期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：We implement a two-step approach to construct a financing conditions index (FCI) for the euroarea and its four larger member states (Germany, France, Italy and Spain). The method, whichfollows Hatzius et al. (2010), is based on factor analysis and enables to summarise informationon financing conditions from a large set of financial indicators, controlling for the level ofpolicy interest rates, changes in output and inflation. We find that the FCI tracks successfullyboth worldwide and euro area specific financial events. Moreover, while the national FCIs areconstructed independently, they display a similar pattern across the larger euro area economiesover most of the sample period and varied more widely since the start of the sovereign debtcrisis in 2010. Focusing on the euro area, we then incorporate the FCI in a VAR modelcomprising output, inflation, the monetary policy rate, bank loans and bank lending spreads.The credit supply shock extracted with sign restrictions is estimated to have caused around onefifth of the decline in euro area manufacturing production at the trough of the financial crisisand a rise in bank lending spreads of around 30 basis points. We also find that adding the FCI tothe VAR enables an earlier detection of credit supply shocks
