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The impact of monetary policy on household borrowing - a high-frequency IV identification

Maria Sandström ()
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Maria Sandström: Financial Stability Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden

No 351, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: This paper combines identication of monetary policy shocks from high-frequency financial market data with local projections IV to study the effects of monetary policy on household borrowing using Swedish data. The results are uncertain but indicate that the stock of household loans is 1.6 percent lower two years after a 1 percentage point shock to the repo rate. This is a relatively modest effect considering that the stock of household loans on average grew by 7.8 percent per year over this period.

Keywords: Monetary policy; Household credit; High-frequency identification; External instrument; Local projections (search for similar items in EconPapers)
JEL-codes: C26 E51 E52 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2018-02-01
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:rbnkwp:0351

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