We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of … household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to … quantitatively similar to the VAR results. A sacrifice ratio for mortgage debt reveals that a policy tightening directed towards …

We study the mortgage cash flow channel of monetary policy transmission under fixed-rate mortgage (FRM) versus … adjustable-rate mortgage (ARM) regimes by comparing the United States with primarily long-term FRMs and Spain with primarily ARMs … that automatically reset annually. We find a robust transmission of mortgage rate changes to spending in both countries but …

In this paper, I study how mortgage refinancing influences the interest rate pass-through to household budgets via … fixed-rate mortgage contracts in Denmark. I develop a model based on a state-dependent process of household actions that … response via a cointegrated VAR model in the period 2008-2020, and complement the results with detailed mortgage data at …