Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244360 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 31-2021
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
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.
Schlagwörter: 
loan survey
credit supply
risk-taking
instrumental variable local projections
shock identification
JEL: 
E32
E44
G14
Dokumentart: 
Working Paper

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