Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103752
Authors: 
Meyer, Björn O.
Year of Publication: 
2014
Series/Report no.: 
Kiel Advanced Studies Working Papers 466
Abstract: 
The provision of credit has been shown to be eminent for macroeconomic activity. Recent research highlighted that optimism may play a role in the provision of credit through leverage cycles. A decomposition of corporate bond spreads allows the modelling of a propensity-to-lend through an excess bond premium. In the US economy, optimism in various sentiment measures causes within a VAR model, including other financial market variables, a fall of this excess bond premium and therefore increase the propensity-to-lend. Use of the Michigan Consumer Sentiment Index and animal spirit indices show a variation of information content in sentiment and different types of animal spirits. The overall reaction to positive animal spirits seems to be dominated by a positive response of the credit provision and its subsequent reversal, while an increase in the MCSI causes a more persistent positive response.
JEL: 
E03
E22
E32
E44
Document Type: 
Working Paper

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