Leading standards and the business cycle: Evidence from loan survey releases

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: MAGKS Joint Discussion Paper Series in Economics ; No. 31-2021

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Financial Markets and the Macroeconomy ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: loan survey ; credit supply ; risk-taking ; instrumental variable local projections ; shock identification

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hafemann, Lucas ; Tillmann, Peter
• Ereignis: Veröffentlichung
• (wer): Philipps-University Marburg, School of Business and Economics
• (wo): Marburg
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/244360
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