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Quantifying the Effect of Financial Conditions in the Euro Area, Japan, United Kingdom and United States

Author

Listed:
  • Stéphanie Guichard

    (OECD)

  • David Haugh

    (OECD)

  • David Turner

    (OECD)

Abstract
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. Quantifier l'impact des conditions financières dans la Zone Euro, le Japon, le Royaume-Uni et les États-Unis Ce document propose une mesure des conditions financières au sens large pour les États-Unis, le Japon, la Zone Euro et le Royaume-Uni, en étendant les indices des conditions monétaires traditionnellement employés pour mesurer l’impact de la politique monétaire sur l’économie. En plus des variations du taux de change et des taux d’intérêt à court et long terme, l’évolution de la disponibilité du crédit, des primes de risques sur les obligations des sociétés et de la richesse des ménages sont prises en considération pour apprécier l’évolution des conditions financières. Depuis le début de la crise financière, le resserrement des conditions financières a attient un degré sans précédent dans les quatre pays/régions et ceci devrait peser fortement sur l’activité.

Suggested Citation

  • Stéphanie Guichard & David Haugh & David Turner, 2009. "Quantifying the Effect of Financial Conditions in the Euro Area, Japan, United Kingdom and United States," OECD Economics Department Working Papers 677, OECD Publishing.
    • Handle: RePEc:oec:ecoaaa:677-en
    DOI: 10.1787/226365806132
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    More about this item

    Keywords

    canal du crédit; contraction du crédit; credit channel; credit crunch; effet de richesse; financial conditions index; indice des conditions financières; indice des conditions monétaires; interest rate spreads; macro-financial linkages; monetary conditions index; relations macro-financières; wealth effects; écarts de taux d’intérêt;
    All these keywords.

    JEL classification:

    • 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
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • 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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