Finance and Economics Discussion Series: Data for FEDS 2012-24
♣
Changes in Bank Lending Standards and the Macroeconomy
William F. Bassett, Mary Beth Chosak, John C. Driscoll, and Egon Zakrajsek
Figure 1: Diffusion Indexes of Changes in Bank Lending Standards and Loan Demand
| Date |
DI of change in lending standards |
DI of change in loan demand |
| 1992:Q1 |
5.94022569791812 |
12.52973904689180 |
| 1992:Q2 |
5.03382580854586 |
-1.03627683527608 |
| 1992:Q3 |
2.79640577611965 |
18.46652284653900 |
| 1992:Q4 |
2.58402470547778 |
8.26469796943395 |
| 1993:Q1 |
-0.35892364540535 |
13.60608304905010 |
| 1993:Q2 |
-13.00505049319330 |
29.95909135763020 |
| 1993:Q3 |
-13.79374039336050 |
20.83699093155640 |
| 1993:Q4 |
-9.29441976790333 |
31.73981872653820 |
| 1994:Q1 |
-7.34879471677986 |
26.36802863508010 |
| 1994:Q2 |
-8.59802881652070 |
-3.63882156278608 |
| 1994:Q3 |
-11.38425502903450 |
-2.68342628706466 |
| 1994:Q4 |
-7.01605891791256 |
-11.22153338927520 |
| 1995:Q1 |
-8.48695177160110 |
0.67875371127511 |
| 1995:Q2 |
-0.40129951019165 |
26.38474033101410 |
| 1995:Q3 |
0.76198560127363 |
7.21908560952344 |
| 1995:Q4 |
5.12870933199796 |
8.80399647782151 |
| 1996:Q1 |
3.55477944794879 |
12.97550644415930 |
| 1996:Q2 |
15.39913593410150 |
0.16213598122836 |
| 1996:Q3 |
17.59168166588950 |
-3.57357327162847 |
| 1996:Q4 |
5.15686454586110 |
1.78832586127157 |
| 1997:Q1 |
4.24196628553976 |
-1.31569243714539 |
| 1997:Q2 |
1.41739241607972 |
21.78478929696310 |
| 1997:Q3 |
0.37422130105454 |
19.60725455093900 |
| 1997:Q4 |
2.79594978852206 |
36.56306889119810 |
| 1998:Q1 |
-4.32582008351874 |
38.88758191262990 |
| 1998:Q2 |
5.85646751039846 |
18.07289487978050 |
| 1998:Q3 |
29.19372599748590 |
22.98517087159560 |
| 1998:Q4 |
7.04396003067053 |
4.37517363043327 |
| 1999:Q1 |
4.94292136415483 |
0.30724011181157 |
| 1999:Q2 |
3.13883417747945 |
-10.44538223523540 |
| 1999:Q3 |
3.51437455347492 |
-21.64940421878270 |
| 1999:Q4 |
5.29724136423511 |
-14.15532065152920 |
| 2000:Q1 |
7.49759303607040 |
-13.57478298967020 |
| 2000:Q2 |
17.91669457500350 |
-8.10935045635536 |
| 2000:Q3 |
30.14587295515710 |
-24.22862161097240 |
| 2000:Q4 |
43.60235388148220 |
-44.62082935760060 |
| 2001:Q1* |
32.92018290542090 |
-3.55489381024409 |
| 2001:Q2* |
26.54749549081860 |
-21.42664290381640 |
| 2001:Q3* |
40.43040665787160 |
-31.89308037734180 |
| 2001:Q4* |
31.47789409107890 |
-15.33733371321500 |
| 2002:Q1 |
17.70880093598850 |
-9.49572534466299 |
| 2002:Q2 |
18.62396695649830 |
-18.75592353946100 |
| 2002:Q3 |
17.06196010974270 |
-11.53720939317470 |
| 2002:Q4 |
19.75604030574380 |
-3.70519717608007 |
| 2003:Q1 |
8.96739827812259 |
-8.85761619911875 |
| 2003:Q2 |
0.83810982571769 |
10.69905833851800 |
| 2003:Q3 |
-3.31983446597165 |
-7.57013679800856 |
| 2003:Q4 |
-9.82770468902396 |
-11.43643731651510 |
| 2004:Q1 |
-13.52409115025380 |
2.23349527557381 |
| 2004:Q2 |
-15.30065369132640 |
12.17439664680190 |
| 2004:Q3 |
-15.07709366479030 |
11.86260504683170 |
| 2004:Q4 |
-19.29433335361070 |
-4.29931303228306 |
| 2005:Q1 |
-16.72919830789870 |
8.11951931768732 |
| 2005:Q2 |
-11.48119189429260 |
29.39341035238200 |
| 2005:Q3 |
-8.49610267826892 |
5.86471375092851 |
| 2005:Q4 |
-2.60539987592361 |
-9.99479052592512 |
| 2006:Q1 |
-14.36891404745480 |
-16.75533668377550 |
| 2006:Q2 |
-16.26294869283770 |
-33.70738885052740 |
| 2006:Q3 |
0.45296512374833 |
-32.33287280837300 |
| 2006:Q4 |
7.80844096636549 |
-8.27978902980702 |
| 2007:Q1 |
5.07293937470790 |
-16.48037772859860 |
| 2007:Q2 |
20.27972023218490 |
-5.93052447447612 |
| 2007:Q3 |
53.38442212387630 |
-48.32371290412800 |
| 2007:Q4* |
62.89663423123590 |
-41.11789572268260 |
| 2008:Q1* |
77.02550810589710 |
-29.10253909951910 |
| 2008:Q2* |
83.29136247709880 |
-22.38575843770410 |
| 2008:Q3* |
87.28086773130011 |
-55.46961431269650 |
| 2008:Q4* |
72.77320533595680 |
-54.22776654099680 |
| 2009:Q1* |
53.60898684800680 |
-25.75008777953230 |
| 2009:Q2* |
40.38862375290800 |
-32.46090592704730 |
| 2009:Q3 |
31.46395351379090 |
-18.77137397541520 |
| 2009:Q4 |
3.09929379296441 |
-20.38457579025890 |
| 2010:Q1 |
-10.68432974087810 |
-12.82689435160580 |
| 2010:Q2 |
-11.29331279503970 |
-13.27216610223460 |
| 2010:Q3 |
-4.42084849933012 |
3.76363477545468 |
| 2010:Q4 |
-11.31570666269190 |
1.55581275490654 |
| 2011:Q1 |
-24.25258214578000 |
3.25386394368462 |
| 2011:Q2 |
-22.74449707279680 |
8.75300007744206 |
| 2011:Q3 |
-6.49142703532666 |
6.29615142421161 |
* NBER defined recession period.
