قیمت مسکن ، مصرف و سیاست های پولی: یک رویکرد شتاب دهنده مالی

We consider a general equilibrium model with frictions in credit markets used by households. In our economy, houses provide housing services to consumers and serve as collateral to lower borrowing cost. We show that this amplifies and propagates the effect of monetary policy shocks on housing investment, house prices and consumption. We also consider the effect of a structural change in credit markets that lowers the transaction costs of additional borrowing against housing equity. We show that such a change would increase the effect of monetary policy shocks on consumption, but would decrease the effect on house prices and housing investment.

House prices in the United Kingdom, and more recently in the United States, have received a great deal of attention from policy-makers and economic commentators. It is often assumed that if house prices are growing rapidly, consumption growth will be strong too. Recent minutes of the Monetary Policy Committee meetings in the United Kingdom stated: ‘… the continuing strength in house prices would tend to underpin consumption …’ (April 2001). Similarly, the Fed Chairman Alan Greenspan stated ‘And thus far this year, consumer spending has indeed risen further, presumably assisted in part by a continued rapid growth in the market value of homes’ (Greenspan, 2001). The question that we address in this paper is: what impact do house prices have on consumption via their role as collateral for household borrowing? In 2001, the value of the housing represented more than 40% of total UK household wealth. While in principle any asset could be used as collateral, housing is by far the easiest asset to borrow against. Indeed, 80% of all household borrowing in the UK is secured on housing. To further justify our focus on housing as distinct from other assets, it is useful to consider why houses are different. Most consumers live in the houses they own and value directly the services provided by their home. So the benefit of an increase in house prices is directly offset by an increase in the opportunity cost of housing services. An increase in house prices does not generally shift the aggregate budget constraint outwards. Even if one considers finitely-lived households, the capital gain to a last-time seller of a house represents a redistribution away from a first-time buyer, so house price changes can redistribute wealth, but not increase it in aggregate. This contrasts with financial assets: an increase in, say, the value of future dividends on equities due to an increase in productivity shifts the aggregate budget constraint out and can therefore lead to an increase in aggregate consumption. So it is not obvious that there is a traditional ‘wealth effect’ from housing in the way that we think of a wealth effect arising from a change in the value of households' financial assets. There are many reasons why house prices and consumption may move together. If consumers are optimistic about economic prospects, they are likely to increase their consumption of housing and non-housing goods alike. House prices are also correlated with the volume of housing transactions (e.g. see Stein, 1995). In turn, transactions seem to be correlated with consumption as people buy goods that are complimentary to housing, such as furniture, carpets and major appliances. House prices also affect the economy because, in the case in the United Kingdom, they enter directly into the retail price index via housing depreciation, which depends on the level of house prices. The focus of this paper is that house prices may also have a direct impact on consumption via credit market effects. Houses represent collateral for homeowners, and borrowing on a secured basis against ample housing collateral is generally cheaper than borrowing against little collateral or borrowing on an unsecured basis (via a personal loan or credit card). So an increase in house prices makes more collateral available to homeowners, which in turn may encourage them to borrow more, in the form of mortgage equity withdrawal (MEW), to finance desired levels of consumption and housing investment. The increase in house prices may be caused by a variety of shocks, including an unanticipated reduction in real interest rates, which will lower the rate at which future housing services are discounted. In examining the link between house prices and consumption, we believe that credit frictions in the consumption/house purchase decision are important, and they play an important role in our analysis. Our motivation is based on three observations for the United Kingdom: (i) House prices are strongly cyclical, which leads to substantial variation in households' collateral position (or loan to value ratio, or net worth) over the business cycle; (ii) The amount of secured borrowing to finance consumption is closely related to this collateral position; (iii) The spread of mortgage rates over the risk-free interest rate varies with the collateral position of each household. Unsecured borrowing rates, which are the marginal source of finance once collateral has been exhausted, are much higher than mortgage rates. These facts suggest credit frictions may be important in understanding the relationship between interest rates, house prices, housing investment and consumption. There are several empirical studies that support the importance of a credit channel in housing investment and consumption decisions. Muellbauer and Murphy, 1993, Muellbauer and Murphy, 1995 and Muellbauer and Murphy, 1997 have argued that when consumers are borrowing constrained, changes in housing values can change the borrowing opportunities of consumers via a collateral effect. They find significant effects of households' access to credit on consumption and on housing investment in UK aggregate and regional data. Lamont and Stein (1999) find in US regional data that households with weak balance sheets adjust their housing demand more strongly in the face of income shocks, which they interpret as consistent with a strong role for borrowing constraints. Iacoviello and Minetti (2003) find evidence for several European countries, including the United Kingdom, that households' aggregate borrowing costs vary with aggregate balance sheet strength. We therefore propose a general equilibrium model, based on the financial accelerator model of Bernanke et al. (1999) (BGG hereafter), that describes how this credit market channel may form part of the monetary transmission mechanism. The model focuses on the macroeconomic effects of imperfections in credit markets. Such imperfections generate premia on the external cost of raising funds, which in turn affect borrowing decisions. Within this framework, endogenous developments in credit markets—such as variations in net worth or collateral—work to amplify and propagate shocks to the macroeconomy. A positive shock to economic activity causes a rise in housing demand, which leads to a rise in house prices and so an increase in homeowners' net worth. This decreases the external finance premium, which leads to a further rise in housing demand and also spills over into consumption demand. We also consider the implications for monetary policy of recent structural changes in the United Kingdom's retail financial markets: following deregulation in the mortgage market, it became easier and cheaper for consumers to borrow against housing collateral to finance consumption. We show that cheaper access to home equity means that, for a given house price increase, more additional borrowing will be devoted to consumption relative to housing investment. The response of consumption to an unanticipated change in interest rates will therefore be larger, and the response of house prices and housing investment will be smaller. This has important implications for the information content of house prices, because it implies that, even for similar economic shocks, the relationship between house prices and consumption is changing over time. The paper is organized as follows. Section 2 present some stylized facts and institutional features on the UK housing market. Sections 3 and 4 describe the model in detail. Section 5 presents simulated results for several scenarios of interest. Section 6 concludes.

In this paper we have presented a general equilibrium model, based on the financial accelerator model of Bernanke et al. (1999) that describes how this credit channel may form part of the monetary transmission mechanism. The model focuses on the macroeconomic effects of imperfections in credit markets. Such imperfections generate premia on the external cost of raising funds, which in turn affect borrowing decisions. Within this framework, endogenous developments in credit markets—such as variations in net worth or collateral—work to amplify and propagate shocks to the macroeconomy. A positive shock to economic activity causes a rise in housing demand, which leads to a rise in house prices and so an increase in homeowners' net worth. This decreases the external finance premium, which leads to a further rise in housing demand and also spills over into consumption demand. We also consider the implications for monetary policy of structural changes in the United Kingdom's retail financial markets: following deregulation in the mortgage market, it became easier and cheaper for consumers to borrow against housing collateral to finance consumption. We show that cheaper access to home equity means that, for a given house price increase, more borrowing will be devoted to consumption relative to housing investment. The response of consumption to an unanticipated change in interest rates will therefore be larger, and the response of house prices and housing investment will be smaller. In other words, whether the financial accelerator has most of its effect on house prices or consumption depends on the degree of deregulation: in a highly deregulated mortgage market, the effect on house prices will be muted, but the effect on consumption will be amplified. Our work suggests therefore that empirical models that contain house prices and consumption may have unstable coefficients, even if fundamental shocks (e.g. productivity, government spending and monetary policy shocks) are correctly identified. A given change in house prices is likely to be associated with a larger change in consumption in the post-deregulation period.