Descrizione del progetto
Il collegamento tra politica monetaria e mutui
I mutui ipotecari e le politiche monetarie sono intrecciati e il debito si traduce in una ridistribuzione tra creditori e mutuatari. Una politica monetaria restrittiva aumenta il costo del prestito, riducendo la liquidità nel mercato immobiliare e abbassando i prezzi delle case, che a loro volta aumentano il costo del prestito. Il progetto HANK-w-HOUSING, finanziato dall’UE, getterà luce su ogni tipo di mancanza di equilibrio tra le risposte della politica monetaria restrittiva ed espansiva e stabilirà inoltre se l’efficacia delle politiche monetarie sia riconducibile alla distribuzione del debito ipotecario. Per analizzare queste problematiche, il progetto svilupperà un nuovo modello keynesiano ad agenti eterogenei (HANK, Heterogeneous Agent New Keynesian) provvisto di un mercato immobiliare frizionale e un debito ipotecario nominale. Il progetto abbinerà l’eterogeneità empirica della proprietà immobiliare, la leva finanziaria e la propensione marginale al consumo nelle famiglie.
Obiettivo
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?
Campo scientifico
Parole chiave
Programma(i)
Argomento(i)
Meccanismo di finanziamento
MSCA-IF - Marie Skłodowska-Curie Individual Fellowships (IF)Coordinatore
50014 Fiesole
Italia