美联储-超边际借款人与货币政策的抵押贷款支付渠道（英）

FinanceandEconomicsDiscussionSeries

FederalReserveBoard,Washington,D.C.

ISSN1936-2854(Print)

ISSN2767-3898(Online)

InframarginalBorrowersandtheMortgagePaymentChannelofMonetaryPolicy

DanielRingo

2024-069

Pleasecitethispaperas:

Ringo,Daniel(2024).“InframarginalBorrowersandtheMortgagePaymentChannelofMonetaryPolicy,”FinanceandEconomicsDiscussionSeries2024-069.Washington:BoardofGovernorsoftheFederalReserveSystem,

/10.17016/FEDS.2024.069

.

NOTE:StafworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstafortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.

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InframarginalBorrowersandtheMortgagePaymentChannelofMonetaryPolicy

DanielRingo*

FederalReserveBoard

July30,2024

Abstract

Despitethewidespreaduseoffixed-ratemortgagesintheUnitedStates,Ishowthatmonetarypolicyisefectivelypassedthroughtoaggregateoutstandingmortgagedebtservice.Usingcreditbureau,lender,andservicerdataonmortgagepaymentsandoriginationsandexogenousmone-tarypolicyshocks,Iestimateamortgageratesemi-elasticityofpaymentsover10.Inframarginalborrowers—householdswhosechoicetobuyahomeorrefinancedoesnotdependonthepartic-ularmonetarypolicydecisionunderconsideration—arethemostimportantconduit,explainingoverhalfofthepass-through.Consistentlylarge且owsofinframarginalborrowingrelativetothestockofoutstandingdebtaccountforthestrengthofthischannel.Householdswithadjustable-ratemortgagesandmarginalrefinancers,thefocusofmuchoftheliteratureonmonetarypolicy’sefectonmortgageborrowers,eachexplainabout20percentofthepass-through.Ishowthemortgagepaymentchannelinducesalagintheoperationofpolicy,asthecumulativeefectsondebtservicebuildovertimeinresponsetopersistentshockstolonger-termrates.Estimatedmagnitudessuggestthatmortgagepaymentsareaprimarychannelbywhichmonetarypolicyafectsconsumption.

Keywords:Monetarypolicy;interestrates;refinancingchannel;debtserviceJELcodes:G21;E43;E52.

*MS93,BoardofGovernorsoftheFederalReserveSystem,WashingtonD.C.20551daniel.r.ringo@.ThankstoNeilBhutta,JohnDriscoll,andseminarparticipantsattheFederalRe-serveBoardandGhentUniversityEmpiricalMacroeconomicsWorkshopforhelpfulcomments.TheanalysisandconclusionssetfortharethoseoftheauthoranddonotindicateconcurrencebyothermembersoftheresearchstafortheBoardofGovernors.

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1Introduction

Monetarypolicycanafecthouseholds’consumptionviatheirdebtservicepayments,in-creasingtheirdisposableincomesnetofrequiredpaymentsasinterestratesdecreaseandviceversa.Residentialmortgagedebtrepresentstheoutrightmajorityofallhouseholddebtandisthelargestsourceofdebtserviceobligations,andsoshouldbeapotentchannelbywhichmonetarypolicycanin且uenceconsumerdemand.IntheUnitedStates,however,thepopularityoffixed-ratemortgagespresentsanobstacletothepass-throughofinterestratechangestopayments.Whenratesrise,debtorhouseholdswillhangontotheiroldratesandbeunafected.Whenratesfall,onlyafractionofhouseholdsforwhomrefinancingwouldbeprofitableexercisetheiroptiontodoso.Thefrictionsinherentinthisprocesshavemoti-vatedagrowingbodyofliteratureanalyzingtherefinancingchannelofmonetarypolicy.1Inaninternationalcontext,itiscommonlyarguedthattheprevalanceoffixed-ratemortgagesdampenstheefectivenessofmonetarypolicyincountriesliketheU.S.2

