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- W2183601688 abstract "This paper aims to analyze the transmission of accommodative monetary policy to the overall economy through the risk-taking channel operating in the mortgage market. To achieve this aim, the analysis procedure undergoes two steps. Firstly, the empirical relationship between short-term interest rates and LTV ratio is estimated using the U.S. data to verify the existence of the risk-taking channel. Secondly, the estimated relationship is incorporated into a DSGE model featuring a borrowing constraint and housing to construct the virtual economy in which the channel takes effect to analyze the impacts of a monetary policy shock on it. The results of the analysis suggest that under a low interest rate environment, the effects of the risk-taking channel should be taken into account in monetary policy analysis as it amplifies the impacts of a monetary policy shock. Furthermore, there is a scope for policy authorities to smooth both real and financial volatilities by lowering a ceiling on LTV ratio to discourage excessive risk-taking. JEL Classification: E32, E42, E51, E52" @default.
- W2183601688 created "2016-06-24" @default.
- W2183601688 creator A5025711803 @default.
- W2183601688 date "2014-01-01" @default.
- W2183601688 modified "2023-09-27" @default.
- W2183601688 title "Monetary Policy Transmission via Risk-taking Channel in the Mortgage Market" @default.
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