Figure 2a: Reasons for Tightening or Easing Standards on C&I Loans. Upper Left Panel: Economic Outlook
| Date |
Not important reason for tightening |
Somewhat important reason for tightening |
Very important reason for tightening |
Not important reason for easing |
Somewhat important reason for easing |
Very important reason for easing |
| 2000:Q1 |
6 |
26 |
5 |
6 |
0 |
0 |
| 2000:Q2 |
4 |
27 |
7 |
3 |
1 |
0 |
| 2000:Q3 |
3 |
31 |
9 |
5 |
1 |
0 |
| 2000:Q4 |
2 |
22 |
19 |
1 |
1 |
0 |
| 2001:Q1 |
0 |
20 |
22 |
3 |
0 |
0 |
| 2001:Q2 |
2 |
25 |
16 |
1 |
1 |
1 |
| 2001:Q3 |
0 |
16 |
27 |
0 |
1 |
0 |
| 2001:Q4 |
1 |
21 |
16 |
2 |
0 |
0 |
| 2002:Q1 |
8 |
18 |
3 |
2 |
0 |
0 |
| 2002:Q2 |
5 |
22 |
7 |
3 |
2 |
0 |
| 2002:Q3 |
6 |
20 |
7 |
4 |
0 |
0 |
| 2002:Q4 |
4 |
24 |
4 |
2 |
2 |
0 |
| 2003:Q1 |
1 |
25 |
4 |
9 |
1 |
0 |
| 2003:Q2 |
9 |
15 |
2 |
8 |
5 |
1 |
| 2003:Q3 |
3 |
13 |
0 |
5 |
13 |
1 |
| 2003:Q4 |
8 |
4 |
1 |
6 |
15 |
4 |
| 2004:Q1 |
5 |
4 |
0 |
10 |
19 |
0 |
| 2004:Q2 |
5 |
4 |
0 |
7 |
16 |
2 |
| 2004:Q3 |
6 |
1 |
1 |
9 |
17 |
5 |
| 2004:Q4 |
3 |
5 |
0 |
9 |
15 |
2 |
| 2005:Q1 |
2 |
3 |
0 |
17 |
15 |
4 |
| 2005:Q2 |
4 |
2 |
0 |
16 |
16 |
1 |
| 2005:Q3 |
8 |
2 |
3 |
25 |
7 |
1 |
| 2005:Q4 |
7 |
3 |
2 |
22 |
7 |
1 |
| 2006:Q1 |
2 |
6 |
0 |
31 |
5 |
1 |
| 2006:Q2 |
5 |
4 |
2 |
19 |
6 |
1 |
| 2006:Q3 |
4 |
7 |
2 |
19 |
6 |
0 |
| 2006:Q4 |
5 |
6 |
2 |
22 |
7 |
0 |
| 2007:Q1 |
9 |
4 |
1 |
26 |
2 |
0 |
| 2007:Q2 |
6 |
10 |
0 |
23 |
2 |
1 |
| 2007:Q3 |
4 |
17 |
6 |
2 |
1 |
1 |
| 2007:Q4 |
3 |
23 |
13 |
4 |
5 |
0 |
| 2008:Q1 |
3 |
20 |
23 |
1 |
0 |
1 |
| 2008:Q2 |
1 |
19 |
22 |
0 |
0 |
0 |
| 2008:Q3 |
1 |
18 |
34 |
0 |
0 |
0 |
| 2008:Q4 |
0 |
14 |
35 |
0 |
0 |
0 |
| 2009:Q1 |
1 |
22 |
21 |
1 |
0 |
0 |
| 2009:Q2 |
1 |
18 |
19 |
2 |
2 |
0 |
| 2009:Q3 |
8 |
13 |
10 |
1 |
3 |
2 |
| 2009:Q4 |
3 |
14 |
2 |
6 |
7 |
2 |
| 2010:Q1 |
3 |
10 |
3 |
6 |
10 |
2 |
| 2010:Q2 |
2 |
7 |
4 |
15 |
14 |
3 |
| 2010:Q3 |
1 |
3 |
5 |
11 |
16 |
0 |
| 2010:Q4 |
3 |
8 |
1 |
6 |
22 |
2 |
| 2011:Q1 |
1 |
4 |
0 |
19 |
15 |
2 |
| 2011:Q2 |
1 |
5 |
0 |
23 |
14 |
1 |
| 2011:Q3 |
0 |
4 |
5 |
20 |
6 |
0 |
Figure 2b: Reasons for Tightening or Easing Standards on C&I Loans. Upper Left Panel: Risk Tolerance
| Date |
Not important reason for tightening |
Somewhat important reason for tightening |
Very important reason for tightening |
Not important reason for easing |
Somewhat important reason for easing |
Very important reason for easing |
| 2000:Q1 |
11 |
21 |
5 |
5 |
1 |
0 |
| 2000:Q2 |
8 |
27 |
3 |
4 |
0 |
0 |
| 2000:Q3 |
14 |
20 |
9 |
4 |
2 |
0 |
| 2000:Q4 |
11 |
19 |
13 |
2 |
0 |
0 |
| 2001:Q1 |
9 |
23 |
10 |
3 |
0 |
0 |
| 2001:Q2 |
12 |
26 |
5 |
2 |
1 |
0 |
| 2001:Q3 |
14 |
26 |
3 |
1 |
0 |
0 |
| 2001:Q4 |
9 |
25 |
4 |
2 |
0 |
0 |
| 2002:Q1 |
7 |
20 |
2 |
2 |
0 |
0 |
| 2002:Q2 |
8 |
26 |
0 |
3 |
2 |
0 |
| 2002:Q3 |
9 |
22 |
2 |
4 |
0 |
0 |
| 2002:Q4 |
12 |
14 |
6 |
3 |
1 |
0 |
| 2003:Q1 |
8 |
17 |
5 |
8 |
2 |
0 |
| 2003:Q2 |
6 |
17 |
3 |
11 |
2 |
1 |
| 2003:Q3 |
5 |
7 |
4 |
13 |
5 |
1 |
| 2003:Q4 |
5 |
6 |
2 |
14 |
11 |
0 |
| 2004:Q1 |
5 |
3 |
1 |
16 |
12 |
1 |
| 2004:Q2 |
4 |
2 |
3 |
15 |
10 |
0 |
| 2004:Q3 |
4 |
2 |
2 |
17 |
13 |
0 |
| 2004:Q4 |
3 |
4 |
1 |
11 |
15 |
1 |
| 2005:Q1 |
3 |
3 |
0 |
19 |
16 |
1 |
| 2005:Q2 |
5 |
1 |
0 |
16 |
15 |
2 |
| 2005:Q3 |
9 |
3 |
1 |
16 |
17 |
0 |
| 2005:Q4 |
6 |
4 |
2 |
18 |
12 |
1 |
| 2006:Q1 |
3 |
5 |
0 |
23 |
13 |
1 |
| 2006:Q2 |
5 |
5 |
1 |
19 |
6 |
1 |
| 2006:Q3 |
6 |
6 |
1 |
20 |
5 |
0 |
| 2006:Q4 |
6 |
5 |
2 |
24 |
5 |
0 |
| 2007:Q1 |
7 |
7 |
0 |
22 |
5 |
1 |
| 2007:Q2 |
8 |
7 |
1 |
20 |
4 |
2 |
| 2007:Q3 |
9 |
15 |
3 |
2 |
1 |
1 |
| 2007:Q4 |
7 |
25 |
6 |
4 |
4 |
1 |
| 2008:Q1 |
10 |
30 |
6 |
2 |
0 |
0 |
| 2008:Q2 |
7 |
23 |
10 |
0 |
0 |
0 |
| 2008:Q3 |
7 |
26 |
20 |
0 |
0 |
0 |
| 2008:Q4 |
7 |
29 |
13 |
0 |
0 |
0 |
| 2009:Q1 |
8 |
28 |
7 |
1 |
0 |
0 |
| 2009:Q2 |
8 |
22 |
7 |
3 |
1 |
0 |
| 2009:Q3 |
7 |
14 |
10 |
5 |
1 |
0 |
| 2009:Q4 |
4 |
10 |
5 |
11 |
4 |
0 |
| 2010:Q1 |
2 |
8 |
6 |
13 |
5 |
0 |
| 2010:Q2 |
5 |
4 |
4 |
26 |
6 |
0 |
| 2010:Q3 |
0 |
3 |
6 |
22 |
5 |
0 |
| 2010:Q4 |
4 |
5 |
3 |
22 |
8 |
0 |
| 2011:Q1 |
0 |
4 |
1 |
29 |
5 |
1 |
| 2011:Q2 |
2 |
3 |
1 |
31 |
7 |
0 |
| 2011:Q3 |
4 |
5 |
0 |
22 |
4 |
0 |
