Scandinavian Working Papers in Economics

Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)

No 351: The impact of monetary policy on household borrowing - a high-frequency IV identification

Maria Sandström ()
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Maria Sandström: Financial Stability Department, Central Bank of Sweden, Postal: Sveriges Riksbank, SE-103 37 Stockholm, 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.

Keywords: Monetary policy; Household credit; High-frequency identification; External instrument; Local projections

JEL-codes: C26; E51; E52; G14

45 pages, February 1, 2018

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