Brzoza-Brzezina, Michal
[Verfasser:in]
;
Gelain, Paolo
[Sonstige Person, Familie und Körperschaft];
Kolasa, Marcin
[Sonstige Person, Familie und Körperschaft]
Monetary and Macroprudential Policy with Multi-Period Loans
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 24, 2014 erstellt
Beschreibung:
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 multi-period 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