Inthispaper,Ishowthatthepass-throughofmonetarypolicyshockstomortgagepaymentsintheU.S.isactuallyquiterobustduetothelargevolumeofborrowingbyinframarginalborrowers.Thesearehouseholdswhosedecisiontotakeoutanewloandoesnotdependontheparticularmonetarypolicyactionunderconsideration,butwhosepaymentforthatnewloanstilldependsonthestanceofpolicy.Importantly,inframarginalborrowersincludehouseholdswhoareborrowingforthepurposesofhomepurchase,refinancing,oranyotherends.Whileonlyasmallpercentageofhouseholdsengageinanynewmortgageborrowinginagivenyear,indollartermsannualnewborrowingrepresentsapproximatelyonequarteroftheoutstandingstockofhouseholdmortgagedebt.Thisisbecausenewloanstendtobelargerthantheunpaidprincipalbalanceofexistingloans,andexplainsthestrengthofthemortgagepaymentchannel.Historically,alargepercentageofmortgagedebthascarriedarecentlydeterminedinterestrate.

Theefectofatypicalmonetarypolicyshockonthemonthlypaymentsofaninfra-marginalborrowerissmallrelativetothatexperiencedbyamarginalrefinancer—ahousehold

1SeeAmromin,BhuttaandKeys(2020)forahelpfulsummary.

2See,e.g.,Bernanke(2007),Calza,MonacelliandStracca(2013),Rubio(2011),orKimandLim(2020).

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thatwouldbeinducedintooroutofrefinancingtheircurrentmortgagebyasmallchangeinrates.However,inframarginalborrowersaresomuchmorenumerousthanmarginalbor-rowersthattheinframarginalchannelismorethantwiceasimportantforthepass-throughofrateshockstoaggregatepayments.Ifindthatoverthelast25years,amonetarypol-icyshockwhichcutsmortgageratesbyonly7basispointswouldreduceaggregateannualmortgagepaymentsbyapproximately$9billionin2023dollars.Inframarginalborrowerswouldaccountforabout$5billionofthisreduction,andmarginalrefinancers$2billion.Anadditional$2billionwouldgototheminorityofborrowerswithadjustable-ratemort-gages(ARMs),althoughthislatterchannelhasdiminishedinrecentyears.Marginalhomepurchaseborrowersandtheintensivemarginofborrowing(i.e.,theamountborrowedcon-ditionalongettingaloan)arenotsignificantchannelsofpass-throughtopaymentsinthefirstfewyearspost-shock.

Thestanceofmonetarypolicyandthelevelofmortgageratesareendogenoustothestateoftheeconomy.Toconsistentlyestimatetheefectsofpolicydecisions,Ithereforeexploitvariationfromtheexogenous,unanticipatedcomponentsofrateresponsestoFederalOpenMarketCommittee(FOMC)announcements.Ibeginbyestimatingtheefectsofmonetarypolicyshocksonmortgageinterestrates.Itisimportantheretorecognizethatmortgageinterestratesaretiedtoyieldsonrelativelylonger-maturitydebt(asatypicalmortgagewillendureforyearsbeforeprepaying)andtheFederalReservehastoolsatitsdisposalthatafectdiferentportionsoftheyieldcurvediferently.TheFedcandirectlycontrolveryshort-termratesbysettingtheovernightfederalfundsrate.Longer-termratesdependmoreoninvestors’beliefsaboutthefuturepathofmonetarypolicydecisions,andtheFedcanattempttoin且uencethesebeliefsviaforwardguidanceandassetpurchases.IthereforeusetheseriesofmonetarypolicyshocksestimatedbySwanson(2021),whoseparatelyidentifiedshockstothefederalfundsrate,forwardguidance,andlarge-scaleassetpurchases(LSAP)

containedinFOMCannouncements.3UsingthelocalprojectionsestimatorofJord、a(2005),

3Lewis(2023)alsoestimatesshockseriesthatdisentanglethesecomponentsusingdiferentidentifyingassumptionsthanSwanson(2021).Inaddition,Lewis(2023)attemptstoisolateafourthcomponent,theFedinformationefect.InAppendixSectionA.1Ishowmyresultsarerobusttousingthesealternativeshocksseries.

