Title page
Contents
Abstract 2
1. Introduction 3
1.1. Related Literature 9
2. Data 11
2.1. Monetary Policy Shocks 13
3. Monetary policy shocks and mortgage interest rates 15
4. Estimating the effect of a monetary policy shock on payments 16
5. Evaluating the channels 17
5.1. A simple calculation of monetary policy pass-through via inframarginal borrowers 18
5.2. Estimating the effect of a monetary policy shock on refinances and home purchase loans 19
5.3. Estimating the effect of a monetary policy shock on ARM payments 21
5.4. Estimating the effect of a monetary policy shock on loan size 23
6. State dependence 24
7. Conclusion 25
8. Bibliography 26
Internet Appendix 35
Figure 1. Average Monthly Mortgage Payment and Prime Mortgage Rate, by Quarter 30
Figure 2. Effect of Monetary Policy Shocks on Mortgage Rates, by Week 31
Figure 3. Effect of Monetary Policy Shocks on Mortgage Payments and Refinances 32
Figure 4. Effect of Monetary Policy Shocks on Purchase Originations and Loan Amounts 33
Figure 5. Total Originations Over the Next Three Years 34
Figure A.1. Effect of Lewis (2023) Monetary Policy Shocks on Mortgage Rates, by Week 41
Figure A.2. Effect of Lewis (2023) Monetary Policy Shocks on Mortgage Payments and Refinances 42
Figure A.3. Effect of Lewis (2023) Monetary Policy Shocks on Purchase Originations and Loan Amounts 43
Figure A.4. Average Monthly Mortgage Payment in the CCP and CEX, by Quarter 44
Figure A.5. Effect of Monetary Policy Shocks on Mortgage Payments in CEX 45