Replication data for: Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging

Principal Investigator(s): View help for Principal Investigator(s) Marco Di Maggio; Amir Kermani; Benjamin J. Keys; Tomasz Piskorski; Rodney Ramcharan; Amit Seru; Vincent Yao

Version: View help for Version V1

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20141313_data			12/06/2019 05:16:PM
LICENSE.txt	text/plain	14.6 KB	12/06/2019 12:16:PM

Project Citation:

Di Maggio, Marco, Kermani, Amir, Keys, Benjamin J., Piskorski, Tomasz, Ramcharan, Rodney, Seru, Amit, and Yao, Vincent. Replication data for: Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116162V1

Project Description

Summary: Exploiting variation in the timing of resets of adjustable-rate mortgages (ARMs), we find that a sizable decline in mortgage payments (up to 50 percent) induces a significant increase in car purchases (up to 35 percent). This effect is attenuated by voluntary deleveraging. Borrowers with lower incomes and housing wealth have significantly higher marginal propensity to consume. Areas with a larger share of ARMs were more responsive to lower interest rates and saw a relative decline in defaults and an increase in house prices, car purchases, and employment. Household balance sheets and mortgage contract rigidity are important for monetary policy pass-through.

Scope of Project

JEL Classification:
      D12 Consumer Economics: Empirical Analysis
      D14 Household Saving; Personal Finance
      E43 Interest Rates: Determination, Term Structure, and Effects
      E52 Monetary Policy
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
      R31 Housing Supply and Markets

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V1 [2019-12-06]

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