Does Bank Lending Tightness Matter?
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1 Does Bank Lending Tightness Matter? IGOR ERMOLAEV Bank of Russia CHARLES FREEDMAN International Monetary Fund MICHEL JUILLARD Paris School of Economics and CEPREMAP ONDRA KAMENIK International Monetary Fund DMITRY KORSHUNOV Bank of Russia DOUGLAS LAXTON International Monetary Fund
2 March 17, 8 Introduction Estimate a small Global Projection Model (GPM) using U.S. data on GDP, unemployment, in ation and the Fed Funds Rate Add information on Bank Lending Tightness (BLT) to see how much it matters
3 Three Major Findings The model produces plausible forecasts and sensible IRFs BLT results in a signi cant improvement in forecast accuracy The model predicts signi cant weakness in the U.S. economy in 8
4 The US economy over the sample period In 199, as the economy completed its recovery from the recession of the Fed raised its policy interest rate towards a more neutral, less stimulative level. Over the period 199 to 1999, the economy continued to grow at a fairly rapid pace, with unemployment falling. In response to concerns about in ationary pressures the Fed began to raise interest rates gradually through 1999 and into. GDP growth slowed partly in response to the high tech slowdown and the fall in the stock market.
5 The US economy over the sample period (cont.) The Fed gradually reduced its policy interest rate with the decline of in ation to very low levels. The period of low interest rates was successful in reinvigorating the economy and causing unemployment to decline from a peak of about % in 3 to a trough of about 1/% in. Finally, over the past few months, the end of the housing price boom, the liquidity problems in the asset-backed commercial paper market, and the problems faced by holders of structured nancial instruments have together led to a negative outlook for the United States
6 8 United States Real GDP Growth (In percent; solid=year on year, dashed=quarter on quarter) Unemployment Rate (In percent) Year On Year Inflation (In percent; solid=cpi, dashed=core, dotted=target) Sho rt Term Interest Rate (In p ercen t)
7 8 United States Quarter On Quarter Inflation (In percent; solid=cpi, dashed=core) Oil Price (US$ per barrel) Oil Price Change (solid, right axis) and CPI and Core Inflation Differential (dashed, left axis) (In percent; year on year) Oil Price Change (solid, right axis) and CPI and Core Inflation Differential (dashed, left axis) (In percent; quarter on quarter)
8 The Model (case US) Headline In ation Output Gap Reaction Function Unemployment Gap
9 1. In ation Equation t = 1 t+ + (1 1 ) t 1 + y t 1 + " t Backward and Forward-Looking Components ( 1 t+ + (1 1 ) t 1 ) Output Gap ( y t 1 ) Supply Shock (" t )
10 . Output Gap Equation y t = 1 y t 1 + y t+1 3 (rr t 1 rr t 1 ) + " y t Backward and Forward-Looking Components ( 1 y t 1 + y t+1 ) Real Interest Rate Gap 3 (rr t 1 rr t 1 ) Demand Shock (" y t )
11 3. Reaction Function Equation rs t = (1 1 ) h rr t + t+3 + ( t+3 tar ) + y t i + 1 rs t 1 + " rs t Expected 1-Year-Ahead Y-O-Y In ation Gap ( t+3 tar ) Inertia 1 (rs t 1 ) Output Gap (y t ) Discretionary or Random Component of Monetary Policy (" rs t )
12 System Estimation Using Bayesian Methods More Meaningful Statistical Inference Model Validation Estimates of Uncertainty Actually Works in Small Samples Fexible Stochastic Processes
13 Nothing Special about Unit Roots Not a Panacea AVOIDS PREFILTERING!
14 Figure 1: US Unemployment HP
15 Figure : US Unemployment HP
16 . Unemployment Gap Equation (Dynamic Okun s Law) (u t u t ) = 1 (u t 1 u t 1 ) + y t + " (u t u t ) t Inertia 1 (u t 1 u t 1 ) Output Gap y t Shock " (u t u t ) t
17 . NAIRU Process u t = u t 1 + ug t + " u t ug t = (1 3 )ug t 1 + " ug t Level shocks to NAIRU (" u t ) Shock to NAIRU Growth (" ug t )
18 . Potential Output Process y t = y t 1 + g t = + " y t g t = g ss + (1 )g t 1 + " g t Level shocks to potential output (" y t ) Persistence deviations in potential growth from long-run growth (g ss + (1 )g t 1 ) Shock to Potential Growth (" g t )
19 7. Equilibrium Real Interest Rate Process rr t = rr ss t + (1 )rr t 1 + " rr t Persistence deviations in equlibrium real interest rate (rr t ) from its steady-state rate(rr ss t )
