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Replication data for: Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging

Version
V0
Resource Type
Dataset
Creator
  • Di Maggio, Marco
  • Kermani, Amir
  • Keys, Benjamin J.
  • Piskorski, Tomasz
  • Ramcharan, Rodney
  • Seru, Amit
  • Yao, Vincent
Publication Date
2017-11-01
Description
  • Abstract

    Exploiting variation in the timing of resets of adjustable-rate mortgages (ARMs), we find that a sizable decline in mortgage payments (up to 50 percent) induces a significant increase in car purchases (up to 35 percent). This effect is attenuated by voluntary deleveraging. Borrowers with lower incomes and housing wealth have significantly higher marginal propensity to consume. Areas with a larger share of ARMs were more responsive to lower interest rates and saw a relative decline in defaults and an increase in house prices, car purchases, and employment. Household balance sheets and mortgage contract rigidity are important for monetary policy pass-through.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20141313 (Text)
Publications
  • Di Maggio, Marco, Amir Kermani, Benjamin J. Keys, Tomasz Piskorski, Rodney Ramcharan, Amit Seru, and Vincent Yao. “Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging.” American Economic Review 107, no. 11 (November 2017): 3550–88. https://doi.org/10.1257/aer.20141313.
    • ID: 10.1257/aer.20141313 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-06

Di Maggio, Marco; Kermani, Amir; Keys, Benjamin J.; Piskorski, Tomasz; Ramcharan, Rodney et. al. (2017): Replication data for: Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116162