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Leading Standards and the Business Cycle: Evidence from Loan Survey Releases
The Fed's Senior Loan Officer Opinion Survey (SLOOS) is widely considered a good indicator of banks' lending conditions. We use the change in corporate bond spreads on SLOOS release days to instrument changes in lending standards. A series of estimated IV local projections shows that lendi...
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| Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 31-2021) |
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| Principais autores: | , |
| Formato: | Artigo |
| Idioma: | inglês |
| Publicado em: |
Philipps-Universität Marburg
2021
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| Assuntos: | |
| Acesso em linha: | Texto Completo em Formato PDF |
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| Resumo: | The Fed's Senior Loan Officer Opinion Survey (SLOOS) is widely considered a good indicator of banks' lending conditions. We use the change in corporate bond spreads on SLOOS release days to instrument changes in lending standards. A series of estimated IV local projections shows that lending standards have highly significant effects on macroeconomic and financial variables. A relaxation of standards expands economic activity and eases _- financial conditions. We then use the change in spreads and the change in the VIX index on release days to identify a pure credit supply shock and a risk-taking shock using sign restrictions in a Bayesian VAR model. We find that an easing in lending has different consequences for both types of shocks. While the VIX, the excess bond premium and stock prices decrease after a pure credit supply shock, they increase after a risk-taking shock. |
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| Descrição Física: | 39 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0704 |