sheet | 12.2 KB | 11/27/2021 02:22:PM |
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application/pdf | 101.8 KB | 11/27/2021 06:52:PM |
Project Citation:
Eichenbaum, Martin , Rebelo, Sergio, and Wong, Arlene. Data and Code for: State-dependent Effects of Monetary Policy: the Refinancing Channel. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-02-24. https://doi.org/10.3886/E147964V1
Project Description
Summary:
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This paper studies how the impact of monetary policy depends on the distribution of savings from refinancing mortgages. We show that the efficacy of monetary policy is state dependent, varying in a systematic way with the pool of potential savings from refinancing. We construct a quantitative dynamic life-cycle model that accounts for our findings and use it to study how the response of consumption to a change in mortgage rates depends on the distribution of savings from refinancing. These effects are strongly state dependent. We also use the model to study the impact of a long period of low interest rates on the potency of monetary policy. We find that this potency is substantially reduced both during the period and for a substantial amount of time after interest rates renormalize.
Scope of Project
Subject Terms:
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Monetary policy;
Refinancing
JEL Classification:
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E52 Monetary Policy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
E52 Monetary Policy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Data Type(s):
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aggregate data;
event/transaction data;
program source code
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