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A U.S. financial conditions index : putting credit where credit is due /
This paper uses vector autoregressions and impulse-response functions to construct a U.S. financial conditions index (FCI). Credit availability--proxied by survey results on lending standards--is an important driver of the business cycle, accounting for over 20 percent of the typical contribution of...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund, Western Hemisphere Dept.,
2008.
©2008 |
| Colección: | IMF working paper ;
WP/08/161. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This paper uses vector autoregressions and impulse-response functions to construct a U.S. financial conditions index (FCI). Credit availability--proxied by survey results on lending standards--is an important driver of the business cycle, accounting for over 20 percent of the typical contribution of financial factors to growth. A net tightening in lending standards of 20 percentage points reduces economic activity by 3/4 percent after one year and 1 1/4 percent after two years. Much of the impact of monetary policy on the economy also works through its effects on credit supply, which is evidence supporting the existence of a credit channel of monetary policy. Shocks to corporate bond yields, equity prices, and real exchange rates also contribute to fluctuations in the FCI. This FCI is an accurate predictor of real GDP growth, anticipating turning points in activity with a lead time of six to nine months. |
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| Notas: | "June 2008." |
| Descripción Física: | 1 online resource (35 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 33-35). |
| ISBN: | 1451914725 9781451914726 |
| ISSN: | 2227-8885 ; |