Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/175238 
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. 801
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
Standard models used for monetary policy analysis rely on sticky prices. Recently, the literature started to explore also nominal debt contracts. Focusing on mortgages, this paper compares the two channels of transmission within a common framework. The sticky price channel is dominant when shocks to the policy interest rate are temporary, the mortgage channel is important when the shocks are persistent. The first channel has significant aggregate effects but small redistributive effects. The opposite holds for the second channel. Using yield curve data decomposed into temporary and persistent components, the redistributive and aggregate consequences are found to be quantitatively comparable.
Subjects: 
Mortgage contracts
Sticky prices
Monetary policy
Yield curve
Redistributive vs. aggregate effects
JEL: 
E32
E52
G21
R21
Document Type: 
Working Paper

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