Reversing the financial accelerator : credit conditions and macro-financial linkages /

Reversing the financial accelerator : credit conditions and macro-financial linkages /

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Bibliographic Details
Author / Creator:	Bayoumi, Tamim A., author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2011.
Description:	1 online resource (36 pages)
Language:	English
Series:	IMF working paper ; WP/11/26 IMF working paper ; WP/11/26.
Subject:	Credit -- Econometric models. Capital market -- Econometric models. Assets (Accounting) -- Prices -- Econometric models. Business cycles -- Econometric models. Assets (Accounting) -- Prices -- Econometric models. Business cycles -- Econometric models. Capital market -- Econometric models. Credit -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12499086

Hidden Bibliographic Details
Other authors / contributors:	Darius, Reginald, author. International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
ISBN:	1283554283 9781283554282 9781455263981 1455263982 9781455216734 1455216739
Notes:	Includes bibliographical references.
Summary:	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.
Other form:	Print version: Bayoumi, Tamim. Reversing the Financial Accelerator: Credit Conditions and Macro-Financial Linkages. Washington : International Monetary Fund, ©2011 9781455216734

Description
Summary:	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.
Physical Description:	1 online resource (36 pages)
Bibliography:	Includes bibliographical references.
ISBN:	1283554283 9781283554282 9781455263981 1455263982 9781455216734 1455216739