欧元区可调利率抵押贷款的货币政策传导（英）

Monetary PolicyTransmission ThroughAdjustable-RateMortgages in the EuroArea Giovanni Sciacovelli WP/25/257 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025DEC IMF Working PaperResearchDepartment Monetary Policy Transmission Through Adjustable-Rate Mortgages in the Euro AreaPrepared byGiovanni Sciacovelli* Authorized for distribution by Maria Soledad Martinez PeriaDecember2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:This paper studies the role of adjustable-rate mortgages (ARMs) in monetary policy transmissionwithin the Euro Area. Conventional wisdom holds that ARMs are relevantper se. This study finds that thepresence of liquidity-constrained households strongly influences their impact. Using Euro Area survey data, Idocument that transmission is stronger in countries that exhibit both high ARM shares and sizable shares ofliquidity-constrained households. To interpret this finding, I develop a heterogeneous-agentmodel featuring: (i)heterogeneity in marginal propensities to consume (MPCs), (ii) agents making both housing and mortgagechoices, and (iii) a fraction of households with ARMs. In the model, MPCs determine the extent to which changesin mortgage paymentstranslate into changes in consumption, making ARMs an important transmission vehicleonly when paired with high MPCs. These results highlight that accounting for household heterogeneity in MPCsis essential to assess the strength of transmission through ARMs. Monetary Policy TransmissionThrough Adjustable-RateMortgages in the Euro Area Prepared byGiovanni Sciacovelli 1Introduction The transmission of monetary policy varies considerably across Euro Area economies(Calza, Monacelli and Stracca, 2013; Slacalek, Tristani and Violante, 2020; Corsetti, Duarteand Mann, 2022; Lenza and Slacalek, 2024). Spanish consumption, for instance, is threetimes more responsive to monetary policy shocks than German consumption. The dispar-ity is even more pronounced between Ireland and France, where Irish consumption reactsup to ten times more than French consumption.1These differences pose a challenge to theEuropean Central Bank, as the effects of its policy measures differ widely among memberstates. To address these challenges effectively, it is critical to understand the underlyingreasons driving this heterogeneity. This paper studies the transmission of monetary policy through mortgages in theEuro Area, focusing on the role played by the share of adjustable-rate mortgages (ARMs).Mortgages are a crucial component of household balance sheets, accounting for approx-imately 75% of total household debt in the Euro Area.2Moreover, ARMs account forapproximately 48% of total mortgages in the Euro Area, making mortgage interest pay-ments very sensitive to changes in monetary policy.3Consequently, differences in mort-gage characteristics across Euro Area economies are likely to play an important role inshaping the observed heterogeneity in transmission. The existing literature has explored how variations in the prevalence of ARMs influ-ence monetary pass-through, emphasizing that higher ARM shares lead to stronger trans-mission in the Euro Area (Calza, Monacelli and Stracca, 2013; Pica, 2021; Corsetti, Duarteand Mann, 2022).This paper makes two contributions.First, I empirically documentthat the presence of liquidity-constrained households strongly influences the strengthof transmission through ARMs.Using Euro Area survey data, I show that ARMs areimportant for transmission primarily when matched with a high fraction of liquidity-constrained households. Second, I develop a quantitative heterogeneous-agent model torationalize this finding.In the model, a larger fraction of liquidity-constrained house-holds implies a higher marginal propensity to consume (MPC) in the economy. After arecessionary monetary policy shock, households with ARMs experience increased mort- gage payments. The impact that these payments have on consumption critically dependson the MPC of the affected households, with higher MPC households adjusting their con-sumption more sharply. As a result, ARMs substantially amplify monetary transmissiononly when paired with high marginal propensities to consume (MPCs), consistent withthe empirical evidence. By calibrating the model to Euro Area economies, I find that itcaptures 46% of the observed differences in transmission across these countries. In the first part of the paper, I analyze the empirical relationship between the strengthof monetary pass-through and t