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Fixed and variable-rate mortgages, business cycles and monetary policy

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(1)Fixed and Variable-Rate Mortgages, BUSiness Cycles and Monetary Policy Margarita Rubio. Documentos de Trabajo N.º 0903. 2009.

(2) FIXED AND VARIABLE-RATE MORTGAGES, BUSINESS CYCLES AND MONETARY POLICY.

(3) FIXED AND VARIABLE-RATE MORTGAGES, BUSINESS CYCLES AND MONETARY POLICY. Margarita Rubio (*) BANCO DE ESPAÑA. (*) Bank of Spain, C/ Alcalá 48, 28014 Madrid, Spain. margarita.rubio@bde.es. Part of this project was developed during my dissertation internships at the St. Louis Fed and the Federal Reserve Board, whose hospitality I gratefully acknowledge. I am highly indebted to Fabio Ghironi, Matteo Iacoviello and Peter Ireland for their help and advice. Thanks to seminar participants of the Dissertation Workshop at BC, R@BC, University of Valencia, University of Barcelona and WEAI for useful suggestions. And special thanks to Susanto Basu, Bill Dupor, Simon Gilchrist, Michael Kiley, Andreas Lehnert, Antonio Miralles, Ed Nelson and Michael Palumbo. All errors are mine. This paper was previously circulated under the name "Fixed and Variable-Rate Mortgages and the Monetary Transmission Mechanism”. Usual disclaimer applies.. Documentos de Trabajo. N.º 0903 2009.

(4) The Working Paper Series seeks to disseminate original research in economics and finance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem.. The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es.. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. © BANCO DE ESPAÑA, Madrid, 2009 ISSN: 0213-2710 (print) ISSN: 1579-8666 (on line) Depósito legal: M. 9361-2009 Unidad de Publicaciones, Banco de España.

(5) Abstract. The aim of this paper is twofold. First, I study how the proportion of fixed and variable-rate mortgages in an economy can affect the way shocks are propagated. Second, I analyze optimal implementable simple monetary policy rules and the welfare implications of this proportion. I develop and solve a New Keynesian dynamics tochastic general equilibrium model that features a housing market and a group of constrained individuals who need housing collateral to obtain loans. A given proportion of constrained households borrows at a variable rate, while the rest borrows at a fixed rate.The model predicts that in an economy with mostly variable-rate mortgages, an exogenous interest rate shock has larger effects on borrowers than in a fixed-rate economy. Aggregate effects are also larger for the variablerate economy. For plausible parametrizations, differences are muted by wealth effects on labor supply and by the presence of savers. More persistent shocks, such as inflation target and technology shocks, cause larger aggregate differences. From a normative perspective I find that, in the presence of collateral constraints, the optimal Taylor rule is less aggressive against inflation than in the standard sticky-price model. Furthermore, for given monetary policy, a high proportion of fixed-rate mortgages is welfare enhancing. Keywords: Fixed/Variable-rate mortgages, monetary policy, housing market, collateral constraint. JEL classification: E32, E44, E52..

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(85) 3@6  3F CG3DF7D>K 8D7CG7@5K )7EG>FE 3D7 @AF E7@E;F;H7 FA 6;T7D7@F H3>G7E I;F:;@ F:;E D3@97 +:;E H3>G7 A8  ;E >AI 7@AG9: FA 7@6A97@AGE>K 6;H;67 F:7 75A@A?K ;@FA 4ADDAI7DE 3@6 E3H7DE +:7 I7;9:F A8 :AGE;@9 A@ F:7 GF;>;FK 8G@5F;A@ , ;E E7F FA  ;@ AD67D 8AD F:7 D3F;A A8 :AGE;@9 I73>F: FA ' ;@ F:7 EF736K EF3F7 FA 47 5A@E;EF7@F I;F: F:7 63F3 +:;E H3>G7 A8 , ;?B>;7E 3 D3F;A A8 3BBDAJ;?3F7>K   ;@ >;@7 I;F: F:7 >AI  +:;E ;E 3 D73>;EF;5 BA>;5K 47@5:?3D= 8AD ?AEF A8 F:7 ;@6GEFD;3>;L76 5AG@FD;7E  ?AD7 D73>;EF;5 DG>7 IAG>6 3>EA ;@5>G67 AGFBGF 4GF ;F 5A?B>;53F7E 4G;>6;@9 ;@FG;F;A@ 34AGF F:7 IAD=;@9E A8 F:7 ?A67> GDF:7D?AD7 7EF;?3F;A@E 67>;H7D 3 E?3>> D7EBA@E7 FA F:7 AGFBGF 93B ;@ F:7 >3EF FIA 675367E *77 >3D;63 3>; 3@6 7DF>7D 

