SYSTEMATIC MONETARY POLICY AND THE MACROECONOMIC EFFECTS OF SHIFTS IN RESIDENTIAL LOAN‐TO‐VALUE RATIOS

What are the macroeconomic consequences of changing aggregate lending standards in residential mortgage markets, as measured by loan‐to‐value (LTV) ratios? Using a structural vector autoregression (VAR), we find that GDP and business investment increase following an expansionary LTV shock. Residenti...

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Volume: 61
Main Author: Bachmann, Rüdiger
Rüth, Sebastian K
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: HOBOKEN WILEY 01.05.2020
Wiley Subscription Services, Inc
published in: International economic review (Philadelphia) Vol. 61; no. 2; pp. 503 - 530
Data of publication: May 2020
ISSN: 0020-6598
1468-2354
EISSN: 1468-2354
Discipline: Economics
Bibliography: We thank our editor, Jesús Fernández‐Villaverde, two anonymous referees, Christiane Baumeister, Kai Carstensen, Gert Peersman, Eric Sims, and seminar and conference participants at Ghent University, Kiel University, the 2016 Annual Meeting of the European Economic Association in Geneva, the 2016 Annual Meeting of the German Economic Association (Verein für Socialpolitik) in Augsburg, University of Würzburg, University of Western Ontario, Ohio State University, Indiana University, the Federal Reserve Bank of Chicago, Carleton University, the 2017 Asian Meeting of the Econometric Society in Hong Kong, the 2017 China Meeting of the Econometric Society in Wuhan, the 2017 PhD Meetings of the Royal Economic Society in London, the KOF Swiss Economic Institute (ETH), the macroeconomics committee (Makroausschuss) meeting of the German Economic Association in Luxembourg, Yale University, the National University of Singapore, the 2018 T2M Meeting in Paris, the 2018 Meeting of the Royal Economic Society in Brighton, Chemnitz University, the Federal Reserve Bank of Philadelphia, the 2018 Meeting of the Society for Economic Dynamics in Mexico City, the Federal Reserve Bank of Kansas City, Heidelberg University, Pompeu Fabra/CREI, and the Banque de France for their helpful comments.
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Online Access: Fulltext
Database: Web of Knowledge
Web of Science - Social Sciences Citation Index – 2020
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Web of Science
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