Figure 2c: Reasons for Tightening or Easing Standards on C&I Loans. Upper Left Panel: Competition from other lenders
| Date |
Not important reason for tightening |
Somewhat important reason for tightening |
Very important reason for tightening |
Not important reason for easing |
Somewhat important reason for easing |
Very important reason for easing |
| 2000:Q1 |
34 |
3 |
0 |
2 |
3 |
1 |
| 2000:Q2 |
33 |
5 |
0 |
1 |
2 |
1 |
| 2000:Q3 |
31 |
12 |
0 |
1 |
3 |
2 |
| 2000:Q4 |
31 |
9 |
3 |
0 |
1 |
1 |
| 2001:Q1 |
34 |
7 |
1 |
0 |
1 |
2 |
| 2001:Q2 |
26 |
15 |
2 |
3 |
0 |
0 |
| 2001:Q3 |
33 |
9 |
1 |
0 |
0 |
1 |
| 2001:Q4 |
28 |
8 |
2 |
1 |
0 |
1 |
| 2002:Q1 |
22 |
7 |
0 |
1 |
1 |
0 |
| 2002:Q2 |
25 |
9 |
0 |
2 |
1 |
2 |
| 2002:Q3 |
26 |
7 |
0 |
3 |
0 |
1 |
| 2002:Q4 |
26 |
6 |
0 |
1 |
1 |
2 |
| 2003:Q1 |
24 |
5 |
1 |
0 |
5 |
5 |
| 2003:Q2 |
22 |
4 |
0 |
1 |
6 |
7 |
| 2003:Q3 |
12 |
4 |
0 |
4 |
7 |
8 |
| 2003:Q4 |
12 |
1 |
0 |
5 |
11 |
9 |
| 2004:Q1 |
9 |
0 |
0 |
6 |
13 |
10 |
| 2004:Q2 |
9 |
0 |
0 |
2 |
8 |
15 |
| 2004:Q3 |
7 |
0 |
0 |
3 |
11 |
18 |
| 2004:Q4 |
7 |
1 |
0 |
3 |
8 |
16 |
| 2005:Q1 |
4 |
1 |
0 |
0 |
7 |
30 |
| 2005:Q2 |
5 |
1 |
0 |
2 |
8 |
23 |
| 2005:Q3 |
12 |
0 |
0 |
1 |
7 |
27 |
| 2005:Q4 |
9 |
2 |
1 |
1 |
12 |
18 |
| 2006:Q1 |
8 |
0 |
0 |
1 |
11 |
27 |
| 2006:Q2 |
9 |
2 |
0 |
2 |
7 |
21 |
| 2006:Q3 |
10 |
2 |
1 |
0 |
6 |
19 |
| 2006:Q4 |
8 |
4 |
1 |
2 |
6 |
21 |
| 2007:Q1 |
12 |
0 |
2 |
4 |
6 |
18 |
| 2007:Q2 |
14 |
1 |
1 |
2 |
4 |
20 |
| 2007:Q3 |
15 |
8 |
4 |
0 |
2 |
2 |
| 2007:Q4 |
24 |
13 |
1 |
4 |
1 |
4 |
| 2008:Q1 |
25 |
19 |
2 |
2 |
0 |
0 |
| 2008:Q2 |
22 |
13 |
5 |
0 |
0 |
0 |
| 2008:Q3 |
27 |
21 |
5 |
0 |
0 |
0 |
| 2008:Q4 |
22 |
22 |
5 |
0 |
0 |
0 |
| 2009:Q1 |
24 |
13 |
6 |
1 |
0 |
0 |
| 2009:Q2 |
23 |
13 |
1 |
0 |
4 |
0 |
| 2009:Q3 |
18 |
11 |
2 |
0 |
4 |
2 |
| 2009:Q4 |
15 |
4 |
0 |
3 |
8 |
4 |
| 2010:Q1 |
13 |
3 |
0 |
2 |
8 |
8 |
| 2010:Q2 |
12 |
1 |
0 |
2 |
10 |
20 |
| 2010:Q3 |
7 |
2 |
0 |
2 |
11 |
14 |
| 2010:Q4 |
9 |
3 |
0 |
2 |
14 |
14 |
| 2011:Q1 |
4 |
1 |
0 |
2 |
16 |
19 |
| 2011:Q2 |
4 |
2 |
0 |
3 |
13 |
24 |
| 2011:Q3 |
6 |
3 |
0 |
1 |
11 |
14 |
Figure 2d: Reasons for Tightening or Easing Standards on C&I Loans. Upper Left Panel: Capital Position
| Date |
Not important reason for tightening |
Somewhat important reason for tightening |
Very important reason for tightening |
Not important reason for easing |
Somewhat important reason for easing |
Very important reason for easing |
| 2000:Q1 |
32 |
4 |
0 |
4 |
0 |
1 |
| 2000:Q2 |
35 |
3 |
0 |
4 |
0 |
0 |
| 2000:Q3 |
35 |
7 |
0 |
6 |
0 |
0 |
| 2000:Q4 |
39 |
2 |
2 |
2 |
0 |
0 |
| 2001:Q1 |
33 |
7 |
2 |
3 |
0 |
0 |
| 2001:Q2 |
38 |
4 |
1 |
3 |
0 |
0 |
| 2001:Q3 |
39 |
4 |
0 |
0 |
1 |
0 |
| 2001:Q4 |
37 |
1 |
0 |
2 |
0 |
0 |
| 2002:Q1 |
29 |
0 |
0 |
2 |
0 |
0 |
| 2002:Q2 |
30 |
4 |
0 |
5 |
0 |
0 |
| 2002:Q3 |
31 |
2 |
0 |
4 |
0 |
0 |
| 2002:Q4 |
29 |
3 |
0 |
4 |
0 |
0 |
| 2003:Q1 |
27 |
2 |
1 |
10 |
0 |
0 |
| 2003:Q2 |
25 |
1 |
0 |
11 |
2 |
1 |
| 2003:Q3 |
16 |
0 |
0 |
17 |
2 |
0 |
| 2003:Q4 |
13 |
0 |
0 |
23 |
2 |
0 |
| 2004:Q1 |
7 |
1 |
1 |
25 |
4 |
0 |
| 2004:Q2 |
8 |
1 |
0 |
20 |
5 |
0 |
| 2004:Q3 |
7 |
1 |
0 |
25 |
3 |
2 |
| 2004:Q4 |
7 |
1 |
0 |
20 |
7 |
0 |
| 2005:Q1 |
5 |
0 |
0 |
30 |
5 |
1 |
| 2005:Q2 |
5 |
1 |
0 |
28 |
4 |
1 |
| 2005:Q3 |
12 |
0 |
0 |
29 |
3 |
0 |
| 2005:Q4 |
11 |
0 |
1 |
28 |
1 |
1 |
| 2006:Q1 |
8 |
0 |
0 |
37 |
0 |
0 |
| 2006:Q2 |
11 |
0 |
0 |
23 |
3 |
0 |
| 2006:Q3 |
12 |
0 |
1 |
24 |
1 |
0 |
| 2006:Q4 |
9 |
3 |
1 |
27 |
1 |
1 |
| 2007:Q1 |
14 |
0 |
0 |
27 |
1 |
0 |
| 2007:Q2 |
15 |
1 |
0 |
25 |
1 |
0 |
| 2007:Q3 |
22 |
4 |
1 |
2 |
1 |
1 |
| 2007:Q4 |
29 |
7 |
2 |
5 |
2 |
1 |
| 2008:Q1 |
31 |
10 |
5 |
1 |
1 |
0 |
| 2008:Q2 |
31 |
9 |
2 |
0 |
0 |
0 |
| 2008:Q3 |
32 |
14 |
6 |
0 |
0 |
0 |
| 2008:Q4 |
36 |
11 |
2 |
0 |
0 |
0 |
| 2009:Q1 |
29 |
10 |
4 |
1 |
1 |
0 |
| 2009:Q2 |
24 |
14 |
0 |
2 |
2 |
0 |
| 2009:Q3 |
25 |
5 |
1 |
4 |
2 |
0 |
| 2009:Q4 |
14 |
3 |
2 |
12 |
3 |
0 |
| 2010:Q1 |
12 |
2 |
2 |
16 |
2 |
0 |
| 2010:Q2 |
11 |
2 |
0 |
28 |
3 |
1 |
| 2010:Q3 |
5 |
2 |
2 |
24 |
3 |
0 |
| 2010:Q4 |
9 |
3 |
0 |
26 |
3 |
1 |
| 2011:Q1 |
3 |
2 |
0 |
31 |
5 |
0 |
| 2011:Q2 |
4 |
2 |
0 |
34 |
4 |
0 |
| 2011:Q3 |
8 |
1 |
0 |
22 |
3 |
1 |
Figure 3: Sample vs. Industry Growth of Core Loans
| Date |
Banks in Sample |
