Credit Matters : Empirical Evidence on U.S. Macro-Financial Linkages / Tamim Bayoumi, Ola Melander.

Format:

Book

Government document

Author/Creator:

Bayoumi, Tamim.

Contributor:

Melander, Ola.

Series:

IMF Working Papers; Working Paper ; No. 2008/169

IMF working paper ; WP/08/169

IMF Working Papers

Language:

English

Subjects (All):

Credit--United States--Econometric models.

Credit.

Bank assets--Econometric models--United States.

Bank assets.

United States--Economic conditions--Econometric models.

United States.

Physical Description:

1 online resource (29 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2008.

Language Note:

English

Summary:

This paper develops a framework for analyzing macro-financial linkages in the United States. We estimate the effects of a negative shock to banks' capital/assetratio on lending standards, which in turn affect consumer credit, mortgages, and corporate loans, and the corresponding components of private spending (consumption, residential investment and business investment). In addition, our empirical model allows for feedback from spending and income to bank capital adequacy and credit. Hence, we trace the full credit cycle. An exogenous fall in the bank capital/asset ratio by one percentage point reduces real GDP by some 1½ percent through its effects on credit availability, while an exogenous fall in demand of 1 percent of GDP is gradually magnified to around 2 percent through financial feedback effects.

Contents:

Contents; I. Introduction; II. A Framework for Analyzing Macro-Financial Linkages; Figures; 1. A Framework for Macro-Financial Linkages; III. The Effect of the Bank Capital/Asset Ratio on Lending Standards; 2. Bank Capital Adequacy and Lending Standards; IV. The Effect of Lending Standards and Balance Sheets on Credit; Tables; 1. The Bank Capital/Asset Ratio and Loan Standards; 2. Loan Standards, Balance Sheet Variables, and Credit; V. The Effect of Credit on Spending; 3. The Effect of Credit on Spending; VI. The Effect of Spending on Income; 4. The Effect of Spending on Income

VII. Feedback Loop through Balance Sheets of Banks, Firms and Households 5. Feedback Effects of GDP Growth on Bank Capital; VIII. Bottom Line: Quantitative Importance of Macro-Financial Linkages; 3. The Effects of an Adverse Bank Capital Shock; 4. The Impact of an Adverse Capital Shock on the Level of GDP and its Components; 5. The Impact of an Adverse Capital Shock on GDP Growth and the Contribution of GDP Components; 6. The Effects of an Adverse Demand Shock; 7. The Impact of an Adverse Demand Shock on the Level of GDP; IX. Conclusions

6. Loan Standards, Balance Sheet Variables, and Bank Credit Appendices; I. Credit Regressions for Bank Lending; 7. The Effect of Credit on Personal Consumption Expenditure; II. Spending Regressions for Sub-Components of Consumption; References

Notes:

Description based upon print version of record.

Description based on online resource; title from PDF front page (ebrary, viewed February 26, 2014).

ISBN:

9786612841200

9781462368914

1462368913

9781452743028

1452743029

9781451870275

1451870272

9781282841208

1282841203

OCLC:

761815354