Review of Economic Studies · 2019 · Marco Di Maggio、Amir Kermani、Christopher Palmer
中文摘要
我们利用丰富的、与借款人信息关联的抵押贷款市场数据，以及基于抵押贷款市场分割的识别策略，考察了美联储大规模资产购买向实体经济的传导。我们发现，央行在第一轮量化宽松（QE1）中购买抵押贷款支持证券（MBS），大幅增加了再融资活动，降低了进行再融资的家庭的利息支出，引发了住房净值提取的激增，并增加了总消费。在QE1期间，相对于不符合量化宽松购买条件的大额抵押贷款，符合购买条件的合规抵押贷款利率额外下降了40个基点，再融资规模额外增加了56%。我们估计，在QE1期间进行再融资的家庭，其耐用品消费增加了12%。我们的结果凸显，非常规货币政策向实体经济的传导，关键取决于所购买资产的构成以及市场分割的程度。
Abstract
Abstract We document the transmission of large-scale asset purchases by the Federal Reserve to the real economy using rich borrower-linked mortgage-market data and an identification strategy based on mortgage market segmentation. We find that central bank QE1 MBS purchases substantially increased refinancing activity, reduced interest payments for refinancing households, led to a boom in equity extraction, and increased aggregate consumption. Relative to QE-ineligible jumbo mortgages, QE-eligible conforming mortgage interest rates fell by an additional 40 bp and refinancing volumes increased by an additional 56% during QE1. We estimate that households refinancing during QE1 increased their durable consumption by 12%. Our results highlight that the transmission of unconventional monetary policy to the real economy depends crucially on the composition of assets purchased and the degree of segmentation in the market.