The effects of the Fed’s monetary tightening campaign on nonbank mortgage lending

Jocelyn D. Evans and Mari L. Robertson

Economics Letters, 2018, vol. 171, issue C, 164-168

Abstract: We examine the response of mortgage credit volumes to the Fed’s planned monetary tightening campaign of continued policy rate increases and slowed future purchases of agency securitized mortgages. A shadow policy rate measures unconventional policy tools used at the zero lower bound. After the Great Recession, our results from a time-varying parameter factor-augmented VAR model show that a policy rate increase identified with sign restrictions shifts mortgage lending from banks to less regulated nonbanks. More mortgage funding comes from increased issuance of agency rather than private-label securitized mortgages.

Keywords: Monetary policy; Mortgage lending; GSEs; Securitized mortgages; TVP-FAVAR (search for similar items in EconPapers)
JEL-codes: E43 E5 G20 G21 G23 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518302714
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:171:y:2018:i:c:p:164-168

DOI: 10.1016/j.econlet.2018.07.017

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().