Banking Industry |
| 1992:Q1 |
-2.671647759675850 |
-0.331783237325788 |
| 1992:Q2 |
-1.461598969736460 |
-2.376455294650340 |
| 1992:Q3 |
-1.507714223896170 |
-0.276365257369121 |
| 1992:Q4 |
-0.820972937272486 |
-0.184750265005767 |
| 1993:Q1 |
0.724991683175795 |
1.456990882629760 |
| 1993:Q2 |
3.969654510366140 |
5.457030623989160 |
| 1993:Q3 |
3.073258550387160 |
4.433643672648460 |
| 1993:Q4 |
8.476447068845610 |
9.088529111291750 |
| 1994:Q1 |
4.055080431141460 |
5.898206510236480 |
| 1994:Q2 |
9.094940896812790 |
9.047922786170350 |
| 1994:Q3 |
12.275673253812000 |
11.354521240387299 |
| 1994:Q4 |
9.871687379112700 |
11.631163267386700 |
| 1995:Q1 |
14.920855536181699 |
13.985243106873700 |
| 1995:Q2 |
9.050022559051790 |
10.035448761860099 |
| 1995:Q3 |
6.950954394064420 |
7.413725961358640 |
| 1995:Q4 |
4.561584480832340 |
5.768509340489540 |
| 1996:Q1 |
3.369842065093210 |
4.750164982038620 |
| 1996:Q2 |
1.350371518163460 |
5.421244914526680 |
| 1996:Q3 |
3.576492232818540 |
6.602310309756910 |
| 1996:Q4 |
0.983982831847210 |
5.739589553729670 |
| 1997:Q1 |
1.777461412391970 |
5.289303677467840 |
| 1997:Q2 |
7.395506479883300 |
10.992282026193100 |
| 1997:Q3 |
0.494611538842479 |
6.167388418367670 |
| 1997:Q4 |
3.707688007871460 |
4.831609318920950 |
| 1998:Q1 |
4.980788838592460 |
8.001217968118780 |
| 1998:Q2 |
3.672136553014440 |
5.755351418415460 |
| 1998:Q3 |
6.266338121254950 |
7.364548060633980 |
| 1998:Q4 |
4.628518706463040 |
9.136560884812241 |
| 1999:Q1 |
-2.023266954679570 |
4.271821456132290 |
| 1999:Q2 |
-2.372092434034770 |
3.459320373409320 |
| 1999:Q3 |
4.955630296690350 |
9.007970971795441 |
| 1999:Q4 |
17.978265735392402 |
15.590165247384901 |
| 2000:Q1 |
6.892002914895850 |
13.526509390534899 |
| 2000:Q2 |
15.368115983008600 |
13.366187581352200 |
| 2000:Q3 |
5.544298667538150 |
7.780955524052100 |
| 2000:Q4 |
0.336261594659092 |
1.437143884234370 |
| 2001:Q1* |
1.098331041532910 |
5.204988932095850 |
| 2001:Q2* |
0.232482754882668 |
2.148657076127280 |
| 2001:Q3* |
-5.600372036279740 |
-1.214406105640760 |
| 2001:Q4* |
-0.994924863957807 |
4.260967042832040 |
| 2002:Q1 |
3.022423890108140 |
4.012474077625030 |
| 2002:Q2 |
2.350922474712340 |
5.511520643039810 |
| 2002:Q3 |
11.206875657379101 |
10.723816941841500 |
| 2002:Q4 |
13.178553853986401 |
9.995238684233421 |
| 2003:Q1 |
2.736345434827680 |
5.613983498596670 |
| 2003:Q2 |
7.171087866419690 |
8.637858192403730 |
| 2003:Q3 |
5.958320628238580 |
6.410090124981500 |
| 2003:Q4 |
-0.281085277699239 |
3.167029882301500 |
| 2004:Q1 |
2.832861965034380 |
8.741037189782849 |
| 2004:Q2 |
10.165831794288000 |
11.059101095471400 |
| 2004:Q3 |
10.625883010408099 |
12.819098112386399 |
| 2004:Q4 |
9.244343276452600 |
11.679392063414200 |
| 2005:Q1 |
10.711653347514000 |
12.326447477601700 |
| 2005:Q2 |
7.224981795644440 |
10.813161660718400 |
| 2005:Q3 |
7.880920586143640 |
10.541137448129801 |
| 2005:Q4 |
7.251730753187290 |
9.061727586867740 |
| 2006:Q1 |
9.986733474937900 |
11.382657871006700 |
| 2006:Q2 |
8.236693668619020 |
9.790532641815640 |
| 2006:Q3 |
6.212404200582460 |
6.173690077891850 |
| 2006:Q4 |
9.559537397340620 |
8.954160165808370 |
| 2007:Q1 |
7.768206020601790 |
7.866032736779710 |
| 2007:Q2 |
14.066865057927000 |
11.504575673374299 |
| 2007:Q3 |
13.298529760871800 |
12.648603801194700 |
| 2007:Q4* |
9.727469907688871 |
10.212936662966300 |
| 2008:Q1* |
4.270185516813270 |
4.661766894588680 |
| 2008:Q2* |
-3.168604818912520 |
-0.142592363330219 |
| 2008:Q3* |
-2.938381869323640 |
0.475779291449075 |
| 2008:Q4* |
-4.801650854860530 |
-4.162228492790700 |
| 2009:Q1* |
-6.375030944226940 |
-2.739664836965050 |
| 2009:Q2* |
-9.688535464016990 |
-7.484709402138610 |
| 2009:Q3 |
-16.038442056860099 |
-12.660639574323200 |
| 2009:Q4 |
-8.036965496911741 |
-7.174166017994370 |
| 2010:Q1 |
-9.025480229787521 |
-7.766901268380350 |
| 2010:Q2 |
-7.565392811508610 |
-5.881860233663840 |
| 2010:Q3 |
-6.172440628480690 |
-3.011617847123020 |
| 2010:Q4 |
-4.746492306739430 |
-3.624741319136920 |
| 2011:Q1 |
-6.356495099096990 |
-4.801398488667750 |
| 2011:Q2 |
-0.288697128263754 |
0.437437475000038 |
| 2011:Q3 |
1.931952691349440 |
1.765040470558120 |
* NBER defined recession period.
