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Reversing the Financial Accelerator :, Credit Conditions and Macro-Financial Linkages, Tamim Bayoumi, Reginald Darius

This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explores the relative predictive power of market variables compared to credit standards/conditions. The main conclusion is that under plausible specifications credit conditions dominate market variables, highlighting the importance of credit supply. The fact that direct measures of credit conditions anticipate future movements in asset prices has an extremely important implication. Most models of the credit channel see it as an amplifier of underlying changes in financial wealth. The impact of credit conditions on growth compared to other market variables implies that credit supply drives other financial variables rather than responding to them
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction and Literature Review; A. Introduction: Turning the Credit Channel on its Head; B. Literature Review; II. Model and Estimation Method; A. The basic model and survey data; B. Role of senior loans survey of credit conditions (SLOS): Baseline model; 1. Response of GDP to financial variables including SLOS; 2. VDC Baseline Model; III. Does the small business survey of credit conditions (SBS) add information?; 3. Response of GDP to financial variables including SLOS and SBS; 4. VDC of GDP in model including SLOS and SBS
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (45 p.)
Specific Material Designation
Form Of Item

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