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Iestimatethataonestandarddeviationforwardguidanceshockraisesmortgageratesbyanaverageof7.4basispointsoverthethreeyearspost-shock.4Shockstothefederalfundsratedonotshowanydemonstrableefectonmortgagerates,however.TheLSAPshockisestimatedtohaveastronginitialefectonmortgagerates,butthisquicklyfades.

Next,Iestimatehowtheaveragepaymentsofmortgageborrowersareafectedbymon-etarypolicyshocksempirically.Iconstructatimeseriesoftheaveragemortgagepaymentsofalloutstandingmortgageborrowersusingnationallyrepresentativecreditbureaudatafrom1999through2023.Againusingthelocalprojectionsestimator,Iestimatethataonestandarddeviationforwardguidanceshockincreasedtheaveragepaymentsofborrowersby0.89percentafterthreeyears,orapproximately$9billionperyear.Puttingtheestimatesto-gether,eachbasispointincreaseinmortgageratesisestimatedtoincreaseannualpaymentsbyover$1billion;inotherwords,theinterestratesemi-elasticityofmortgagepaymentsisabout10.

Theestimatedefectsonmortgagedebtservicearelargeenoughtoexplainmuchoftheconsumptionresponsetomonetarypolicyshocks.Cloyne,FerreiraandSurico(2020)esti-matethatintheU.S.a25basispointgenericmonetarypolicyshockwoulddecreasedurableandnon-durableconsumptionbyapproximately0.9and0.15percent,respectively,threeyearspost-shock.Withreceentannualpersonalconsumptionexpendituresofapproximately$2trillionand$17trillioninthesecategories,thisimpliesatotalreductionofabout$45billionperyear.Myestimatessuggestthata25basispointshocktomortgagerateswouldincreaseannualmortgagepaymentsbyabout$30billionbyyearthree.Ifthemarginalpropensitytoconsumeoutofapersistentchangeindisposableincomeishigh,mostoftheefectofmonetarypolicyonconsumptioncanthereforebeexplainedbythedirectefectofthemortgagepaymentchannel.5Anymultiplierefectsfromtheshocktomortgageborrowers’

4Priorstudies,suchasHamilton(2008),Gorea,KryvtsovandKudlyak(2022),andRingo(2024),haveshowntheefectofforwardguidanceonmortgageratesintheshort-term,butthisstudyisthefirstIamawareoftodemonstratethattheefectpersistsforyears.

5Whileestimatesofthemarginalpropensitytoconsumevaryintheliterature,mostresearchersfindthatitishighforpermanentshockstoincome.SeeJappelliandPistaferri(2010)forareviewoftheliterature.Changesinmortgagepaymentsrepresentatransferbetweenborrowersandcreditors,sotherearepotentiallyofsettingconsumptionefects.However,mostmortgagedebtintheUS(oftenpackagedintomortgagebackedsecurities)isheldbycommercialbanks,theFederalReserve,orinstitutionalinvestors,allofwhompresumablyhavealowmarginalpropensitytoconsume.

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consumptionwouldfurtherincreasetheimportanceofthemortgagepaymentchannel.Thestrengthofthemortgagepaymentchannelalsoprovidesanexplanationformonetarypol-icy’sefectonconsumptiondespitemicroevidencesuggestingalowintertemporalelasticityofsubstitution(see,e.g.,Bestetal.,2020).

Thetotalestimatedchangeinpaymentsincludestheefectsoninframarginalborrowers,marginalborrowers,andexistingARMs(whosemortgagorsdonotneedtoengageinanyneworiginationstobeafected).Additionally,householdsengaginginnewborrowingmayofsetsomeoftheefectofmonetarypolicyonpaymentsbymakinganintensivemarginadjustment,i.e.reducingthesizeoftheirloansinthefaceofhigherrates.Toidentifytherelativeimportanceofthesechannels,Iestimatetheirmagnitudesseparately.