Figure 4: Changes in the supply of Bank Loans to Business and Households
| Date |
Credit Shock |
| 1992:Q1 |
-0.116000860622935 |
| 1992:Q2 |
0.833084378537386 |
| 1992:Q3 |
-0.136180579300339 |
| 1992:Q4 |
0.103856381158506 |
| 1993:Q1 |
0.759797497878902 |
| 1993:Q2 |
-0.941211367944532 |
| 1993:Q3 |
0.199533391225196 |
| 1993:Q4 |
-0.376228403778574 |
| 1994:Q1 |
0.259907038498231 |
| 1994:Q2 |
0.399666914231049 |
| 1994:Q3 |
-0.350694279004915 |
| 1994:Q4 |
-0.118739757889382 |
| 1995:Q1 |
-0.352779339224299 |
| 1995:Q2 |
0.304764815513105 |
| 1995:Q3 |
-0.195165713630797 |
| 1995:Q4 |
0.121641005180874 |
| 1996:Q1 |
-0.854022106617822 |
| 1996:Q2 |
0.814342565706357 |
| 1996:Q3 |
0.489825739965207 |
| 1996:Q4 |
-0.784647665378397 |
| 1997:Q1 |
-0.198143013418626 |
| 1997:Q2 |
-0.370318672283674 |
| 1997:Q3 |
-0.628286743898017 |
| 1997:Q4 |
0.362877808111811 |
| 1998:Q1 |
-0.441211910049641 |
| 1998:Q2 |
0.914103968473556 |
| 1998:Q3 |
0.979000539370514 |
| 1998:Q4 |
-1.61218809730712 |
| 1999:Q1 |
0.046402221121216 |
| 1999:Q2 |
-1.0174217734866 |
| 1999:Q3 |
-0.605657432905305 |
| 1999:Q4 |
-0.554220030486787 |
| 2000:Q1 |
-0.405557100105893 |
| 2000:Q2 |
0.550298455464139 |
| 2000:Q3 |
0.959191350236678 |
| 2000:Q4 |
1.42706863712311 |
| 2001:Q1* |
-0.018705567961072 |
| 2001:Q2* |
-1.38093489946139 |
| 2001:Q3* |
1.02359064302681 |
| 2001:Q4* |
-1.01014387528805 |
| 2002:Q1 |
0.0785138129936639 |
| 2002:Q2 |
0.557082148088485 |
| 2002:Q3 |
-0.22930671118941 |
| 2002:Q4 |
1.21159397689721 |
| 2003:Q1 |
0.451414839923551 |
| 2003:Q2 |
0.580222377500137 |
| 2003:Q3 |
-0.0476345284963278 |
| 2003:Q4 |
-0.574375194332885 |
| 2004:Q1 |
-0.803984848062588 |
| 2004:Q2 |
-0.728454671973355 |
| 2004:Q3 |
0.190691585702982 |
| 2004:Q4 |
-0.299953597059815 |
| 2005:Q1 |
0.186014901946279 |
| 2005:Q2 |
-0.717881314328383 |
| 2005:Q3 |
0.144859953527501 |
| 2005:Q4 |
-0.170490315442185 |
| 2006:Q1 |
-1.32205102305607 |
| 2006:Q2 |
-1.72789824183049 |
| 2006:Q3 |
-0.234277511199552 |
| 2006:Q4 |
0.267150585088031 |
| 2007:Q1 |
-1.16552112133953 |
| 2007:Q2 |
0.624804131443319 |
| 2007:Q3 |
2.26387804435372 |
| 2007:Q4* |
2.27105845314844 |
| 2008:Q1* |
2.03353673630974 |
| 2008:Q2* |
3.12841545371442 |
| 2008:Q3* |
2.23796005816114 |
| 2008:Q4* |
-0.545951173394581 |
| 2009:Q1* |
-0.345760924704596 |
| 2009:Q2* |
-0.530846568455565 |
| 2009:Q3 |
2.03218730461262 |
| 2009:Q4 |
-1.95422916068098 |
| 2010:Q1 |
-2.09655027890545 |
| 2010:Q2 |
-0.365773177559794 |
| 2010:Q3 |
0.816288530334113 |
| 2010:Q4 |
-0.615263490525477 |
| 2011:Q1 |
-1.50158848290557 |
| 2011:Q2 |
-1.19254565104797 |
| 2011:Q3 |
0.0141709319667187 |
* NBER defined recession period.
Figure 5a: Core Loans and Unused Commitments at U.S. Commercial Banks. Panel 1: Core loans outstanding and Unused Commitments
| Date |
Core unused commitments |
Core loans outstanding |
| 1992:Q1 |
1.59135221415251 |
2.28936520775185 |
| 1992:Q2 |
1.6012568137742 |
2.26434892379667 |
| 1992:Q3 |
1.63652403127935 |
2.2568610939302 |
| 1992:Q4 |
1.65562733157577 |
2.24548637723851 |
| 1993:Q1 |
1.67678873781549 |
2.23726396916609 |
| 1993:Q2 |
1.71552461689957 |
2.25506337735667 |
| 1993:Q3 |
1.76679101417426 |
2.27010535451174 |
| 1993:Q4 |
1.83607653814103 |
2.30881790737369 |
| 1994:Q1 |
1.93251120774105 |
2.3281035028299 |
| 1994:Q2 |
2.00047265332129 |
2.37425044395811 |
| 1994:Q3 |
2.11093009039862 |
2.42966968938078 |
| 1994:Q4 |
2.22612995021311 |
2.48792119058483 |
| 1995:Q1 |
2.35924482057267 |
2.56117975943267 |
| 1995:Q2 |
2.47439519690967 |
2.616794793819 |
| 1995:Q3 |
2.55726644618953 |
2.65606251420597 |
| 1995:Q4 |
2.6659596756747 |
2.68102252323861 |
| 1996:Q1 |
2.76547064234455 |
2.69752869615606 |
| 1996:Q2 |
2.87992917463137 |
2.7250612658603 |
| 1996:Q3 |
2.95982934140936 |
2.76122519994638 |
| 1996:Q4 |
3.0918746681713 |
2.787185700236 |
| 1997:Q1 |
3.18759560611247 |
2.80611549789594 |
| 1997:Q2 |
3.33587049746062 |
2.88021139761549 |
| 1997:Q3 |
3.48152502609697 |
2.9134496235804 |
| 1997:Q4 |
3.59861439910441 |
2.94657298464026 |
| 1998:Q1 |
3.77731853632696 |
2.99929143137874 |
| 1998:Q2 |
3.92035471363766 |
3.0403757278705 |
| 1998:Q3 |
4.05049724018266 |
3.08348505143053 |
| 1998:Q4 |
4.0941626108258 |
3.14174593545642 |
| 1999:Q1 |
4.15460911880388 |
3.16251853429568 |
| 1999:Q2 |
4.11494735109167 |
3.17801198318256 |
| 1999:Q3 |
4.22502983779895 |
3.23974022727593 |
| 1999:Q4 |
4.36383789042871 |
3.34380514939106 |
| 2000:Q1 |
4.46157806588413 |
3.43545962651347 |
| 2000:Q2 |
4.56749992724328 |
3.53498360811882 |
| 2000:Q3 |
4.7162286927488 |
3.58090821035458 |
| 2000:Q4 |
4.8323399618045 |
3.58036582164381 |
| 2001:Q1* |
4.92235519015181 |
3.60858147055769 |
| 2001:Q2* |
4.99166421252173 |
3.60071963715056 |
| 2001:Q3* |
5.03760374344334 |
3.57596253409402 |
| 2001:Q4* |
5.11211919133251 |
3.60319456811403 |
| 2002:Q1 |
5.16050016640304 |
3.60242885150837 |
| 2002:Q2 |
5.24771217106032 |
3.63457695634916 |
| 2002:Q3 |
5.28020994971744 |
3.71396941427941 |
| 2002:Q4 |
5.29429532885513 |
3.78488956736151 |
| 2003:Q1 |
5.34901669316258 |
3.81536853630877 |
| 2003:Q2 |
5.37071914564395 |
3.88501192550095 |
| 2003:Q3 |
5.40562691059844 |
3.92622627974642 |
| 2003:Q4 |
5.26426571287786 |
3.93206732224629 |
| 2004:Q1 |
5.44457768337102 |
3.9859294503985 |
| 2004:Q2 |
5.39094559906088 |
4.07040131142134 |
| 2004:Q3 |
5.43261993648537 |
4.17287601980497 |
| 2004:Q4 |
5.53687477387129 |
4.25594802908161 |
| 2005:Q1 |
5.47759872472642 |
4.37009178906069 |
| 2005:Q2 |
5.5497966626703 |
4.47032580201154 |
| 2005:Q3 |
5.63102080650187 |
4.54324450865654 |
| 2005:Q4 |
5.73618716551821 |
4.58482316467643 |
| 2006:Q1 |
5.88232406521451 |
4.68466899465791 |
| 2006:Q2 |
6.02764490910488 |
4.77204737766131 |
| 2006:Q3 |
6.07486044742527 |
4.80537886067335 |
| 2006:Q4 |
6.26348641450377 |
5.03265942314716 |
| 2007:Q1 |
6.41544497754247 |
5.07382467172576 |
| 2007:Q2 |
6.46257818870015 |
5.12246110875054 |
| 2007:Q3 |
6.60542913709529 |
5.27001832729486 |
| 2007:Q4* |
6.66459627153083 |
5.41504553970506 |
| 2008:Q1* |
6.58970135964572 |
5.43773470957035 |
| 2008:Q2* |
6.44071585243225 |
5.40496392712357 |
| 2008:Q3* |
6.23253194435927 |
5.59459660761766 |
| 2008:Q4* |
5.77587644093692 |
5.52877898246457 |
| 2009:Q1* |
5.29995554536021 |
5.45905864536069 |
| 2009:Q2* |
5.09674679589902 |
5.43583511333493 |
| 2009:Q3 |
4.90399441032967 |
5.2737902188525 |
| 2009:Q4 |
4.84197914310614 |
5.22723671345669 |
| 2010:Q1 |
4.91086834523354 |
5.42294012863398 |
| 2010:Q2 |
4.80265152548785 |
5.31587543372437 |
| 2010:Q3 |
4.78363796027235 |
5.26963079077097 |
| 2010:Q4 |
4.49706242375157 |
5.21307517153671 |
| 2011:Q1 |
4.53461020105002 |
5.08708892849198 |
| 2011:Q2 |
4.42111858637369 |
5.05365100642413 |
| 2011:Q3 |
4.37093552243198 |
5.06754428946504 |
* NBER defined recession period.
