1
“Interest Rate Pass-Through: Mortgage Rates, Household Consumption, and Voluntary Deleveraging”
Marco Di Maggio, Amir Kermani, Benjamin J. Keys, Tomasz Piskorski, Rodney Ramcharan, Amit Seru, Vincent Yao
Online Appendix
2
A1: Distribution of Changes in the Monthly Mortgage Payments at the ARM Reset Date
This figure shows the distribution of average change in the monthly payment in dollars at the time of the interest rate adjustment for our sample of non-agency
borrowers with 5-year ARMs with an interest-only period of 10 years and a reset date 60 months after origination. Negative values signify the drop in monthly
payments at the time of the reset.
3
A2: Borrowers’ Auto Loan Balances and Construction of New Car Consumption Measure
We plot the monthly auto balance in dollars and the new car consumption measure in the figures below. The left panel is an example of an individual who
purchased her car before January 2006 and did not purchase any car until July 2012. The borrower in the right panel purchased two cars during the period. We
assume that the value of the net new car spending (our new car consumption measure) to be equal to the change in the auto loan balance at the time of purchase.
4
A3: Total New Auto Sales and Auto Sales Financed by Auto Debt
This figure shows the total new car sales and new car sales financed by auto loans (in 1000s of units) as provided by R. L. Polk & Company.
5
A4: Additional Evidence on External Validity
The table reports descriptive statistics for the main variables employed in our analysis, but for different types of mortgages as provided by Lender
Processing Services. This dataset covers about 64% of the origination count reported under the Home Mortgage Disclosure Act (HMDA) over the period
2005–07. We first report the statistics for the whole sample at origination, and then we focus on two different subsamples comprising of fixed-rate mortgages
and adjustable-rate mortgages (ARMs). We only consider mortgages for owner-occupied houses.
Observations Mean St. Dev.
Mortgages Originated between 2005 and 2008
FICO 15,520,963 703.7 68.5
Interest Rate 19,104,660 6.27 1.23
Loan-to-Value Ratio 18,452,315 74.53 17.51
Mortgage Size 19,106,272 239,043 202,721
Average Monthly Payment 17,300,637 1,654 1,514
Fixed-Rate Mortgages (FRMs) Originated between 2005 and 2007
FICO 10,754,081 705.1 68.6
Interest Rate at Origination 13,263,190 6.30 0.89
Loan-to-Value Ratio 12,729,960 74.23 19.05
Mortgage Size 13,264,696 196,125 139,312
Initial Monthly Payment 11,812,181 1,485 1,258
Adjustable-Rate Mortgages (ARMs) Originated between 2005 and 2007
FICO 2,039,025 687.9 73.2
Interest Rate at Origination 2,521,322 6.06 2.35
Loan-to-Value Ratio 2,441,813 76.06 13.77
Mortgage Size 2,521,297 312,466 271,243
Initial Monthly Payment 2,426,317 1,765 1,770