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The effects of the Fed’s monetary tightening campaign on nonbank mortgage lending

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  • Evans, Jocelyn D.
  • Robertson, Mari L.

Abstract

We examine the response of mortgage credit volumes to the Fed’s planned monetary tightening campaign of continued policy rate increases and slowed future purchases of agency securitized mortgages. A shadow policy rate measures unconventional policy tools used at the zero lower bound. After the Great Recession, our results from a time-varying parameter factor-augmented VAR model show that a policy rate increase identified with sign restrictions shifts mortgage lending from banks to less regulated nonbanks. More mortgage funding comes from increased issuance of agency rather than private-label securitized mortgages.

Suggested Citation

  • Evans, Jocelyn D. & Robertson, Mari L., 2018. "The effects of the Fed’s monetary tightening campaign on nonbank mortgage lending," Economics Letters, Elsevier, vol. 171(C), pages 164-168.
    • Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:164-168
    DOI: 10.1016/j.econlet.2018.07.017
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    References listed on IDEAS

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    Cited by:

    1. Shodipe Oladimeji T. & Shobande Olatunji Abdul, 2021. "Monetary Policy Dynamics in the United States," Open Economics, De Gruyter, vol. 4(1), pages 14-30, January.

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    More about this item

    Keywords

    Monetary policy; Mortgage lending; GSEs; Securitized mortgages; TVP-FAVAR;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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