Figure 5b: Core Loans and Unused Commitments at U.S. Commercial Banks. Panel 2: Composition of Unused Commitments
| Date |
Business |
Credit Cards |
HELOC |
| 1992:Q1 |
0.857653202739134 |
0.659705686173766 |
0.0750728814025456 |
| 1992:Q2 |
0.843670409149521 |
0.680412678614599 |
0.0766022842702531 |
| 1992:Q3 |
0.844565172966984 |
0.713266895971473 |
0.0784306251914752 |
| 1992:Q4 |
0.834721120359596 |
0.739828646694995 |
0.0808278880680812 |
| 1993:Q1 |
0.849946187589284 |
0.746763646243419 |
0.0812269126951646 |
| 1993:Q2 |
0.865747068586727 |
0.767335753015034 |
0.0819888803525409 |
| 1993:Q3 |
0.885114849069135 |
0.797088179543241 |
0.0840371405355356 |
| 1993:Q4 |
0.919873896193816 |
0.830185880306554 |
0.0858851445848138 |
| 1994:Q1 |
0.944014220624501 |
0.90057428154835 |
0.0889097780715309 |
| 1994:Q2 |
0.963560021790782 |
0.946227459868749 |
0.0903858077708435 |
| 1994:Q3 |
1.01088763955418 |
1.00838265051664 |
0.0910989878518643 |
| 1994:Q4 |
1.04565751940857 |
1.0863632871827 |
0.0938349960984294 |
| 1995:Q1 |
1.07185247305098 |
1.19245352562755 |
0.0961566564568268 |
| 1995:Q2 |
1.10455543483834 |
1.27061931764123 |
0.0980557730232551 |
| 1995:Q3 |
1.13739517490865 |
1.32044649962907 |
0.100160668047844 |
| 1995:Q4 |
1.15840132451368 |
1.40554645904286 |
0.101003671399214 |
| 1996:Q1 |
1.19947239786194 |
1.46351916258932 |
0.10361593262593 |
| 1996:Q2 |
1.23684500222653 |
1.53728648294067 |
0.104997048684185 |
| 1996:Q3 |
1.25819356750623 |
1.59625532844122 |
0.106791496593495 |
| 1996:Q4 |
1.29720635170642 |
1.68398152154639 |
0.108602306307781 |
| 1997:Q1 |
1.3398253461222 |
1.73929886058107 |
0.109514313790235 |
| 1997:Q2 |
1.41103047576068 |
1.81031575260595 |
0.11447157990271 |
| 1997:Q3 |
1.48880457429843 |
1.87751846703091 |
0.117225293259885 |
| 1997:Q4 |
1.54058926715743 |
1.93016932758376 |
0.124055523853467 |
| 1998:Q1 |
1.6397638914856 |
2.01047904177254 |
0.128181263519466 |
| 1998:Q2 |
1.68575965796822 |
2.10338068941873 |
0.132818308248431 |
| 1998:Q3 |
1.7235641447101 |
2.19108841905511 |
0.137584325580715 |
| 1998:Q4 |
1.78220381166139 |
2.16782329286758 |
0.139377748047199 |
| 1999:Q1 |
1.81736004851607 |
2.19426009242754 |
0.14388690998496 |
| 1999:Q2 |
1.85268012296105 |
2.11916119488776 |
0.145428635739208 |
| 1999:Q3 |
1.89636180916136 |
2.16944480124487 |
0.160728435683035 |
| 1999:Q4 |
1.93871348814245 |
2.25315493112671 |
0.167638475171298 |
| 2000:Q1 |
1.94234286409804 |
2.34538141267222 |
0.173490721512131 |
| 2000:Q2 |
1.95191430566043 |
2.43876433194414 |
0.180633142113346 |
| 2000:Q3 |
1.95751567046441 |
2.57352141866017 |
0.184397514745556 |
| 2000:Q4 |
1.95707391159787 |
2.68075305937168 |
0.194371374220391 |
| 2001:Q1* |
1.96213748823685 |
2.74788993148304 |
0.20847822197369 |
| 2001:Q2* |
1.93541249097775 |
2.84526949260293 |
0.21573602438606 |
| 2001:Q3* |
1.92092346226849 |
2.89469561708252 |
0.218940297604097 |
| 2001:Q4* |
1.893246319665 |
2.99463147630378 |
0.230360215208289 |
| 2002:Q1 |
1.85633471824949 |
3.0730164948843 |
0.222150941963274 |
| 2002:Q2 |
1.87878130590663 |
3.12788548966892 |
0.246086766985767 |
| 2002:Q3 |
1.83503812966576 |
3.18608565059125 |
0.255153049492396 |
| 2002:Q4 |
1.82241101468715 |
3.21426779329116 |
0.268945635464362 |
| 2003:Q1 |
1.81609561663803 |
3.23653941992791 |
0.283449798568218 |
| 2003:Q2 |
1.81850276050206 |
3.26362731724584 |
0.293019490214902 |
| 2003:Q3 |
1.82570444621067 |
3.25986127494183 |
0.316109396094107 |
| 2003:Q4 |
1.7713067869469 |
3.17365605686106 |
0.333211005222715 |
| 2004:Q1 |
1.84277405892082 |
3.23955339625232 |
0.347427414269866 |
| 2004:Q2 |
1.80165381592208 |
3.22161971868737 |
0.371528991771261 |
| 2004:Q3 |
1.85780340432043 |
3.18108939705312 |
0.390507852907658 |
| 2004:Q4 |
1.9181684478835 |
3.22884505878064 |
0.403629757156614 |
| 2005:Q1 |
1.96570035477531 |
3.07628278275691 |
0.422029246143012 |
| 2005:Q2 |
2.01435726702381 |
3.09379574159646 |
0.444305949004992 |
| 2005:Q3 |
2.06765581980984 |
3.10754865164776 |
0.455438276228587 |
| 2005:Q4 |
2.13948805087248 |
3.13813250624354 |
0.468559541853755 |
| 2006:Q1 |
2.20438126210691 |
3.17845556886027 |
0.485893813356306 |
| 2006:Q2 |
2.27105965465669 |
3.26459835671854 |
0.496023180740437 |
| 2006:Q3 |
2.27760721865552 |
3.29880245126379 |
0.503761696525926 |
| 2006:Q4 |
2.36806388343952 |
3.35874358377254 |
0.53382443722803 |
| 2007:Q1 |
2.43413232586245 |
3.43097663124898 |
0.543573071547899 |
| 2007:Q2 |
2.48613079623556 |
3.43853367428722 |
0.543756138900945 |
| 2007:Q3 |
2.55237331543962 |
3.51136822881021 |
0.552502791691223 |
| 2007:Q4* |
2.51348579157529 |
3.58234801569772 |
0.548917346589077 |
| 2008:Q1* |
2.44756330336631 |
3.59841576736364 |
0.545322909582795 |
| 2008:Q2* |
2.36151704312279 |
3.56146392211586 |
0.52891450019772 |
| 2008:Q3* |
2.20447586220954 |
3.50146661884562 |
0.539736349493628 |
| 2008:Q4* |
2.01621028524675 |
3.21065550990522 |
0.516329081343924 |
| 2009:Q1* |
1.96144622840218 |
2.86560229349425 |
0.483060791924614 |
| 2009:Q2* |
1.90637246075191 |
2.73869771950957 |
0.46287191491132 |
| 2009:Q3 |
1.85580183000103 |
2.61343038538999 |
0.444895162473966 |
| 2009:Q4 |
1.84296457740945 |
2.53083757539095 |
0.433887947930628 |
| 2010:Q1 |
1.74746143260275 |
2.46227547855107 |
0.426182965116208 |
| 2010:Q2 |
1.7196839682272 |
2.39702590622537 |
0.417300372637647 |
| 2010:Q3 |
1.73373004653646 |
2.35458836828178 |
0.407943147658667 |
| 2010:Q4 |
1.72662858413374 |
2.33664825763424 |
0.395942660262129 |
| 2011:Q1 |
1.79377226520706 |
2.36305417748712 |
0.392392387143144 |
| 2011:Q2 |
1.71385300815634 |
2.33917890550882 |
0.384229545542815 |
| 2011:Q3 |
1.73599587931118 |
2.26867262980864 |
0.373931249196632 |
* NBER defined recession period.
