中文摘要
我们利用早期众筹的公开拍卖,并根据借款人要求的最高利率推断个人预期,研究家庭如何理解并回应货币政策。基于 Prosper 平台的贷款列表,我们发现借款人会针对未预期的联邦基金利率变化调整其愿意支付的利率,而预期到的利率变动的影响可以忽略不计。这些反应在高收入、高信用评分的借款人、大额贷款申请人中更为明显,而且在美联储沟通透明时更为突出。这些反应高度不对称——借款人在未预期的宽松时大幅调低利率,但在未预期的紧缩时却不愿上调利率。结果对多种替代设定均稳健,包括时间维度上的断点回归设计以及货币政策冲击的替代度量。贷款人同样对政策冲击作出反应,并抵消借款人的调整。对 Robinhood 数据的分析表明,散户投资者在利率意外上调后减少股票持仓,表现出类似行为。本文由 Kay Giesecke 接收(金融)。资助:本研究得到香港研究资助局普通研究基金 [项目号 17504925]、香港教育大学人文及社会科学院院长研究基金 [项目号 FLASS/DRF 04635]、澳门科技大学研究基金 [项目号 FRG-24-019-MSB]、香港教育大学种子基金 [项目号 02C11] 以及香港教育大学整笔拨款蓝图 [项目号 02A23] 的资助。补充材料:在线附录和数据文件可从 https://doi.org/10.1287/mnsc.2024.04649 获取。
Abstract
We study how households understand and respond to monetary policy by exploiting the open auctions of early-stage crowdfunding and inferring individuals’ expectations based on their maximum requested interest rates. Using loan listings from Prosper, we find that borrowers adjust their willingness-to-pay interest rates in response to unexpected Federal funds rate changes, whereas anticipated shifts have negligible effects. These responses are more pronounced among high-income, high-credit-score borrowers; large loan applicants; and when Federal Reserve communication is transparent. The responses are highly asymmetric—Borrowers sharply lower rates during unexpected easing but resist increasing them during unexpected tightening. The results are robust to alternative specifications, including regression-discontinuity-in-time designs and alternative measures of monetary policy shock. Lenders also respond to policy shocks and counteract borrowers’ adjustments. Analysis of Robinhood data shows that retail investors mirror this behavior by reducing equity holdings after surprise rate hikes. This paper was accepted by Kay Giesecke, finance. Funding: This work was supported by the general research fund from the Research Grant Council of Hong Kong [Grant 17504925], the Dean’s Research Fund of the Faculty of Liberal Arts and Social Sciences, The Education University of Hong Kong [Grant FLASS/DRF 04635], the Faculty Research Grants of Macau University of Science and Technology [Grant FRG-24-019-MSB], the Seed Funding Grant of EdUHK [Grant 02C11], and the Block Grant Blueprint of EdUHK [Grant 02A23]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.04649 .