(86).  %7H7DF:7>7EE DA4GEF@7EE 5:75=E FA F:;E EB75;M53F;A@ I;>> 47 B7D8AD?76. BANCO DE ESPAÑA. 21. DOCUMENTO DE TRABAJO N.º 0903.

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(89)  ;?B>K;@9 F:3F BD;57E 5:3@97 7H7DK 8AGD CG3DF7DE AD F:7 +3K>AD )G>7 B3D3?7F7DE GE7     

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(91).  E:AI F:3F ;@ F:7 BD7E7@57 A8 4ADDAI;@9 5A@EFD3;@FE F:;E 7EF;?3F7E 5AG>6 :3H7 3 6AI@I3D6 4;3E A8    .7 53@ ;67@F;8K 5A@EFD3;@76 5A@EG?7DE I;F: F:AE7 F:3F 4ADDAI ?AD7 F:3@   A8 F:7;D :A?7 @ F:7 ,* 3?A@9 F:AE7 4ADDAI7DE F:7 3H7D397 #+- D3F;A 7J5776E   8AD F:7 B7D;A6  

(92).  *77 F:7 63F3 8DA? F:7 767D3> AGE;@9 ;@3@57 A3D6  *77 $53>>G? 

(93). . BANCO DE ESPAÑA. 22. DOCUMENTO DE TRABAJO N.º 0903.

(94) $4$/(6(4 "$.7(5 . . ;E5AG@F 35FAD 8AD *3H7DE. . . ;E5AG@F 35FAD 8AD ADDAI7DE. ,. . .7;9:F A8 AGE;@9 ;@ ,F;>;FK G@5F;A@. . '3D3?7F7D 3EEA5;3F76 I;F: >34AD 7>3EF;5;FK. -. . #A3@FAH3>G7 D3F;A. .  . #34AD E:3D7 8AD *3H7DE. . . 'DABADF;A@ A8 H3D;34>7D3F7 4ADDAI7DE. $. . *F736KEF3F7 ?3D=GB. . 

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(97). @N3F;A@ '3D3?7F7D ;@ +3K>AD )G>7. +34>7  '3D3?7F7D -3>G7E. . /27.5( (52105(5. . 10(6$4; 1.,&; +1&-. ?BG>E7 D7EBA@E7E FA 3 A@7 EF3@63D6 67H;3F;A@  

(98)  B7D57@F ;@5D73E7 A8 F:7 ;@F7D7EF D3F7 3D7 BD7E7@F76 ;@ ;9GD7   .7 53@ E77 F:3F I:7@ F:7 75A@A?K ;E ?3;@>K 5A?BAE76 4K ;@6;H;6G3>E ;@674F76 3F 3 H3D;34>7D3F7 F:7 7T75FE A8 ?A@7F3DK BA>;5K A@ 5A@EG?BF;A@ 8AD F:7 4ADDAI7DE 3D7 EFDA@97D F:3@ ;@ F:7 MJ76D3F7 53E7 ADDAI7DEO :AGE;@9 67?3@6 ;@;F;3>>K 3>EA 675D73E7E ?AD7 EFDA@9>K 38F7D 3 ?A@7F3DK BA>;5K E:A5= ;8 F:7 BD76A?;@3@F FKB7 A8 ?ADF9397E ;@ F:7 75A@A?K ;E H3D;34>7 D3F7 +:7E7 M@6;@9E E:AI F:3F F:7 BDABADF;A@ A8 H3D;34>7D3F7 ?ADF9397E ?3FF7DE 8AD F:7 ?A@7F3DK FD3@E?;EE;A@ ?75:3@;E? .:7@ F:7 BDABADF;A@ A8 H3D;34>7D3F7 4ADDAI7DE ;E H7DK :;9: 3 ?A@7F3DK BA>;5K E:A5= 3T75FE ?AD7 EFDA@9>K F:AE7 ;@6;H;6G3>E I:A 3D7 5A@EFD3;@76 3@6 @776 FA 4ADDAI @ F:7 399D793F7 AGFBGF ;@ F:7 H3D;34>7D3F7 75A@A?K 3>EA 675D73E7E ?AD7 EFDA@9>K *77 ;9GD7

