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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Swiston, A. (Andrew James) (Author)
Corporate Author: International Monetary Fund. Western Hemisphere Department
Format: Electronic eBook
Language:Inglés
Published: Washington, D.C. : International Monetary Fund, Western Hemisphere Dept., 2008.
©2008
Series:IMF working paper ; WP/08/161.
Subjects:
Loans > United States > Econometric models.
Credit > United States > Econometric models.
Prêts > États-Unis > Modèles économétriques.
Crédit > États-Unis > Modèles économétriques.
Credit > Econometric models
Economic history
Loans > Econometric models
Finanzmarkt.
Kreditwürdigkeit.
USA.
United States > Economic conditions > Econometric models.
États-Unis > Conditions économiques > Modèles économétriques.
United States
Online Access:Texto completo
Table of Contents:
  • I. Introduction and Literature Review; II. Building a Better Financial Conditions Index; A. Why VAR and IRF?; B. Whose Lending? Which Standards?; Figures; 1. Lending Standards and GDP Growth; Tables; 1. Lending Standards and Real Activity: Correlations; 2. Lending Standards and Financial Variables: Correlations; 2. Response of GDP to Lending Standards; C. Which Other Variables Enter the Mix?; 3. Response of GDP to Risk-Free Interest Rates; 4. Response of GDP to Default Risk and Volatility; 5. Response of GDP to Asset Prices; 6. Lending Standards and the High Yield Spread.
  • III. Financial Conditions and GrowthA. What are the Guts of the FCI?; B. Which Financial Conditions Matter?; 7. Response of GDP to Financial Shocks; 8. Response of Financial Conditions to Lending Standards; C. What Role for Credit Aggregates?; 9. Credit Availability and the Impact of Monetary Policy on Growth; 10. Response of GDP to Credit Aggregates; D. What is the FCI's Contribution to Growth?; 3. Financial Conditions and Real Activity: Correlations and Variance Decompositions; 11. Financial Conditions Index; 12. Financial Shocks and Contributions to the FCI.
  • E. Where Do Financial Conditions Hit Hardest?13. Individual Contributions to the FCI; 14. Response of Components of Demand to Financial Shocks; F. Can the FCI See Into the Future?; 15. Leading Financial Conditions Index; IV. Conclusions; References.

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