Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210065
Authors: 
Brzoza-Brzezina, Michał
Gelain, Paolo
Kolasa, Marcin
Year of Publication: 
2014
Series/Report no.: 
Working Paper 16/2014
Abstract: 
We study the implications of multi-period loans for monetary and macroprudential policy, considering several realistic modifications - variable vs. fixed loan rates, non-negativity constraint on newly granted loans, and possibility for the collateral constraint to become slack - to an otherwise standard DSGE model with housing and financial intermediaries. Our general finding is that multiperiodicity affects the working of both policies, though in substantially different ways. We show that multiperiod contracts make the monetary policy less effective, but only under fixed rate mortgages, and do not generate significant asymmetry to its transmission. In contrast, the effects of macroprudential policy do not depend much on the type of interest payments, but exhibit strong asymmetries, with tightening having stronger effects than easening, especially for short and medium maturities.
Subjects: 
multi-period contracts
monetary policy
macroprudential policy
JEL: 
E44
E51
E52
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-839-8
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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