(99)  +:7D7 ;E 3 D76;EFD;4GF;A@ 47FI77@ 4ADDAI7DE 3@6 E3H7DE 4GF I7 53@ EF;>> M@6 399D793F7 6;T7D7@57E 4753GE7 . 35AH;7>>A 

(100).  7EF;?3F7E 3 +3K>AD )G>7 8AD F:7 ,* 75A@A?K 3@6 M@6E 3 

(101)  B7D57@F EF3@63D6 67H;3F;A@ A@ 3 CG3DF7D>K 43E;E GE7 F:;E @G?47D 3E 3@ 7?B;D;53>>K B>3GE;4>7 A@7EF3@63D6 67H;3F;A@ ;@5D73E7 ;@ F:7 ;@F7D7EF D3F7. BANCO DE ESPAÑA. 23. DOCUMENTO DE TRABAJO N.º 0903.

(102) Housing Borrowers % dev. steady state. % dev. steady state. Consumption Borrowers 0 -2. -4. 0. 5. 10. 0 -5 -10. 0. 5. quarters. Consumption Savers. Interest Rate % dev. steady state. % dev. steady state. 0.5 0 -0.5. 0. 5. 10. 0.2. 0 -0.2. 0. 5. quarters. House Prices % dev. steady state. % dev. steady state. Inflation. 0. 0. 5. 10. quarters. 1. -1. 10. quarters. 10. 0.5. 0. -0.5. 0. 5. quarters. 10. quarters. fixed. variable. ;9GD7  ?BG>E7 )7EBA@E7E FA 3 $A@7F3DK 'A>;5K *:A5= 3E7>;@7 *B75;M53F;A@. 4ADDAI7DE 3D7 ?AD7 E7@E;F;H7 FA 5:3@97E ;@ I73>F: F:7K 3D7 ?AD7 ;?B3F;7@F 3@6 GE7 :AGE;@9 I73>F: 3E 5A>>3F7D3>

(103). )7EG>FE 8AD ?A@7F3DK BA>;5K E:A5=E I;F: EF3@63D6 BD787D7@57E 3D7 H7DK DA4GEF FA 3>F7D@3F;H7 ?A67> EB75;M53F;A@E .7 53@ ;@FDA6G57 53B;F3> ;@ F:7 43E;5 ?A67> AD 3EEG?7 @A@E7B3D34;>;FK 47FI77@ :AGE;@9 3@6 5A@EG?BF;A@ ;@ F:7 GF;>;FK 8G@5F;A@ +:7 43E;5 D7EG>FE 8AD F:7 H3D;34>7E A8 ;@F7D7EF 3D7 ?3;@F3;@76

(104) (.$6,8( ,<(5 $0' 0&1/( @(&65 10 $%14 722.;. ;T7D7@57E 47FI77@ F:7 FIA E57@3D;AE 3D7. @AF >3D97D 8AD E7H7D3> D73EA@E ;DEF D7EG>FE 3D7 E7@E;F;H7 FA F:7 I397 E:3D7 A8 G@5A@EFD3;@76 ;@6;H;6G3>E ;@ F:7 75A@A?K

(105)

(106) ;9GD7 E:AIE F:3F 4K 675D73E;@9 F:7 E;L7 A8 F:7 E3H7DE 399D793F7 6;T7D7@57E 3D7

(107). ,E;@9 3@ 3>F7D@3F;H7 +3K>AD DG>7 F:3F 3>EA 5A@E;67DE ;@F7D7EF D3F7 D7EBA@6;@9 FA AGFBGF 67>;H7DE H7DK E;?;>3D ;?BG>E7 D7EBA@E7E AI7H7D A@ ;?B35F 399D793F7 6;T7D7@57E 47FI77@ E57@3D;AE 3D7 E>;9:F>K >3D97D G@67D F:7 3>F7D@3F;H7 ;@F7D7EF D3F7 DG>7

