06511oam 22012974 450 991096112050332120250426110723.0978661284112597814623436901462343694978145272284914527228469781451870190145187019197812828411231282841122(CKB)3170000000055061(EBL)1607934(SSID)ssj0000943958(PQKBManifestationID)11505877(PQKBTitleCode)TC0000943958(PQKBWorkID)10982805(PQKB)11299459(OCoLC)763099184(MiAaPQ)EBC1607934(IMF)WPIEE2008161(IMF)WPIEA2008161WPIEA2008161(EXLCZ)99317000000005506120020129d2008 uf 0engur|n|---|||||txtccrA U.S. Financial Conditions Index : Putting Credit Where Credit is Due /Andrew Swiston1st ed.Washington, D.C. :International Monetary Fund,2008.1 online resource (37 p.)IMF Working PapersIMF working paper ;WP/08/161Description based upon print version of record.9781451914726 1451914725 Includes bibliographical references.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 SpreadIII. 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 FCIE. 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; ReferencesThis 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 ¾ percent after one year and 1¼ 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. 15B.IMF Working Papers; Working Paper ;No. 2008/161LoansUnited StatesEconometric modelsCreditUnited StatesEconometric modelsBank creditimfBanks and BankingimfCreditimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometrics & economic statisticsimfEconometricsimfFinanceimfFinancial InstrumentsimfInstitutional InvestorsimfInterest ratesimfInterest Rates: Determination, Term Structure, and EffectsimfInvestment & securitiesimfInvestments: StocksimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfNon-bank Financial InstitutionsimfPension FundsimfShort term interest ratesimfStocksimfTime-Series ModelsimfVector autoregressionimfUnited StatesEconomic conditionsEconometric modelsUnited StatesimfLoansEconometric models.CreditEconometric models.Bank creditBanks and BankingCreditDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometrics & economic statisticsEconometricsFinanceFinancial InstrumentsInstitutional InvestorsInterest ratesInterest Rates: Determination, Term Structure, and EffectsInvestment & securitiesInvestments: StocksMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyNon-bank Financial InstitutionsPension FundsShort term interest ratesStocksTime-Series ModelsVector autoregression354.2799273Swiston Andrew1815877DcWaIMFBOOK9910961120503321A U.S. Financial Conditions Index4371702UNINA