抵押贷款再融资与边际消费倾向

Mortgage refinancing and the Simone Pesce, Liang Zhang Abstract This paper investigates the role of mortgage refinancing in shaping the estimates ofmarginal propensity to consume (MPC) and its implications for fiscal policy.Using U.S.household data, we find that MPCs decrease during the year of mortgage refinancing andstabilize afterwards, particularly among households with lower liquid assets, higher debt-to-income ratios, and valuable illiquid assets.The empirical evidence suggests that refi-nancing provides extra liquidity, reducing MPCs.We leverage on a partial equilibrium JEL Codes:E21, E62, G21, G51, H31Keywords:Mortgage Refinance, Households Heterogeneity, Marginal Propensity to Con- Non-technical Summary We study how mortgage refinancing influences household consumption behavior, focusing onthe marginal propensity to consume (MPC) and its implications for fiscal policy.Mortgagerefinancing enables households to convert illiquid housing wealth into liquid assets, offering Using microdata from the Panel Study of Income Dynamics (PSID) covering U.S. house-holds from 1999 to 2021, we estimate MPCs in response to transitory income shocks, condi-tioning on the timing of refinancing. Our methodology employs a two-stage instrumental vari-able approach based on Blundell et al. (2008). We unveil that refinancing significantly reduces To link these findings to fiscal policy design, we replicate the results of Chen et al. (2020)using U.S. mortgage data from Fannie Mae. We demonstrate that aggregate refinancing activity To evaluate the implications for policy, we employ a life-cycle model incorporating housing,refinancing decisions, and income risk, following Boar et al. (2022). Through several ad-hocscenarios with exogenous shocks, we analyze the effectiveness of targeted fiscal transfers. Our 1Introduction A growing body of research highlights the importance of household balance sheet compositionfor the transmission of macroeconomic policies. Within the framework of heterogeneous agentmodels, differences in asset holdings across liquidity categories generate substantial dispersionin the marginal propensity to consume (MPC) across households (Kaplan et al., 2018; Auclertet al., 2024), shaping the effectiveness of both monetary and fiscal policies. In the United States,mortgage debt and housing equity account for approximately 80% of homeowners’ wealth, This paper investigates how mortgage refinancing affects the MPC and explores its implica-tions for fiscal policy, particularly in the context of cash transfers. While previous studies havefocused on cross-sectional variation in MPCs, the dynamic effects of mortgage refinancing on We make two key contributions.Empirically, we leverage on U.S. household-level datafrom the Panel Study of Income Dynamics (PSID) and apply the methodology developed by Blundell et al. (2008) to estimate MPCs conditional on refinancing timing. Our results reveala significant reduction in the MPC in the year of refinancing, which remains stable at lower an alternative liquidity channel for consumption smoothing.While prior studies argue thatliquidity-constrained households exhibit high MPCs, our findings suggest a more nuancedinterpretation: W-HtM households face liquidity constraints but have access to additional liq- uidity via home equity extraction, unlike poor hand-to-mouth households.The anticipated Motivated by these findings, we develop a partial equilibrium life-cycle model based on Boar et al. (2022), incorporating uninsurable idiosyncratic income risk, housing, and mortgagechoices. The model quantitatively evaluates the role of mortgage refinancing in fiscal policytransmission.Our analysis demonstrates that MPCs out of cash transfers vary significantlydepending on refinancing timing, consistent with our empirical evidence. We also examine theimplications of the COVID-19 pandemic, which featured both a surge in refinancing activity Related LiteratureOur paper contributes to three strands of literature. First, several workshave focused on the role of monetary policy in shaping incentives for households to refinanceand smooth consumption. For example, Wong (2021) finds that younger households that re- reductions in mortgage payments driven by resets of adjustable-rates increases households’consumption, with poor homeowners having higher MPCs.Our paper contributes to these Second, our paper relates to the extensive recent literature on heterogenous agents andthe role of incomplete markets in determining the distribution of MPCs, mainly attributed tothe category of hand-to-mouth households that display low liquid assets holdings and thushigh consumption sensitivity to income changes. Several recent studies have highlighted thetransmission mechanism of monetary policy (Kaplan et al., 2018), fiscal policy (Kaplan and Vi-olante, 2014; Auclert et al., 2024) and estimates of intertemporal MPC (Fagereng et al., 2021;Auclert et al., 2024). Furthermore, Kaplan and Viola