Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189928
Authors: 
Bertsch, Christoph
Hull, Isaiah
Zhang, Xin
Year of Publication: 
2017
Series/Report no.: 
Sveriges Riksbank Working Paper Series No. 319
Abstract: 
On December 16th of 2015, the Fed initiated "liftoff", a critical step in the monetary normalization process. We use a unique panel dataset of 640,000 loan-hour observations to measure the impact of liftoff on interest rates, demand, and supply in the online primary market for uncollateralized consumer credit. We find that credit supply increased, reducing the spread by 16% and lowering the average interest rate by 16.9-22.6 basis points. Our findings are consistent with an investor-perceived reduction in default probabilities; and suggest that liftoff provided a strong, positive signal about the future solvency of borrowers.
Subjects: 
monetary normalization
monetary policy signaling
consumer loans
credit risk
JEL: 
D14
E43
E52
G21
Document Type: 
Working Paper

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