Household indebtedness and the effectiveness of monetary policy: evidence from the Eurozone

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• dc.contributor.author Frigerio, Lucía
• dc.contributor.author Magnífico, Luciano
• dc.date.accessioned 2024-11-19T14:08:08Z
• dc.date.available 2024-11-19T14:08:08Z
• dc.date.issued 2024-06-10
• dc.description Treball fi de màster de: Master's Degree in Specialized Economic Analysis: Macroeconomic Policy and Financial Markets Program. Curs 2023-2024ca
• dc.description Tutors: Hugo Rodríguez Mendizábal; Luis Rojasca
• dc.description.abstract This paper investigates the relationship between household indebtedness and the effectiveness of monetary policy among Euro Area countries. We follow a panel local projection approach, allowing for non-linearities and a high-frequency framework for identifying monetary shocks. Our findings indicate that elevated household debt, relative to its trend, amplifies the effects of monetary policy shocks on macroeconomic variables, highlighting a significant cash flow channel in high-debt scenarios. Additionally, we assess the influence of mortgage interest rate types on this relationship, finding that the proportion of adjustable-rate mortgages does not significantly affect the cash flow channel when analyzed alongside the credit gap.ca
• dc.description.abstract Este artículo investiga la relación entre el endeudamiento de los hogares y la efectividad de la política monetaria en la Eurozona. Utilizamos proyecciones locales en panel, admitiendo comportamientos no lineales y una identificación de shocks de alta frecuencia. Nuestros hallazgos indican que un elevado endeudamiento, respecto a su tendencia, amplifica los efectos macroeconómicos de shocks monetarios, señalizando un canal de flujo de efectivo significativo en dicho escenario. Además, evaluamos la influencia del tipo de tasa de interés en esta relación, no encontrando efectos significativos de la proporción de hipotecas de tasa variable cuando se analiza junto con la brecha crediticia.es
• dc.format.mimetype application/pdf*
• dc.identifier.uri http://hdl.handle.net/10230/68743
• dc.language.iso engca
• dc.rights This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licenseca
• dc.rights.accessRights info:eu-repo/semantics/openAccessca
• dc.rights.uri https://creativecommons.org/licenses/by-nc-nd/4.0ca
• dc.subject.keyword Monetary policyen
• dc.subject.keyword Household debten
• dc.subject.keyword High-frequency shock identificationen
• dc.subject.keyword Política monetariaes
• dc.subject.keyword Endeudamiento de los hogareses
• dc.subject.keyword Identificación de shocks en alta frecuenciaes
• dc.subject.other Treball de fi de màster – Curs 2023-2024ca
• dc.title Household indebtedness and the effectiveness of monetary policy: evidence from the Eurozoneca
• dc.type info:eu-repo/semantics/masterThesisca