Figure 6a: Macroeconomic Implications of an Adverse Credit Supply Shock. Panel 1: Core Lending Capacity
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
-0.143821977048041 |
-0.356056693248635 |
0.0684127391525534 |
| 1 |
-0.261343312046294 |
-0.638133873116828 |
0.11544724902424 |
| 2 |
-0.715983992731119 |
-1.30678575176649 |
-0.125182233695743 |
| 3 |
-1.20550501668592 |
-2.02246684538446 |
-0.388543187987377 |
| 4 |
-1.68801446827989 |
-2.75122036333255 |
-0.624808573227227 |
| 5 |
-2.17407823413034 |
-3.49568596967379 |
-0.852470498586889 |
| 6 |
-2.63165430088548 |
-4.21280514961774 |
-1.05050345215322 |
| 7 |
-3.04565586231501 |
-4.88029854870209 |
-1.21101317592793 |
| 8 |
-3.40084455466649 |
-5.47463606893962 |
-1.32705304039336 |
| 9 |
-3.69113984833439 |
-5.98377723825057 |
-1.3985024584182 |
| 10 |
-3.91397331156915 |
-6.40053375363394 |
-1.42741286950436 |
| 11 |
-4.07129080174373 |
-6.72433718320764 |
-1.41824442027982 |
| 12 |
-4.16783709427406 |
-6.95913335925836 |
-1.37654082928976 |
| 13 |
-4.21062134616726 |
-7.11241112500963 |
-1.30883156732489 |
| 14 |
-4.20801914499002 |
-7.19399310401504 |
-1.222045185965 |
| 15 |
-4.1690986787153 |
-7.21522425253459 |
-1.12297310489601 |
| 16 |
-4.10302526830545 |
-7.18799477098345 |
-1.01805576562745 |
| 17 |
-4.01856751468233 |
-7.12413287165972 |
-0.913002157704943 |
| 18 |
-3.92373451284842 |
-7.03480128263587 |
-0.812667743060971 |
| 19 |
-3.82550826777218 |
-6.93010803487913 |
-0.72090850066523 |
| 20 |
-3.72968926782737 |
-6.81887453407917 |
-0.640504001575575 |
Figure 6b: Macroeconomic Implications of an Adverse Credit Supply Shock. Panel 2: Real GDP
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0.0102007171471364 |
-0.114465522235804 |
0.134866956530077 |
| 1 |
-0.0999135538148706 |
-0.300551282484859 |
0.100724174855118 |
| 2 |
-0.281245863836693 |
-0.563010306996703 |
0.000518579323317447 |
| 3 |
-0.448797023257937 |
-0.783627845099858 |
-0.113966201416016 |
| 4 |
-0.563819509060721 |
-0.949504111582766 |
-0.178134906538676 |
| 5 |
-0.646067243435229 |
-1.07855870544952 |
-0.213575781420934 |
| 6 |
-0.702372144168948 |
-1.18089984542758 |
-0.223844442910314 |
| 7 |
-0.740157557916922 |
-1.2589546564567 |
-0.221360459377143 |
| 8 |
-0.763154923402648 |
-1.31657261518144 |
-0.209737231623856 |
| 9 |
-0.774751454726389 |
-1.35657431770992 |
-0.192928591742863 |
| 10 |
-0.777695871724953 |
-1.38226327728862 |
-0.173128466161281 |
| 11 |
-0.774278057530663 |
-1.39653850281038 |
-0.152017612250948 |
| 12 |
-0.766530980816274 |
-1.40232048925623 |
-0.130741472376317 |
| 13 |
-0.756120395145221 |
-1.40205385902126 |
-0.110186931269182 |
| 14 |
-0.744472731022267 |
-1.39769186089562 |
-0.0912536011489097 |
| 15 |
-0.732706024312208 |
-1.39077917000088 |
-0.07463287862354 |
| 16 |
-0.721692650463902 |
-1.38252925321869 |
-0.0608560477091139 |
| 17 |
-0.712046327200504 |
-1.37392882162464 |
-0.0501638327763698 |
| 18 |
-0.704164499265584 |
-1.36574001192132 |
-0.0425889866098508 |
| 19 |
-0.698246425018734 |
-1.35854681959244 |
-0.0379460304450322 |
| 20 |
-0.694331136853557 |
-1.35275897268265 |
-0.0359033010244614 |
Figure 6c: Macroeconomic Implications of an Adverse Credit Supply Shock. Panel 3: Corporate bond spread
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0.0465980158545059 |
-0.07666769632478 |
0.169863728033792 |
| 1 |
0.233873974076135 |
0.061076669409282 |
0.406671278742988 |
| 2 |
0.343308045266358 |
0.140744703977513 |
0.545871386555203 |
| 3 |
0.341202377698462 |
0.136102883341052 |
0.546301872055872 |
| 4 |
0.286976934271045 |
0.086463953343133 |
0.487489915198957 |
| 5 |
0.230278120839587 |
0.0349464822672516 |
0.425609759411922 |
| 6 |
0.181647229235224 |
-0.00517689047925951 |
0.368471348949708 |
| 7 |
0.138582544700446 |
-0.0375858062073605 |
0.314750895608253 |
| 8 |
0.100610802017804 |
-0.0648820306699056 |
0.266103634705514 |
| 9 |
0.067613686004098 |
-0.087768938850104 |
0.2229963108583 |
| 10 |
0.0396763215724882 |
-0.107394017876452 |
0.186746661021428 |
| 11 |
0.0168030679132717 |
-0.123667018689435 |
0.157273154515979 |
| 12 |
-0.00118426430307135 |
-0.136605152508736 |
0.134236623902594 |
| 13 |
-0.0145524334438828 |
-0.145602491674616 |
0.116497624786851 |
| 14 |
-0.0237196351920159 |
-0.150465358744914 |
0.103026088360882 |
| 15 |
-0.0291759230602117 |
-0.151274207741628 |
0.0929223616212047 |
| 16 |
-0.0314870765221254 |
-0.148545502883747 |
0.0855713498394966 |
| 17 |
-0.0312399982451253 |
-0.142962016149571 |
0.0804820196593203 |
| 18 |
-0.0290254104090753 |
-0.135225998321645 |
0.0771751775034943 |
| 19 |
-0.0254041322207189 |
-0.126056649146295 |
0.0752483847048574 |
| 20 |
-0.0208907432255664 |
-0.11613126922376 |
0.0743497827726274 |
Figure 6d: Macroeconomic Implications of an Adverse Credit Supply Shock. Panel 4: Federal funds rate
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0.0494588699622876 |
-0.0259899468147389 |
0.124907686739314 |
| 1 |
-0.0379665910686637 |
-0.171661326139852 |
0.0957281440025242 |
| 2 |
-0.168186861360759 |
-0.353748476309098 |
0.0173747535875796 |
| 3 |
-0.25474003670349 |
-0.481342670406806 |
-0.0281374030001736 |
| 4 |
-0.326250203935566 |
-0.583831125975164 |
-0.0686692818959682 |
| 5 |
-0.38240672298171 |
-0.666154113112289 |
-0.0986593328511314 |
| 6 |
