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The impact of monetary policy on household borrowing - a high-frequency IV identification

Author

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  • Sandström, Maria

    (Financial Stability Department, Central Bank of Sweden)

Abstract

This paper combines identication of monetary policy shocks from high-frequency financial market data with local projections IV to study the effects of monetary policy on household borrowing using Swedish data. The results are uncertain but indicate that the stock of household loans is 1.6 percent lower two years after a 1 percentage point shock to the repo rate. This is a relatively modest effect considering that the stock of household loans on average grew by 7.8 percent per year over this period.

Suggested Citation

  • Sandström, Maria, 2018. "The impact of monetary policy on household borrowing - a high-frequency IV identification," Working Paper Series 351, Sveriges Riksbank (Central Bank of Sweden).
    • Handle: RePEc:hhs:rbnkwp:0351
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    References listed on IDEAS

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    Cited by:

    1. Sigal Ribon, 2023. "Differential Effects of Monetary Policy on Household Consumption: The Case of Israel," Israel Economic Review, Bank of Israel, vol. 21(1), pages 35-73, March.

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    More about this item

    Keywords

    Monetary policy; Household credit; High-frequency identification; External instrument; Local projections;
    All these keywords.

    JEL classification:

    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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