Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103828
Authors: 
Walentin, Karl
Year of Publication: 
2014
Series/Report no.: 
Sveriges Riksbank Working Paper Series 275
Abstract: 
How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we .nd that mortgage spread shocks impact the real economy by both economically and statistically signi.cant magnitudes: a 100 basis point decline in the spread causes a peak increase in consumption, residential investment and GDP by 1.6 percent, 6.2 percent and 1.9 percent, respectively. These e¤ects are magni.ed when the policy rate is held .xed, as was the case in the US during the recent implementation of unconventional monetary policy.
Subjects: 
Sources of business cycles
unconventional monetary policy
credit supply
housing demand
house prices
financial frictions
JEL: 
E21
E32
E44
E52
R21
Document Type: 
Working Paper

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