The Connection between Wall Street and Main Street : Measurement and Implications for Monetary Policy

Barattieri, Alessandro ; Eden, Maya ; Stevanovic, Dalibor

World Bank, Washington, DC

关键词: ACCOUNTING;    ACCOUNTING RULE;    AMOUNT OF CREDIT;    ASSET BACKED SECURITIES;    ASSET CLASS;   

DOI  :  10.1596/1813-9450-6667
RP-ID  :  WPS6667

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper proposes a measure of theextent to which a financial sector is connected to the realeconomy. The Measure of Connectedness is a measure of thecomposition of assets, namely the share of credit to thenon-financial sectors over the total credit marketinstruments. The aggregate Measure of Connectedness for theUnited States declines by about 27 percent in the period1952-2009. The authors suggest that this increase indisconnectedness between the financial sector and the realeconomy may have dampened the sensitivity of the realeconomy to monetary shocks. They present a stylized modelthat illustrates how interbank trading can reduce thesensitivity of lending to the entrepreneur's net worth,thereby dampening the credit channel transmission ofmonetary policy. The Measure of Connectedness is interactedwith both a structural vector autoregressive model and afactor-augmented vector autoregressive model for the UnitedStates economy. The analysis establishes that the impulseresponses to monetary policy shocks are dampened as thelevel of connection declines.