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Persistent Liquidity Effects and Long Run Money Demand

Alvarez, Fernando - 2011

We present a monetary model in the presence of segmented asset markets that implies a persistent fall in interest rates after a once and for all increase in liquidity. The gradual propagation mechanism produced by our model is novel in the literature. We provide an analytical characterization of...

Persistent link: https://www.econbiz.de/10013118840

Money, Real Interest Rates, and Output : A Reinterpretation of Postwar U.S. Data

Litterman, Robert Bruce; Weiss, Laurence M. - 2021

This paper reexamines both monthly and quarterly U.S. postwar data to investigate if the observed comovements between money, real interestrates, prices and output are compatible with the money-real interest-output link suggested by existing monetary theories of output, which include both...

Persistent link: https://www.econbiz.de/10013223910

Business Cycle Fluctuations in U.S. Macroeconomic Time Series

Stock, James H.; Watson, Mark W. - 2021

This paper examines the empirical relationship in the postwar United States between the aggregate business cycle and various aspects of the macroeconomy, such as production, interest rates, prices, productivity, sectoral employment, investment, income, and consumption. This is done by examining...

Persistent link: https://www.econbiz.de/10013229821

Betting the House

Jordà, Òscar - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10013039761

What Calls to Arms? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages

Badarinza, Cristian - 2014

in total mortgage issuance. Using a nine-country panel and instrumental variables methods, we present evidence that near …-term (one-year) rational expectations of future movements in ARM rates do affect mortgage choice, particularly in more recent …

Persistent link: https://www.econbiz.de/10013048590

How Quantitative Easing Works : Evidence on the Refinancing Channel

Di Maggio, Marco - 2018

-linked mortgage-market data, we document that there is a “flypaper effect” of LSAPs, where the transmission of unconventional monetary …-eligible mortgage originations significantly more than the origination of GSE-ineligible mortgages. In contrast, QE2's focus on … facto allocation of credit across mortgage market segments, combined with sharp bunching around GSE eligibility cutoffs …

Persistent link: https://www.econbiz.de/10012935530

Capital Markets and Grain Prices : Assessing the Storage Approach

Keller, Wolfgang - 2018

This paper evaluates a well-known approach from the economic history literature that uses grain prices to shed light on interest rates. Although this method has been applied in influential work starting with McCloskey and Nash (1984) and has potentially wide applicability in situations where...

Persistent link: https://www.econbiz.de/10012925271

Regional Redistribution Through the U.S. Mortgage Market

Hurst, Erik - 2015

depends on how they affect local interest rates. In the United States, most borrowing occurs through the mortgage market and … variation in predictable default risk, GSE mortgage rates for otherwise identical loans do not vary spatially. In contrast, the …

Persistent link: https://www.econbiz.de/10013026795

Mortgage Prepayment and Path-Dependent Effects of Monetary Policy

Berger, David - 2018

depends not just on their current level but also on their previous path. Using a household model of mortgage prepayment …

Persistent link: https://www.econbiz.de/10012909504

The Pricing of Default-Free Mortgages

Buser, Stephen Aubrey - 2001

In this paperwe examine the household's option to prepay or call a standard fixed-rate mortgage. Results based on … in mortgage contract design on the value of the prepayment option are encouraging. For example, our estimate of the …

Persistent link: https://www.econbiz.de/10012788107