(108) +:7 67F3;>E A8 F:7 ?A67> 3D7 BD7E7@F76 ;@ BB7@6;J

(109)  +:7 B3D3?7F7D H3>G7E GE76 8AD F:7 53>;4D3F;A@ 3D7 

(110)  8AD 53B;F3> 67BD75;3F;A@ 3@6 8AD 53B;F3> 36<GEF?7@F 5AEFE +:7 7>3EF;5;FK A8 EG4EF;FGF;A@ 47FI77@ @A@6GD34>7 5A@EG?BF;A@ 9AA6E 3@6 :AGE;@9 A8  +:7 D7EF A8 F:7 B3D3?7F7D H3>G7E 3D7 F:7 E3?7 3E ;@ F:7 43E7>;@7 ?A67>

(111)

(112) +:;E B3D3?7F7D D7BD7E7@FE F:7 D7>3F;H7 75A@A?;5 E;L7 A8 735: 9DAGB ;@ F:7 75A@A?K. BANCO DE ESPAÑA. 24. DOCUMENTO DE TRABAJO N.º 0903.

(113) Aggregate Output 0.2. 0. -0.2. -0.4. -0.6. -0.8. -1. -1.2. -1.4. fixed variable. 0. 1. 2. 3. 4 5 quarters. 6. 7. 8. 9. ;9GD7

(114)  99D793F7 &GFBGF )7EBA@E7 FA 3 $A@7F3DK 'A>;5K *:A5= 3E7>;@7 *B75;M53F;A@. 3?B>;M76 *75A@6 ;@ F:;E ?A67> ;@5A?7 7T75FE A@ F:7 >34AD EGBB>K 675;E;A@ 3D7 ;?BADF3@F ?A67> BD787D7@57E 3D7 E7B3D34>7 ;@ 5A@EG?BF;A@ 3@6 >34AD. @ F:7 43E7>;@7. @ F:;E 53E7 F:7 >34AD EGBB>K 675;E;A@. 67B7@6E A@ F:7 >7H7> A8 5A@EG?BF;A@ ;H7@ 3 @793F;H7 E:A5= FA F:7 75A@A?K >34AD EGBB>K ?AH7E 4AF: ;@ D7EBA@E7 FA 3 EG4EF;FGF;A@ 3@6 3@ ;@5A?7 7T75F &@ F:7 A@7 :3@6 >AI7D I397E ?3=7 5A@EG?7DE I3@F FA IAD= >7EE &@ F:7 AF:7D :3@6 >AI7D 5A@EG?BF;A@ 97@7D3F7E 3@ ;@5A?7 7T75F F:3F ?3=7E 5A@EG?7DE I3@F FA IAD= ?AD7 @5A?7 7T75FE 53@ B3DF>K ATE7F 399D793F7 6;T7D7@57E  BD787D7@57E :3H7 F:7 BDAB7DFK A8 E:GFF;@9 6AI@ F:7 ;@5A?7 7T75F A@ F:7 >34AD EGBB>K 675;E;A@. @ F:;E BD787D7@57E >34AD. 3@6 5A@EG?BF;A@ 3D7 @A@E7B3D34>7 +:;E ?3=7E >34AD 7TADF FA 47 67F7D?;@76 ;@67B7@67@F>K 8DA? F:7 ;@F7DF7?BAD3> 5A@EG?BF;A@E3H;@9E 5:A;57

(115) +:7D7 3@ 7JF7@E;H7 >;F7D3FGD7 F:3F :3E 3>EA GE76 F:7E7 BD787D7@57E FA 7?B:3E;L7 AF:7D 5:3@@7>E F:3F 3D7 B3DF;3>>K ATE7F 4K F:;E ;@5A?7 7T75FE

(116) . ?BG>E7. D7EBA@E7E ;@ >;@7 I;F: AF:7D EFG6;7E F:3F GE7  BD787D7@57E E:AI :AI 5A@EG?BF;A@ D7EBA@E7E 3D7 EFDA@97D 3@6 399D793F7 6;T7D7@57E 3D7 3?B>;M76 *77 ;9GD7  ;@3>>K 6;T7D7@57E 35DAEE E57@3D;AE 3D7 @AF >3D97D 4753GE7 ?A@7F3DK BA>;5K E:A5=E 6A @AF E:AI :;9: B7DE;EF7@57 $AD7 B7DE;EF7@F E:A5=E EG5: 3E ;@N3F;A@ F3D97F AD F75:@A>A9K E:A5=E 3D7 34>7 FA 3?B>;8K F:AE7

