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