Inframarginalborrowersaresimpletomodelbecause,bydefinition,theirborrowingdeci-sionsareexogenoustotherateshock.Themagnitudeoftheinframarginalborrowerchannelcanthereforebestraightforwardlyestimatedviaasimpleback-of-the-envelopecalculation.Usingtheaverageoriginationvolumeandmortgageinterestrateoverthepast25years,Icalculatethatcuttingratesby7.4basispointsforthreeyearsshouldreduceaggregatemort-gagedebtservicebyapproximately$5.2billionperannum.Theefectbuildslinearlyovertimesolongasthelowerrateismaintained,aseachmonthanewcohortofinframarginalborrowersareafectedwhilecohortsthatpreviouslygottheirloancontinuetopaythelowerrate.Comparingthissimplecalculationtothetotalestimatedchangeinpayments,itseemsthatinframarginalborrowersarereponsibleforjustoverhalfofthepass-throughofmonetarypolicy.

Inadditiontotheincreasedordecreasedpaymentsfacedbytheseinframarginalborrow-ers,arateshockcanpullinorexcludemarginalborrowers.Thenumberofsuchborrowerscanbeestimatedbytheresponsivenessoforiginationvolumestorateshocks—thedifer-encebetweenthisestimatednumberandthetotalnumberoforiginationsisthenumberofinframarginalborrowers.Marginalborrowersarevastlyoutnumberedbyinframarginalborrowersforrateshocksofatypicalhistoricalmagnitude,buttheefectontheirpaymentsper-borrowermaybemuchlarger.Thisisbecause,formarginalborrowers,thecounterfactualpaymentistheircurrentexistingpayment(withitsoldratepotentiallyverydiferentfrom

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currentrates),notthepaymenttheywouldgetoriginatingthesameloanwithamarginallydiferentrate(asitwouldbeforinframarginalborrowers).6

Todeterminethemagnitudeofthemarginalrefinancechannel,Iestimatetheefectofthesamemonetarypolicyshockonthenumberofweeklyrefinanceoriginationsoverthe1999-2023period.Againusingalocalprojectionsestimator,Ifindtheshockdecreasesrefinancingvolumesby3.5percentoverthethreeyearspost-shock,suggestingapproximately$2billionofthetotalincreaseinpaymentscomesfrommarginalrefinancers.Forthemarginalhomepurchasechannel,Irunthesameestimatoronthenumberofweeklyhomepurchaseorigi-nations.Idonotfindefectsonhomepurchaselendingvolumesthatareeitherstatisticallysignificantoreconomicallyconsequentialforaveragepaymentamounts.

TodeterminethemagnitudeoftheARMchannel,IuseamonthlypanelofservicingrecordsofindividualARMsfrom2000through2023.Thelocalprojectionsestimatorindi-catesthatthesamemonetarypolicyshockincreasesARMpaymentsbyapproximately1.2percent,equivalentto$2billioninadditionalpaymentsperyear.

Theback-of-the-envelopecalculationoftheinframarginalborrowerchannelignoresthepossibilitythathouseholdsadjustonothermargins(i.e.,loansize).Totestthisimplicitassumption,Inextestimatethemagnitudesoftheintensivemarginchannel.Todoso,Irunthelocalprojectionsestimatoronaweeklyseriesoftheaverageloansizeofneworiginations.Ifindefectsthatareclosetozeroforthefirstfewyearsaftertheshock.Theassumptionofnointensive-marginadjustmentusedintheback-of-the-envelopecalculationoftheinframarginalchannelappearsbenign.

