OECD Economics Department Working Papers
Working papers from the Economics Department of the OECD that cover the full range of the Department’s work including the economic situation, policy analysis and projections; fiscal policy, public expenditure and taxation; and structural issues including ageing, growth and productivity, migration, environment, human capital, housing, trade and investment, labour markets, regulatory reform, competition, health, and other issues.
The views expressed in these papers are those of the author(s) and do not necessarily reflect those of the OECD or of the governments of its member countries.
- ISSN : 18151973 (en ligne)
- https://doi.org/10.1787/18151973
Quantifying the Effect of Financial Conditions in the Euro Area, Japan, United Kingdom and United States
This paper constructs a broad measure of financial conditions for the United States, Japan, the Euro
Area and the United Kingdom, by extending monetary condition indices which are traditionally used to
gauge the impact of monetary policy on the economy. In addition to changes in the exchange rate and short
and long interest rates, the change in credit availability, corporate bond spreads and household wealth are
taken into account to gauge the evolution of financial conditions. Since the onset of the financial crisis,
financial conditions have tightened by an unprecedented degree in the four countries/regions and this is
evaluated to exert a major drag on activity.
Mots-clés: monetary conditions index, credit channel, financial conditions index, credit crunch, macro-financial linkages, interest rate spreads, wealth effects
JEL:
E47: Macroeconomics and Monetary Economics / Money and Interest Rates / Money and Interest Rates: Forecasting and Simulation: Models and Applications;
E32: Macroeconomics and Monetary Economics / Prices, Business Fluctuations, and Cycles / Business Fluctuations; Cycles;
E44: Macroeconomics and Monetary Economics / Money and Interest Rates / Financial Markets and the Macroeconomy;
E51: Macroeconomics and Monetary Economics / Monetary Policy, Central Banking, and the Supply of Money and Credit / Money Supply; Credit; Money Multipliers
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