(117)

(118) . *77 BB7@6;J

(119) 8AD 67F3;>E A@  BD787D7@57E 3@6 67D;H3F;A@E *77 8AD 7J3?B>7 )3TA 

(120).  3@6 D787D7@57E F:7D7;@. BANCO DE ESPAÑA. 25. DOCUMENTO DE TRABAJO N.º 0903.

(121) Aggregate Output 0.5. % dev. steady state. 0. -0.5. -1. -1.5. -2. -2.5. fixed variable. 0. 1. 2. 3. 4 5 quarters. 6. 7. 8. 9. ;9GD7  99D793F7 &GFBGF )7EBA@E7 FA 3 $A@7F3DK 'A>;5K *:A5= @5D73E;@9 F:7 E:3D7 A8 4ADDAI7DE FA  . 6;T7D7@57E +:7 @7JF FIA EG4E75F;A@E BD7E7@F ;?BG>E7 D7EBA@E7E 8AD F:7E7 FIA AF:7D FKB7E A8 E:A5=E. . 0>$6,10. $4*(6 +1&-. @EF736 A8 3 E:A5= FA F:7 ;@F7D7EF D3F7 I7 53@ 3>EA 5A@E;67D 3 ?AD7 B7DE;EF7@F ?A@7F3DK BA>;5K 6;EFGD43@57 EG5: 3E 3 E:A5= FA F:7 ;@N3F;A@ F3D97F ;9GD7  E:AIE F:7 D7EBA@E7E A8 F:7 H3D;34>7E A8 ;@F7D7EF FA 3@ ;@5D73E7 ;@ F:7 ;@N3F;A@ F3D97F A8  B7D57@F I;F:  B7DE;EF7@57

(122)  99D793F7 6;T7D7@57E 3D7 3?B>;M76 I;F: F:;E FKB7 A8 E:A5=

(123)  @ B3DF;5G>3D AGFBGF ;@5D73E7E 4K ?AD7 ;@ F:7 H3D;34>7D3F7 53E7 *:A5= B7DE;EF7@57 ;E 3 =7K ;EEG7 ;@ F:7 3@3>KE;E. @ F:7 53E7 A8 7JA97@AGE. ;@F7D7EF D3F7 E:A5=E I7 :3H7 E77@ F:3F G@>7EE I7 G@D73>;EF;53>>K ;@5D73E7 F:7 4ADDAI7DE E:3D7 AD GE7  BD787D7@57E F:7D7 ;E @A ?G5: 6;T7D7@57 3F F:7 399D793F7 >7H7> 47FI77@ F:7 FIA ?ADF9397 5A@FD35FE  5:3@97 ;@ F:7 ;@F7D7EF D3F7 F:3F 6A7E @AF >3EF >A@9 5D73F7E 3@ ;@;F;3> I7697 47FI77@ F:7 D3F7E F:3F F:7 FIA 6;T7D7@F 4ADDAI7DE 8357 4GF ;F 8367E 3I3K H7DK 83EF AI7H7D I7 3>EA :3H7 FA F3=7 ;@FA 355AG@F F:7 7@6A97@AGE 5A?BA@7@F A8 ?A@7F3DK BA>;5K @F7D7EF D3F7E 3>EA D7EBA@6 FA AF:7D E:A5=E FA F:7 75A@A?K

(124) . @ >;@7 I;F: 6A>8EA@ 7F 3> 

(125).  AD 35AH;7>>A 3@6 %7D; 

(126).  *;@57 F:7 679D77 A8 3?B>;53F;A@ A8 ;@N3F;A@ E:A5=E ?3K 67B7@6 ;@ F:7 FKB7 A8 ?A@7F3DK DG>7 36ABF76 :3H7 D7B73F76 F:7 7J7D5;E7 3EEG?;@9 F:3F F:7 ;@F7D7EF D3F7 3>EA D7EBA@6E FA F:7 AGFBGF 93B I;F: 3 5A7S5;7@F A8  M@6 F:3F F:7 6K@3?;5E 3D7 H7DK E;?;>3D 3>F:AG9: F:7 3?B>;M53F;A@ ;@ F:7 6;T7D7@57E ;E E>;9:F>K EFDA@97D ;@ F:;E 53E7 AI7H7D 8AD 5A?B3D;EA@ I;F: F:7 D7EF A8 F:7 53E7E BD7E7@F F:7 D7EG>FE 8AD F:7 43E7>;@7 +3K>AD DG>7

(127) . BANCO DE ESPAÑA. 26. DOCUMENTO DE TRABAJO N.º 0903.