Together,theestimatedmagnitudesoftheinframarginalborrower,marginalrefinancer,andARMchannelsadduptobeclosetotheestimatednetefectonaggregatepayments.Theestimatesofchannel-specificmagnitudesuseoutcomemeasureswholelyindependentof

6Forthisreason,monetarytighteningscanincreasepaymentsviathemarginalrefinancingchannel(rel-ativetothecounterfactualofnotightening)nearlysymmetricallytothemannerinwhichmonetaryeasingslowerpayments.Ifasmalltighteningshockdissaudesaborrowerfromrefinacing,theyforegoarelativelylargereductioninpayment.Forexample,supposeaborrowerwouldchoosetorefinanceonlyifratesfalltoonefullpercentagepointbelowthatborrower’sexistingrate.A5basispointshockthatmovedratesfrom0.95percentto1.00percentbelowtheirratewouldinducetheborrowertorefinanceanddecreasetheirexistingrateby1percentagepoint.Symmetrically,a5basispointtighteningshockfrom1.00to0.95belowtheirratewoulddissuadethatsameborrowerfromrefinancing,increasingtheirrateby1percentagepointrelativetothecounterfactualofnoshock.

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thetime-seriesmeasureofpaymentsusedtoestimatetheoverallefect.Thefactthattheresultfromthe“top-down”approachtoestimatingthemagnitudeofthemortgagepaymentchannelmatchesthatfromthe“bottom-up”approachwasnotexternallyimposed,andconfirmsthefindingisrobust.Interestingly,allthreeofthesechannelsnaturallyintroducealagbetweenthemonetarypolicydecisionandthemaximumefectonpayments.Fortheinframarginalborrowersandmarginalrefinancerchannels,thisoccursbecausethechangeinpaymentsaccumulatesslowlyaseachmonthanewsetofloansisoriginatedsubjectto,orcontingenton,thepolicy-afectedrate.FortheARMchannel,alagoccursbecauseARMratesonlyadjustatperiodicintervals(oftenoneyear),orevenlessfrequentlyiftheloanisstillinaninitialfixed-rateperiod.MiltonFriedman’s“longandvariable”lagshaveanaturalexplanation,atleastinrecentdecades,asaconsequenceofthefeaturesofthemortgagemarketonwhichmonetarypolicyoperates.

Finally,Iturntoaconsiderationofthestatedependenceofmonetarypolicy’sefec-tivenessthroughtheinframarginalborrowerchannel.ThetotalefectofarateshockonpaymentsvariesproportionatelywiththevolumeofmortgageborrowingAmericanswillengageinoverthesubsequentthreeyears.Thisvolumehasvariedconsiderablyoverthepastquartercentury,withthree-yearpeaksofover$13trillion(inreal2023dollars)reachedduringtherefinancingboomsof2003andtheCovidpandemic,whiletheaveragethree-yearvolumewascloserto$9trillion.Three-yearvolumesneverfellbelow$6trillion,however,asless-volatilehomepurchaseborrowingsupportsthe且ooroftotalborrowingevenwhenrefinancingentersafallowperiod.These且owsarealwaysquitelargerelativetothestockofhouseholds’outstandingmortgagedebt(approximately$13trillion7),suggestingthatthefixed-ratenatureofmostmortgagedebtonlypartiallyimpedesthepass-throughofratechangestohouseholddisposableincome.InadditiontoARMSandfixed-ratemortgagesexhibitingsimilarlagsinthepass-throughofmonetarypolicyshockstopayments,theper-borrowerefectsizesarecomparable.Duetothelarge且owsofneworiginations,Iestimatethepaymentsoftheaveragemortgageborrowerareabout75percentasresponsivetoa

forwardguidanceshockasarethoseofanARMborrower.

7Source:FederalReserveBoard(2023)

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Mypapermakesseveralcontributions.First,thisistheonlypaperIamawareoftodemonstrateusingquasi-experimentalmethodstheexistenceofastrongmortgagepaymentchannelofmonetarypolicyintheU.S.ItisalsothefirstIamawareofinthisliteraturetoattempttoempiricallydistinguishandquantifythemagnitudesofthevarioussub-channelsbywhichmonetarypolicyispassedthroughtomortgagepayments.Myfindingthattheinframarginalchannelissubstantiallythelargestshouldshapehowwethinkaboutthetrans-missionofmonetarypolicydecisionstohouseholdspending.Furthermore,tomyknowledgethisisthefirststudytodemonstratethattheefectofcentralbankforwardguidanceonmortgageratespersistsforseveralyears.Thispersistenceiskeytotheoverallstrengthofthemortgagepaymentchannel,astheefectsonpaymentsthroughallofthesub-channelsIidentifygrowcumulativelythelongerratesareheldaboveorbelowtheircounterfactuallevel.

