Quantifying the Effect of Financial Conditions on US Activity

Stéphanie Guichardi ; David Turneri iOECD

Organisation for Economic Co-operation and Development

关键词: macro-financial linkages;    financial conditions index;    interest rate spreads;    credit crunch;    credit channel;   

DOI  :  https://doi.org/10.1787/236860073636

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This paper constructs a broad measure of financial conditions for the United States which suggests that since the onset of the credit crisis there has been a marked tightening in financial conditions, despite a substantial easing of policy rates and a depreciation of the dollar. This measure of overall financial conditions includes interest rate spreads for riskier borrowers and a survey measure of the tightness of bank lending standards, which have been the main drivers behind the tightening in financial conditions. Indeed, recent data suggest that the trend deterioration in overall financial conditions has continued into the second half of 2008. The effect of the tightening in overall financial conditions already experienced may subtract 1¾ per cent from GDP over the next four to six quarters. Not only have financial conditions continued to worsen, but much of the impact on the real economy has yet to be felt.