(128) Aggregate Output 0.5. 0. -0.5. % dev. steady state. -1. -1.5. -2. -2.5. -3. -3.5. -4. -4.5. fixed variable. 0. 1. 2. 3. 4 5 quarters. 6. 7. 8. 9. ;9GD7  99D793F7 &GFBGF )7EBA@E7 FA 3 $A@7F3DK 'A>;5K *:A5=  'D787D7@57E. @6 F:7 ?AD7 B7DE;EF7@F 3D7 F:7E7 AF:7D E:A5=E F:7 ?AD7 B7DE;EF7@F ;E F:7 D7EBA@E7 A8 ?A@7F3DK BA>;5K  B7DE;EF7@F 5:3@97 ;@ F:7 BA>;5K ;@F7D7EF D3F7 ?3=7E F:7 I7697 47FI77@ F:7 FIA ?ADF9397 D3F7E 3>EA B7DE;EF 3@6 ;F 3?B>;M7E F:7 6;T7D7@57E .:7@ F:7D7 ;E 3@ ;@N3F;A@ F3D97F E:A5= ;@F7D7EF D3F7E D7EBA@6 EKEF7?3F;53>>K FA F:7 E:A5= ;@ 3 H7DK B7DE;EF7@F I3K. @ B3DF;5G>3D 3@ ;@5D73E7 ;@ F:7 ;@N3F;A@ F3D97F E;@57 ;F ;E 3@ 7JB3@E;A@3DK ?73EGD7. ?3=7E ;@N3F;A@ 3@6 AGFBGF ;@5D73E7 +:7 @A?;@3> ;@F7D7EF D3F7 ;@5D73E7E B7DE;EF7@F>K 4GF D73> D3F7E 83>> AGE7 BD;57E ;@5D73E7 4K >7EE ;@ F:7 H3D;34>7D3F7 75A@A?K -3D;34>7D3F7 4ADDAI7DE ;@5D73E7 4K ?AD7 F:7;D @A@6GD34>7 5A@EG?BF;A@ 4753GE7 D73> D3F7E 83>> *;@57 :AGE7 BD;57E 6A @AF ;@5D73E7 F:3F ?G5: ;@ F:7 H3D;34>7D3F7 53E7 3>EA E3H7DE 53@ 5A@EG?7 ?AD7 @A@6GD34>7E @ F:7 399D793F7 F:7 5A?4;@3F;A@ A8 F:7E7 FIA 7>7?7@FE ?3=7E F:7 H3D;34>7D3F7 75A@A?K D7EBA@6 ?AD7 EFDA@9>K FA F:7 E:A5=. . (&+01.1*; +1&-.  E:A5= FA F75:@A>A9K ?3K 3>EA :3H7 6;T7D7@F 7T75FE A@ F:7 75A@A?K 67B7@6;@9 A@ I:7F:7D ;@6;H;6G3>E 3D7 ?3;@>K 4ADDAI;@9 3F H3D;34>7 AD MJ76 D3F7. ?BG>E7 D7EBA@E7E FA 3 B7D57@F BAE;F;H7 E:A5= FA. F75:@A>A9K I;F:  B7DE;EF7@57 3D7 E:AI76 ;@ ;9GD7 

(129)  .7 E77 F:3F F:7 75A@A?K D7EBA@6E ?AD7

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(131). . BANCO DE ESPAÑA. 27. DOCUMENTO DE TRABAJO N.º 0903.