1.1RelatedLiterature

Alargebodyofliteraturehasinvestigatedthemeansbywhichmonetarypolicyafectsthemortgagemarket,andhowthesechangesinturnafectconsumption.StudiesthatestimatehowrefinancingtoalowerrateincreaseshouseholdconsumptionincludeDiMaggioetal.(2017),DiMaggio,KermaniandPalmer(2020),AbelandFuster(2021),andAgarwaletal.(2023).Otherauthorshaveinvestigatedtheheterogeneousefectsofmonetarypolicybydiferentialhouseholdpropensitiestorefinance,includingBerajaetal.(2019),Wong(2019),andCummingandHubert(2021).

Amongthese,apaperthatisparticularlyrelatedtothepresentstudyisCloyne,FerreiraandSurico(2020).TheauthorsstudyhowmonetarypolicyshocksafecttheconsumptionofhouseholdsbytheirownershipandmortgagestatusintheU.S.andtheU.K.Theyalsoestimatehowshocksafectaveragemortgagepaymentsofborrowerswithoutstandingloans,asIdointhispaper.However,Cloyne,FerreiraandSurico(2020)findmuchsmallerefectsofmonetarypolicyshocksonpaymentsthanIdo.Theyfindamonetarypolicyshockthatcutsthefederalfundsrateby25basispointslowerspaymentsbyonly$3.60permonthfor

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theaverageborrower.8Incontrast,Iestimatethatamere7basispointmortgageratecutinducedbyforwardguidancewouldloweraveragepaymentsbyabout$18permonthafterthreeyears.9

AsIshowinAppendixSectionA.2,thisdiferenceinourfindingsislikelyduetoCloyne,FerreiraandSurico(2020)’suseofsurveyresponsesintheConsumerExpenditureSurvey(CEX)toconstructtheirtimeseriesofmortgagepayments.IncomparisontothecreditbureaudataIemploy,theCEXhasamuchsmaller,frequentlyrotatingsampleandreliesonindividualborrowersratherthanloanservicersaccuratelyreportingtheirfinancialdata.IshowthattheCEX-basedpaymentsseriesismuchnoisierthantheoneIconstructfromtheCCP.WhenIrunmyestimatorontheCEXdata,Idonotfindasignificantefectofmonetarypolicyshocksonreportedmortgagepayments.However,anullnetefectofratesonpaymentsishardtosquarewiththemagnitudesoftheindividualchannelsIestimateinSection5,andthisfindingismostplausiblyattributedtosmall-samplelimitationsoftheCEX.

Furthermore,myresultshelprationalizeasurprisingtensioninCloyne,FerreiraandSurico(2020)’sfindings:despitealimitedestimateoftheefectofmonetarypolicyonmort-gagepaymentsintheU.S.,theyfindthattheconsumptionresponseofmortgageborrowerstomonetaryshocksismuchlargerthanthatofrentersoroutrightowners.Thislatterresultismoreintuitiveinlightofthelargemortgagepaymentchannelmyfindingsdemonstrate.

Afurtherstrandoftheliteraturehasstudiedhowtheembedded-optionnatureoffixed-ratemortgagesimpliestherefinancingchannelofmonetarypolicyisheavilystatedependent.Becauseborrowersareonlylikelytorefinancewhentheirloanis“inthemoney”(i.e.,theircurrentrateiswellabovetheprevailingmarketrate),monetarypolicyislessabletoafectborrower’spaymentswhenrateshaverisenfromlong-termlows.Bergeretal.(2021)andEichenbaum,RebeloandWong(2022)modelhowthiscomplicationcanhampertheability

8Cloyne,FerreiraandSurico(2020)reportanefectsizeof$1.20in1984dollars,andIadjustforthe300percentin且ationbetween1984and2023.

