This paper investigates the interrelation between household balance sheets, collateral constraints, and monetary policy. Using data on the U.S. economy, we estimate a monetary DSGE model with financial frictions and occasionally binding borrowing constraints. The model implies stronger effects of monetary policy interventions when the borrowing constraint is binding compared to situations when it turns slack. In a prediction analysis we find that, out of a set of alternative plausible endogenous model variables, the level of household net worth is the single best predictor of the tightness of the borrowing constraint, which implies that monetary policy is more effective when household net worth is low. We test this model prediction in the data and provide robust empirical evidence on asymmetric effects of monetary policy across the household net worth cycle that validates the model predictions. A contractionary monetary policy shock leads to a large and significant fall in economic activity during periods of low household net worth. In contrast, monetary policy shocks have only small and mostly insignificant effects when net worth is high.

本文研究了家庭资产负债表、抵押品约束和货币政策之间的相互关系。使用美国经济数据，我们估计了一个存在金融摩擦和偶尔具有约束力的借贷约束的货币 DSGE 模型。该模型暗示，当借贷约束具有约束力时，货币政策干预的效果要强于借贷约束变得松弛时的情况。在预测分析中，我们发现，在一组替代的似是而非的内生模型变量中，家庭净资产水平是借贷约束紧缩程度的唯一最佳预测指标，这意味着当家庭净资产低。我们在数据中测试了这个模型的预测，并提供了关于货币政策在整个家庭净资产周期中的不对称效应的有力经验证据，从而验证了模型的预测。在家庭净资产较低的时期，紧缩性货币政策冲击会导致经济活动大幅下降。相比之下，当净资产较高时，货币政策冲击只会产生很小且几乎不显着的影响。