Data and Code For: Mortgage Prepayment and Path-Dependent Effects of Monetary Policy

Principal Investigator(s): View help for Principal Investigator(s) Berger David, Duke University; Konstantin Milbradt, Northwestern University; Fabrice Tourre, Copenhagen Business School; Joseph Vavra, University of Chicago

Version: View help for Version V1

Name	File Type	Size	Last Modified
consumption_outcomes_model_code			03/04/2021 12:04:PM
empirical_code			03/04/2021 12:06:PM
mortgage_outcomes_model_code			03/04/2021 01:40:PM
README.pdf	application/pdf	217.5 KB	04/26/2021 12:33:PM

Project Citation:

David, Berger, Milbradt, Konstantin, Tourre, Fabrice, and Vavra, Joseph. Data and Code For: Mortgage Prepayment and Path-Dependent Effects of Monetary Policy. Nashville, TN: American Economic Association [publisher], 2021. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2021-08-24. https://doi.org/10.3886/E134161V1

Project Description

Summary: How much ability does the Fed have to stimulate the economy by cutting interest rates? We argue that the presence of substantial debt in fixed-rate, prepayable mortgages means that the ability to stimulate the economy by cutting interest rates depends not just on their current level but also on their previous path. Using a household model of mortgage prepayment matched to detailed loan-level evidence on the relationship between prepayment and rate incentives, we argue that recent interest rate paths will generate substantial headwinds for future monetary stimulus.

Funding Sources: University of Chicago. Booth School of Business IGM; University of Chicago. Booth School of Business Fama-Miller Center; Guthrie Center for Real Estate Research at Northwestern Kellogg; Danish Finance Institute; Center for Financial Frictions (FRIC) (DNRF-102)

Scope of Project

Subject Terms: Monetary Policy; Path-Dependence; Refinancing; Mortgage Debt

JEL Classification:
      E21 Macroeconomics: Consumption; Saving; Wealth
      E50 Monetary Policy, Central Banking, and the Supply of Money and Credit: General
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages

Geographic Coverage: United States of America

Time Period(s): 1992 – 2017

Collection Date(s): 1992 – 2017

Universe: U.S. Mortgages

Data Type(s): administrative records data; aggregate data; program source code

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Published Versions

V1 [2021-08-24]

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