(132) Cons. Borrowers. 0.5. 0. 0. 5. 10. 2 0. 0. quarters. 10. 0. 0. 10. 0. 10. 0. 0. 5. 0.2 0.1. 10. quarters. f ixed. 10. Inflation Target. 2. -2. 5 quarters. % dev. steady state. 0.5. quarters. 0.2. House Prices % dev. steady state. % dev. steady state. Inflation. 5. 5. 10. Interest Rate. -5 -10. 5. 0.4. quarters. 1. 0. 0. quarters. 0. quarters. 0. 0. 10. % dev. steady state. 0. 5. 10. Housing Savers % dev. steady state. % dev. steady state. Cons. Savers. 0. 5. 20. quarters. 0.5. -0.5. Housing Borr.. 4. % dev. steady state. % dev. steady state. % dev. steady state. Output 1. 0. 0. 5. 10. quarters. v ariable. ;9GD7  ?BG>E7 )7EBA@E7E FA 3@ @N3F;A@ +3D97F *:A5= 3E7>;@7 *B75;M53F;A@. EFDA@9>K 38F7D 3 F75:@A>A9K E:A5= I:7@ F:7 ?3<AD;FK A8 ;FE 4ADDAI7DE :3H7 3 MJ76D3F7 ?ADF9397 3@6 F:7 6;T7D7@57E 35DAEE E57@3D;AE 3D7 >3D97D F:3@ ;@ F:7 7JA97@AGE ?A@7F3DK BA>;5K 6;EFGD43@57 53E7

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(134)  )A4GEF@7EE 5:75=E 8AD F:7 +3K>AD DG>7 EB75;M53F;A@ :3H7 3>EA 477@ B7D8AD?76 ;@ F:;E 53E7  +3K>AD DG>7 F:3F 3>EA ;@5>G67E 3@ AGFBGF F7D? I;F: 3 5A7S5;7@F A8  67>;H7DE E;?;>3D D7EG>FE 8AD F:7 399D793F7 6;T7D7@57E 47FI77@ E57@3D;AE +:7 AGFBGF D7EBA@E7 :AI7H7D ;E :G?BRE:3B76. BANCO DE ESPAÑA. 28. DOCUMENTO DE TRABAJO N.º 0903.

(135) Cons. Borrowers. 0.5. 0. 0. 5. 10. 1 0. 0. 5. quarters. 10. 2. 0 -2. 0. quarters. quarters. 10. 10. -0.05. -0.1. 0. 5. 10. quarters. f ixed. 10. Technology. 0.5. 0. 5 quarters. 1. 0. 10. Interest Rate. % dev. steady state. -0.1. 5. 5. 5. 0. House Prices % dev. steady state. % dev. steady state. Inflation. 0. 0. quarters. 0. -0.2. -5. quarters. % dev. steady state. 0.5. 5. 0. Housing Savers % dev. steady state. % dev. steady state. Cons. Savers. 0. 10. 5. quarters. 1. 0. Housing Borr.. 2. % dev. steady state. % dev. steady state. % dev. steady state. Output 1. 2 1. 0. 0. 5. 10. quarters. v ariable. ;9GD7  ?BG>E7 )7EBA@E7E FA 3 +75:@A>A9K *:A5= 3E7>;@7 $A67>. A?B3D;@9 35DAEE E:A5=E ;F ;E ;@F7D7EF;@9 FA @AF7 F:3F ?A@7F3DK BA>;5K E:A5=E AD ;@N3F;A@ F3D97F E:A5=E 53GE7 F:7 D73> ;@F7D7EF D3F7 FA H3DK 5AG@F7D5K5>;53>>K I:;5: ;E I:K N7J;4>7D3F7 ?ADF9397E 3?B>;8K F:7 7T75FE F:AE7 E:A5=E +75:@A>A9K E:A5=E 4K 5A@FD3EF 53GE7 F:7 D73> ;@F7D7EF D3F7 FA H3DK BDA5K5>;53>>K ;F D;E7E I:7@ AGFBGF D;E7E I:;5: ;E I:K N7J;4>7D3F7 ?ADF9397E 63?B7@ F:7 7T75FE A8 F:AE7 E:A5=E. . (&10' 1/(065. +34>7

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(146).  3>EA M@6 E?3>>7D AGFBGF HA>3F;>;FK. BANCO DE ESPAÑA. 29. DOCUMENTO DE TRABAJO N.º 0903.