9Thisestimateiscalculatedbyapplyingmyestimateofa0.89percentpaymentresponsetoaonestandarddeviationforwardguidanceshocktoanaverageborrower’smonthlypaymentof$2,000,calculatedasde-scribedinSection2.Efectsfromtheinframarginalchannelalonewouldincreasepaymentsbyapproximately$10permonthperborrower.

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ofratecutstostimulateconsumption.Myfindingssupporttheirmainresults,althoughIpointoutthattheoverallinframarginalborrowingchannelisnotasstatedependentastherefinancingchannelalone.Evenwhenveryfewborrowersareinthemoneytorefinance,totalborrowingvolumesarestillsupportedbyrelativelyrate-inelastichomebuyingdemandandmonetarypolicycontinuestohavenewloanstooperateon.

Marginalcash-outrefinancingisanotherrelatedchannelbywhichmonetarypolicycouldin且uencespending,asBhuttaandKeys(2016)findequityextractionisquiteresponsivetointerestrates.However,Anenberg,ScharlemannandvanStraelen(2023)showthat,atleastsincetheendofthehousingboomoftheearly2000s,muchorallofthemarginalequityextractedduetomortgagerateshocksisasubstituteforotherformsofconsumerborrowing,andhaslittlenetefectonconsumption.Inadditiontorefinancing,studiesthatestimatetheefectofinterestratesandmonetarypolicyonhomepurchaseborrowingincludeBhuttaandRingo(2021)andRingo(2024)ontheextensivemargin,andDeFuscoandPaciorek(2017)ontheintensivemargin.

Inaninternationalcontext,studiesofthedebt-servicechannelofmonetarypolicyincludeHofmannandPeersman(2017)andFlod/enetal.(2021).

2Data

Dataforthisprojectcomefromseveralsources.Toconstructatimeseriesofaveragemonthlypaymentsforhouseholdswithamortgage,IusetheFederalReserveBankofNewYork/EquifaxConsumerCreditPanel(CCP).TheCCPconsistsofaquarterlypanelofcreditbureaurecordsofarandomlyselected,anonymized5percentsampleofalladultsintheU.S.withacreditrecord.Amongotherinformation,loanservicersreporttheirborrowers’scheduleddebtservicepaymentsforeachtradelinetothecreditbureaus.Overthesampleperiod1999through2023,theCCPincludesdataon2.5millionto3.6millionprimarysampleindividualswithapositivemortgagepayment

Foreachquarterfrom1999Q1through2023Q4,Itaketheaverageoftotalreportedmonthlypaymentsonfirstlienmortgagesperborrower.TheCCPsamplesindividuals,not

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householdsorloans,soloanswithcoborrowerswouldbeoverrepresentedbytakingasimpleaverageacrossobservations.Tocorrectforthisissue,Iweighteachborrowerbythefractionoftheirpaymentsforwhichtheyarethesoleborrower,suchthatthepaymentsofaborrowerwhoonlyhassoloaccountsgetsweight1andaborrowerwhoonlyhasjointaccountsgets

forwhichtheyareacoborrower,theweighttheirpaymentsgetinthequarterlyaverageis1-0.5j.Thisschemeprovidesequalweighttoeachborrowingunit,generallyahousehold.Ialsodropobservationswithreportedmonthlymortgagepaymentsinexcessof$50,000aspotentiallyrepresentingdataerrors.Usingtheweightstocorrectforthedouble-countinginherenttojointaccounts,andadjustingfortheCCP’scoverageof5percentofallindividualswithasocialsecuritynumberandacreditrecord,thedatasuggestanaverageof42millionhouseholdswithamortgageintheU.S.

ThetimeseriesofaveragemonthlypaymentsforhouseholdswithamortgageisshowninFigure1,convertedintoreal2023doll