LEADER 06312oam 22012134 450 001 9910818878103321 005 20240402050338.0 010 $a1-4623-4369-4 010 $a1-4527-2284-6 010 $a1-4518-7019-1 010 $a9786612841125 010 $a1-282-84112-2 035 $a(CKB)3170000000055061 035 $a(EBL)1607934 035 $a(SSID)ssj0000943958 035 $a(PQKBManifestationID)11505877 035 $a(PQKBTitleCode)TC0000943958 035 $a(PQKBWorkID)10982805 035 $a(PQKB)11299459 035 $a(OCoLC)763099184 035 $a(MiAaPQ)EBC1607934 035 $a(IMF)WPIEE2008161 035 $a(EXLCZ)993170000000055061 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 12$aA U.S. Financial Conditions Index : $ePutting Credit Where Credit is Due /$fAndrew Swiston 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 215 $a1 online resource (37 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/161 300 $aDescription based upon print version of record. 311 $a1-4519-1472-5 320 $aIncludes bibliographical references. 327 $aContents; 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 327 $aIII. 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 327 $aE. 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 330 3 $aThis paper uses vector autoregressions and impulse-response functions to construct a U.S. financial conditions index (FCI). Credit availability?proxied by survey results on lending standards?is an important driver of the business cycle, accounting for over 20 percent of the typical contribution of financial factors to growth. A net tightening in lending standards of 20 percentage points reduces economic activity by ¾ percent after one year and 1¼ percent after two years. Much of the impact of monetary policy on the economy also works through its effects on credit supply, which is evidence supporting the existence of a credit channel of monetary policy. Shocks to corporate bond yields, equity prices, and real exchange rates also contribute to fluctuations in the FCI. This FCI is an accurate predictor of real GDP growth, anticipating turning points in activity with a lead time of six to nine months. 15B. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/161 606 $aLoans$zUnited States$xEconometric models 606 $aCredit$zUnited States$xEconometric models 606 $aBanks and Banking$2imf 606 $aEconometrics$2imf 606 $aInvestments: Stocks$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aMonetary economics$2imf 606 $aEconometrics & economic statistics$2imf 606 $aFinance$2imf 606 $aInvestment & securities$2imf 606 $aCredit$2imf 606 $aVector autoregression$2imf 606 $aBank credit$2imf 606 $aShort term interest rates$2imf 606 $aStocks$2imf 606 $aInterest rates$2imf 607 $aUnited States$xEconomic conditions$xEconometric models 607 $aUnited States$2imf 615 0$aLoans$xEconometric models. 615 0$aCredit$xEconometric models. 615 7$aBanks and Banking 615 7$aEconometrics 615 7$aInvestments: Stocks 615 7$aMoney and Monetary Policy 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aMonetary economics 615 7$aEconometrics & economic statistics 615 7$aFinance 615 7$aInvestment & securities 615 7$aCredit 615 7$aVector autoregression 615 7$aBank credit 615 7$aShort term interest rates 615 7$aStocks 615 7$aInterest rates 676 $a354.2799273 700 $aSwiston$b Andrew$01598447 801 0$bDcWaIMF 906 $aBOOK 912 $a9910818878103321 996 $aA U.S. Financial Conditions Index$93920725 997 $aUNINA