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(184) 14 12. Welfare. 10 Social Welfare. 8. Savers' Welfare. 6. Borrowers' Welfare. 4 2 0 0. 0.1. 0.2. 0.3. 0.4. 0.5. 0.6. 0.7. 0.8. 0.9. 1. Alpha. ;9GD7  .7>83D7 >7H7> 8AD 6;T7D7@F H3>G7E A8  6:A5 +3K>AD DG>7. 3@6 E3H7DE F:7 75A@A?K 35:;7H7E F:7 ?3J;?G? >7H7> A8 EA5;3> I7>83D7 3F 3DAG@6 F:7 H3>G7 A8     F:3F ;E I:7@  B7D57@F A8 F:7 ?ADF9397E 3D7 MJ76 D3F7 +:7@ ;@ F:;E 75A@A?K ;@ I:;5: F:7D7 3D7 FIA FKB7E A8 6;EFADF;A@E BD;57 D;9;6;F;7E 3@6 5D76;F 8D;5F;A@E MJ76D3F7 5A@FD35FE 3D7 I7>83D7 7@:3@5;@9 MDEF 4753GE7 F:7K 675D73E7 F:7 6;EFADF;@9 7T75FE A8 F:7 4ADDAI;@9 5A@EFD3;@F 3@6 E75A@6 4753GE7 4ADDAI7DE 6A @AF 473D F:7 D;E= 3EEA5;3F76 FA F:7 ;@F7D7EF D3F7 H3D;34;>;FK %7JF. EFG6K I:3F ;E F:7 ?A@7F3DK BA>;5K F:3F ?3J;?;L7E I7>83D7 +:7 67E;9@ A8 ABF;?3> ?A@7F3DK. BA>;5K ;@ F:7 BD7E7@57 A8 5A>>3F7D3> 5A@EFD3;@FE ;E ?AD7 5A?B>;53F76 F:3@ ;@ F:7 EF3@63D6 EF;5=KBD;57 E7FF;@9 E. ?7@F;A@76 F:7D7 3D7 FIA FKB7E A8 6;EFADF;A@E &@ F:7 A@7 :3@6 F:7 57@FD3> 43@= E:AG>6. 3;? 3F >AI7D;@9 ;@N3F;A@ HA>3F;>;FK 4753GE7 9;H7@ EF;5=K BD;57E ;@N3F;A@ 6;EFADFE BDA6G5F;A@ 675;E;A@E &@ F:7 AF:7D :3@6 ;@N3F;A@ D7>3J7E F:7 4ADDAI;@9 5A@EFD3;@FE 3@6 ;?BDAH7E F:7 4ADDAI7DEO I7>83D7 AI7H7D 3E @AF;576 34AH7 F:;E ;@N3F;A@ 5:3@@7> ;E ?G5: ?AD7 7T75F;H7 I:7@ MJ76D3F7 ?ADF9397E 3D7 BD76A?;@3@F +:7 >A9>;@73D;L76 5A>>3F7D3> 5A@EFD3;@F E:AIE F:3F ?ADF9397 B3K?7@FE 675D73E7 I;F: ;@N3F;A@ 4GF ;@5D73E7 I;F: F:7 ;@F7D7EF D3F7 @N3F;A@ D7>3J7E F:7 5A>>3F7D3> 5A@EFD3;@F 8AD 4ADDAI7DE 3E >A@9 3E F:7 ;@F7D7EF D3F7 6A7E @AF D735F FAA ?G5: FA ;F +:7D78AD7 F:7 ;@N3F;A@ 5:3@@7> 8AD 4ADDAI7D I7>83D7 ;E EFDA@97D F:7 >7EE F:7 57@FD3> 43@= D7EBA@6E FA ;@N3F;A@ 4GF 3>EA F:7 >AI7D F:7 H3>G7 A8  @ F:7 >;?;F 3@ 75A@A?K I;F: <GEF MJ76D3F7 ?ADF9397E ?3J;?;L7E F:7 83HAD34>7 7T75FE A8 ;@N3F;A@ A@ F:7 5A>>3F7D3> 5A@EFD3;@F $A@357>>; 

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(186).  B7D8AD? 3 8G>>4>AI@ ABF;?3> ?A@7F3DK BA>;5K. BANCO DE ESPAÑA. 32. DOCUMENTO DE TRABAJO N.º 0903.

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References

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