spb/wp18_uqo

1\begin{table}[htbp]2\centering3\scriptsize4\caption{Unanticipated 10\% price-level surprise: impact effects by mortgage contract and persistence}5\label{tab:inflation}6\resizebox{\textwidth}{!}{%7\begin{tabular}{lccccccccccc}8\toprule9Scenario & Eq. & $p_0$ & $\rho_0$ & $\Delta$own & $\Delta$own PE & erosion & dep.\ loss & CEV o/m & CEV r & CEV all & CEV PE \\10\midrule11FRM, level surprise & GE$^{\dagger}$ & \ensuremath{-}0.45 & \ensuremath{-}1.14 & \ensuremath{-}0.02 & \ensuremath{-}0.20 & 0.206 & 0.481 & 0.63 & \ensuremath{-}1.00 & \ensuremath{-}0.64 & \ensuremath{-}0.68 \\125-year term, level & GE & \ensuremath{-}0.47 & \ensuremath{-}1.03 & \ensuremath{-}0.02 & \ensuremath{-}0.20 & 0.206 & 0.481 & 0.63 & \ensuremath{-}1.00 & \ensuremath{-}0.64 & \ensuremath{-}0.68 \\13ARM, level & GE & \ensuremath{-}0.79 & \ensuremath{-}1.15 & \ensuremath{-}0.11 & \ensuremath{-}0.47 & 0.000 & 0.481 & \ensuremath{-}1.03 & \ensuremath{-}0.96 & \ensuremath{-}1.14 & \ensuremath{-}1.19 \\14FRM, persistent (2 periods) & GE & \ensuremath{-}1.88 & \ensuremath{-}0.38 & \ensuremath{-}0.18 & \ensuremath{-}2.17 & 0.206 & 0.481 & 1.14 & \ensuremath{-}1.06 & \ensuremath{-}0.52 & \ensuremath{-}0.53 \\155-year term, persistent & GE & \ensuremath{-}1.49 & 0.04 & \ensuremath{-}0.34 & \ensuremath{-}2.03 & 0.206 & 0.481 & 0.46 & \ensuremath{-}1.09 & \ensuremath{-}0.74 & \ensuremath{-}0.73 \\16ARM, persistent & GE & \ensuremath{-}1.86 & \ensuremath{-}0.18 & \ensuremath{-}0.39 & \ensuremath{-}2.34 & 0.000 & 0.481 & \ensuremath{-}1.21 & \ensuremath{-}1.04 & \ensuremath{-}1.24 & \ensuremath{-}1.24 \\17FRM, level, rigid rents ($\eta_\rho=0$) & GE & \ensuremath{-}0.46 & 7.48 & \ensuremath{-}0.03 & \ensuremath{-}2.88 & 0.206 & 0.481 & 0.55 & \ensuremath{-}0.92 & \ensuremath{-}0.62 & \ensuremath{-}0.35 \\18FRM, level, unindexed wages ($\eta_w=0$) & GE$^{\dagger}$ & \ensuremath{-}3.86 & \ensuremath{-}3.21 & \ensuremath{-}0.63 & \ensuremath{-}3.18 & 0.206 & 0.481 & \ensuremath{-}2.40 & \ensuremath{-}3.58 & \ensuremath{-}3.33 & \ensuremath{-}3.45 \\19FRM, persistent, real-rate response & GE & \ensuremath{-}7.25 & \ensuremath{-}2.29 & \ensuremath{-}0.12 & \ensuremath{-}2.64 & 0.206 & 0.481 & 1.43 & \ensuremath{-}0.31 & 0.14 & \ensuremath{-}1.32 \\205-year term, persistent, real-rate response & GE & \ensuremath{-}6.93 & \ensuremath{-}1.91 & \ensuremath{-}0.26 & \ensuremath{-}2.94 & 0.206 & 0.481 & 0.20 & \ensuremath{-}0.32 & \ensuremath{-}0.25 & \ensuremath{-}1.67 \\21FRM, level, $\varepsilon=0.05$ & GE$^{\dagger}$ & \ensuremath{-}0.50 & \ensuremath{-}1.08 & \ensuremath{-}0.01 & \ensuremath{-}0.19 & 0.206 & 0.481 & 0.63 & \ensuremath{-}0.99 & \ensuremath{-}0.64 & \ensuremath{-}0.68 \\22FRM, level, no segmentation & GE & \ensuremath{-}0.39 & \ensuremath{-}1.47 & \ensuremath{-}0.16 & \ensuremath{-}0.20 & 0.206 & 0.481 & 0.66 & \ensuremath{-}0.95 & \ensuremath{-}0.60 & \ensuremath{-}0.68 \\23FRM, level, static expectations (A6) & A6 & \ensuremath{-}0.36 & \ensuremath{-}1.11 & 0.02 & \ensuremath{-}0.20 & 0.206 & 0.481 & 0.65 & \ensuremath{-}1.01 & \ensuremath{-}0.64 & \ensuremath{-}0.68 \\24\bottomrule25\end{tabular}}26\begin{minipage}{\textwidth}\footnotesize\vspace{2pt}27Perfect-foresight transitions (GE: prices clear every period; $^{\dagger}$ = not converged to the $1.5\times10^{-3}$ per-period tolerance (stalled at the Monte-Carlo noise floor; maximum residual in results/data/inflation/name.json); A6 = static expectations, stationary continuation values). Columns: real house price on impact (\%; the impact is also the peak deviation in every run), real rent on impact (\%), change of the ownership rate on impact (pp) in GE and with prices fixed (PE), aggregate real debt erosion and real deposit loss per unit mass of one age (the lender's revaluation is their difference with the opposite sign), consumption-equivalent welfare of households alive at the shock (owners with a mortgage, renters, all; \%), and the all-household CEV with prices fixed. Level surprise: CPI 10\% above expectation in the shock period, inflation back to target afterwards; persistent: two periods. Source: results/data/inflation/*.json and *\_welfare.csv.28\end{minipage}29\end{table}30