-0.419674345815349 |
-0.723904840394577 |
-0.115443851236121 |
| 7 |
-0.436778853362564 |
-0.75568632024022 |
-0.117871386484908 |
| 8 |
-0.434774642403882 |
-0.762402875549704 |
-0.10714640925806 |
| 9 |
-0.41614128589424 |
-0.746764162296466 |
-0.0855184094920138 |
| 10 |
-0.383982440691303 |
-0.71228674602409 |
-0.0556781353585155 |
| 11 |
-0.341769804602244 |
-0.662946525069189 |
-0.020593084135299 |
| 12 |
-0.292953562800338 |
-0.603101825531115 |
0.0171946999304392 |
| 13 |
-0.240805238615246 |
-0.537055676125628 |
0.0554451988951358 |
| 14 |
-0.188222551211071 |
-0.469053508954615 |
0.0926084065324725 |
| 15 |
-0.13765275999649 |
-0.402847722606287 |
0.127542202613307 |
| 16 |
-0.0910270246164735 |
-0.34157591492304 |
0.159521865690093 |
| 17 |
-0.0497555799198644 |
-0.287496367673204 |
0.187985207833475 |
| 18 |
-0.0147424758335602 |
-0.241932744907983 |
0.212447793240862 |
| 19 |
0.0135689898856046 |
-0.205261337603731 |
0.23239931737494 |
| 20 |
0.0351377657080512 |
-0.177076579048926 |
0.247352110465029 |
Figure 7a: Forecast Error Variance Decomposition. Panel 1: Core Lending Capacity
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0 |
0 |
0 |
| 1 |
2.783413749 |
0 |
11.43384719 |
| 2 |
3.360618371 |
0 |
12.87238149 |
| 3 |
15.0760745 |
0 |
31.61550758 |
| 4 |
22.06108316 |
3.235063017 |
40.88710331 |
| 5 |
26.24403151 |
5.853968349 |
46.63409468 |
| 6 |
29.38340271 |
7.915411748 |
50.85139367 |
| 7 |
31.59964842 |
9.427419938 |
53.77187691 |
| 8 |
33.06724699 |
10.43925089 |
55.69524308 |
| 9 |
33.95128208 |
11.06219829 |
56.84036587 |
| 10 |
34.39183214 |
11.3939254 |
57.38973888 |
| 11 |
34.52172236 |
11.52281768 |
57.52062703 |
| 12 |
34.45228854 |
11.51920603 |
57.38537106 |
| 13 |
34.27892275 |
11.43903372 |
57.11881177 |
| 14 |
34.07625135 |
11.32814375 |
56.82435894 |
| 15 |
33.89595092 |
11.21865385 |
56.57324799 |
| 16 |
33.76694868 |
11.13161807 |
56.40227929 |
| 17 |
33.69796106 |
11.07632818 |
56.31959393 |
| 18 |
33.68311977 |
11.05304199 |
56.31319755 |
| 19 |
33.70810417 |
11.05540026 |
56.36080809 |
| 20 |
33.75596633 |
11.07419205 |
56.43774061 |
Figure 7b: Forecast Error Variance Decomposition. Panel 2: Real GDP
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0 |
0 |
0 |
| 1 |
0.041494891 |
0 |
4.454276838 |
| 2 |
3.738077315 |
0 |
12.66379024 |
| 3 |
11.20514922 |
0 |
24.82021421 |
| 4 |
16.08177098 |
1.047625181 |
31.11591678 |
| 5 |
17.77204122 |
2.484288082 |
33.05979436 |
| 6 |
18.37206025 |
3.007374633 |
33.73674587 |
| 7 |
18.48007723 |
3.133437517 |
33.82671694 |
| 8 |
18.42458621 |
3.120399528 |
33.72877288 |
| 9 |
18.31389797 |
3.062193832 |
33.56560211 |
| 10 |
18.20910578 |
2.993355464 |
33.4248561 |
| 11 |
18.1283286 |
2.933188338 |
33.32346885 |
| 12 |
18.07788568 |
2.884254203 |
33.27151715 |
| 13 |
18.05337353 |
2.84570345 |
33.26104361 |
| 14 |
18.04831131 |
2.814095653 |
33.28252697 |
| 15 |
18.05492484 |
2.787393439 |
33.32245624 |
| 16 |
18.06681005 |
2.763212361 |
33.37040773 |
| 17 |
18.07918719 |
2.740470006 |
33.41790438 |
| 18 |
18.08928023 |
2.718554708 |
33.46000574 |
| 19 |
18.09595532 |
2.697732027 |
33.49417862 |
| 20 |
18.09930129 |
2.678423712 |
33.52017886 |
Figure 7c: Forecast Error Variance Decomposition. Panel 3: Corporate Bond Spread
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0 |
0 |
0 |
| 1 |
0.861921837 |
0 |
6.804709441 |
| 2 |
10.30568389 |
0 |
24.95935338 |
| 3 |
20.30590249 |
0.326882289 |
40.28492269 |
| 4 |
26.18669129 |
4.142452535 |
48.23093005 |
| 5 |
28.71974369 |
5.950286912 |
51.48920046 |
| 6 |
29.71836748 |
6.633269695 |
52.80346526 |
| 7 |
30.00852312 |
6.818410094 |
53.19863614 |
| 8 |
29.97100435 |
6.80850387 |
53.13350482 |
| 9 |
29.78653034 |
6.728817749 |
52.84424292 |
| 10 |
29.55639905 |
6.632783943 |
52.48001415 |
| 11 |
29.33758493 |
6.542875026 |
52.13229483 |
| 12 |
29.1592751 |
6.47035241 |
51.84819779 |
| 13 |
29.03272042 |
6.419346594 |
51.64609425 |
| 14 |
28.95654109 |
6.389313491 |
51.52376868 |
| 15 |
28.92215743 |
6.376674979 |
51.46763988 |
| 16 |
28.91759159 |
6.376588477 |
51.4585947 |
| 17 |
28.93076335 |
6.383606967 |
51.47791973 |
| 18 |
28.95145639 |
6.393054564 |
51.50985822 |
| 19 |
28.97234359 |
6.401494097 |
51.54319307 |
| 20 |
28.98911265 |
6.407113877 |
51.57111141 |
Figure 7d: Forecast Error Variance Decomposition. Panel 4: Federal funds rate
| Quarters after Shock |
Estimate |
Lower Bound |
Upper Bound |
| 0 |
0 |
0 |
0 |
| 1 |
2.582280537 |
0 |
11.01824074 |
| 2 |
1.252908092 |
0 |
6.734078721 |
| 3 |
4.953862654 |
0 |
16.06194504 |
| 4 |
8.841918835 |
0 |
24.29718352 |
| 5 |
12.50780567 |
0 |
30.88659945 |
| 6 |
15.88298684 |
0 |
36.40446792 |
| 7 |
18.85510896 |
0 |
40.93345563 |
| 8 |
21.36077296 |
0 |
44.56486555 |
| 9 |
23.38583484 |
0 |
47.39290866 |
| 10 |
24.95552843 |
0.391352649 |
49.51970421 |
| 11 |
26.11415276 |
1.187906648 |
51.04039887 |
| 12 |
26.91735055 |
1.785737202 |
52.0489639 |
| 13 |
27.42596988 |
2.212283555 |
52.6396562 |
| 14 |
27.70289122 |
2.497461994 |
52.90832044 |
| 15 |
27.8099403 |
2.67043293 |
52.94944766 |
| 16 |
27.80474402 |
2.75839324 |
52.8510948 |
| 17 |
27.73748616 |
2.786017686 |
52.68895464 |
| 18 |
27.64812219 |
2.775392301 |
52.52085207 |
| 19 |
27.56476127 |
2.745402667 |
52.38411987 |
| 20 |
27.50363821 |
2.710862962 |
52.29641347 |