Descripción del proyecto
La conexión entre la política monetaria y las hipotecas
Las hipotecas y las políticas monetarias están relacionadas. La deuda resulta en una redistribución entre prestamistas y prestatarios. Una política monetaria contradictoria hace subir el coste de los préstamos, reduce la liquidez en el mercado inmobiliario y disminuye el precio de los inmuebles, lo que a su vez aumenta el coste de los préstamos. El proyecto HANK-w-HOUSING, financiado con fondos europeos, arrojará luz sobre todas las asimetrías entre las respuestas de políticas monetarias expansionistas y contradictorias. También determinará si la efectividad de las políticas monetarias depende de la distribución de la deuda hipotecaria. Para estudiar estas cuestiones, el proyecto desarrollará un nuevo modelo keynesiano de agente heterogéneo (HANK, por sus siglas en inglés) con un mercado inmobiliario friccional y una deuda hipotecaria nominal. Coincidirá con la heterogeneidad empírica en la propiedad de la vivienda, el apalancamiento y la propensión marginal al consumo entre los hogares.
Objetivo
The Great Recession has brought to light the importance of housing and household debt for the propagation of shocks in the macroeconomy. For a majority of households, owner-occupied housing represents the single most important asset in the household portfolio and is tied to the single largest liability—the mortgage. The broad objective of this project is to investigate the rich role that housing and nominal mortgage borrowing jointly play in the transmission of monetary policy. First, monetary policy induced-movements in house prices translate into consumption changes because of wealth effects. Second, a contractionary monetary shock raises the cost of borrowing which reduces the demand and as a result the liquidity of the housing market, further depressing house prices and further increases the cost of borrowing. Furthermore, nominal long-term mortgage debt implies that changes in monetary policy result in redistribution between lenders and borrowers and generate cash-flow effects that are larger for borrowing constrained households. In order to quantify these various mechanisms, we build a heterogenous agent New Keynesian (HANK) model with a frictional housing market and nominal mortgage debt. The model will be able to match the rich empirical heterogeneity in home ownership, leverage and marginal propensity to consume (MPC) across households. In particular, we aim to match the significant difference in MPC between highly leveraged households and less-leveraged ones that we document in the data. We will then use the model to answer the following questions: Is there any asymmetry between contractionary and expansionary monetary policy responses? Does effectiveness of the policy depend on the distribution of mortgage debt? How to manage a liquidity trap induced by a housing bust?
Ámbito científico
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Régimen de financiación
MSCA-IF - Marie Skłodowska-Curie Individual Fellowships (IF)Coordinador
50014 Fiesole
Italia