20 The Model with BLT Bank Lending Tightness (BLT) index Stronger Macro- nancial linkages
21 Simple Measure of BLT Based on Fed s Senior Loan O cer Survey BLT t = :(CILF t + CISF t + CR t + RM t ) Commercial and industrial loans for large rms (CILF t ) Commercial and industrial loans for small rms (CISF t ) Commercial real estate loans (CR t ) Residential mortgage loans (RM t )
22 Figure 3: BLT and the Model-Consistent Output Gap Q1 1Q 1Q3 1Q Q1 Q Q3 Q 3Q1 3Q 3Q3 3Q Q1 Q Q3 Q Q1 Q Q3 Q Q1 Q Q3 Q 7Q1 7Q 7Q3 7Q y_gap (base case with fed funds rate) BT( )
23 Figure : BLT and the Model-Consistent Output Gap Q1 1Q 1Q3 1Q Q1 Q Q3 Q 3Q1 3Q 3Q3 3Q Q1 Q Q3 Q Q1 Q Q3 Q Q1 Q Q3 Q 7Q1 7Q 7Q3 7Q 8Q1 8Q 8Q3 8Q 9Q1 y_gap (base case with fed funds rate) BT( ) (regressed on y_gap)
24 Model Extensions for Macro- nancial linkages(1) BLT t BLT t = y t+ + BLT t BLT t = BLT t 1 + BLT t BLT gap (BLT t BLT t ) depends on the expected output gap one year ahead BLT index depends on shifts in its equilibrium level (BLT t )
25 Model Extensions for Macro- nancial linkages () y t = 1 y t 1 + y t+1 3 (rr t 1 rr t 1 ) (" BLT t )) " BLT t = :( BLT +:1( BLT t 1 + BLT t t 3 + BLT t 9 ) + :8(BLT 7 ) + :1(BLT t + BLT t 8 ) t + BLT t ) + :BLT t E ect of innovations in BLT equation on output gap ((" BLT t )) Distributed lags of innovations in BLT equation (" BLT t )
26 Observable Variables CPI, unemployment rate, Fed Funds rate, real GDP, BLT index Sample without near-term judgment is 199q1 to 7q Compare results with near-term judgment for 8q1-8q and 8q1-8q Conditional forecast scenarios
27 Figure : Unemployment Rate and Model-Consistent NAIRU Obs. UNR_US UNR_US_BAR
28 Figure : GDP and Model-Consistent Potential GDP Obs. LGDP_US LGDP_US_BAR
29 Figure 7: GDP Gap, Unemployment Gap and In ation UNR_US_GAP Y_US PIE_US
30 Figure 8: BLT and the Model-Consistent Output Gap Q1 1Q 1Q3 1Q Q1 Q Q3 Q 3Q1 3Q 3Q3 3Q Q1 Q Q3 Q Q1 Q Q3 Q Q1 Q Q3 Q 7Q1 7Q 7Q3 7Q y_gap (base case with fed funds rate) BT( )
31 Figure 9: BLT and the Model-Consistent Output Gap Q1 1Q 1Q3 1Q Q1 Q Q3 Q 3Q1 3Q 3Q3 3Q Q1 Q Q3 Q Q1 Q Q3 Q Q1 Q Q3 Q 7Q1 7Q 7Q3 7Q 8Q1 8Q 8Q3 8Q 9Q1 y_gap (base case with fed funds rate) BT( ) (regressed on y_gap)
32 The Properties of the Model Posterior Maximization (parameters and standard deviations of structural shocks) Analysis of Impulse Response Functions
33 Table 1: Results from posterior maximization (parameters) Prior distribution Prior mean Prior s.d. Posterior mode s.d. us1 beta us gamm us3 beta growth_us_ss norm rr_us_bar_ss norm us beta us beta us1 gamm us beta us3 gamm us1 beta us gamm us1 beta us gamm us gamm us gamm us gamm
34 Table : shocks) Results from posterior maximization (standard deviation of structural Prior distribution Prior mean Prior s.d. Posterior mode s.d. RES_U N R_U S_GAP invg. Inf.99.1 RES_U N R_U S_BAR invg.1 Inf.73.1 RES_U N R_G_U S invg.1 Inf.9.1 RES_Y _U S invg. Inf RES_LGDP _U S_BAR invg. Inf.3.9 RES_G_U S invg.1 Inf RES_P IE_U S invg.7 Inf RES_RS_U S invg.7 Inf.33. RES_RR_U S_BAR invg. Inf RES_BLT _U S invg. Inf RES_BLT _U S_BAR invg. Inf.9.38
35 Figure 1: IRF (Demand Shock ( " y t )). Y_US.1 PIE_US.1 RS_US UNR_US 1. GROWTH_US. GROWTH_US BLT_US
36 Figure 11: IRF (Supply Shock ( " t )). Y_US. PIE_US.1 RS_US UNR_US. GROWTH_US. GROWTH_US BLT_US
37 Figure 1: IRF (Monetary Policy Shock( " rs t )). Y_US.1 PIE_US. RS_US UNR_US.1 GROWTH_US. GROWTH_US BLT_US
38 Figure 13: IRF (BLT Shock( BLT t )). Y_US.3 PIE_US. RS_US UNR_US. GROWTH_US. GROWTH_US BLT_US 1 1 3
39 Figure 1: IRF (Equilibrium Quarterly Growth Rate Shock( " g t )).1 Y_US. PIE_US.3 RS_US UNR_US.8 GROWTH_US. GROWTH_US GROWTH_US_BAR.1 BLT_US
40 The Forecast Analysis RMSEs Dynamic Forecast Fan Chart
41 Table 3: Base Case Root Mean Square Errors 1 Q Ahead Q Ahead 8 Q Ahead 1 Q Ahead Y _U S P IE_U S RS_U S U N R_U S U N R_U S_BAR GROW T H_U S GROW T H_U S GROW T H_U S_BAR
42 Table : BLT Root Mean Square Errors 1 Q Ahead Q Ahead 8 Q Ahead 1 Q Ahead Y _U S P IE_U S RS_U S U N R_U S U N R_U S_BAR GROW T H_U S GROW T H_U S GROW T H_U S_BAR
43 Unemployment Rate Dynamic Forecast without BLT with BLT 7 UNR_US 8 periods ahead () 7 UNR_US 8 periods ahead () 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 Interest Rate Dynamic Forecast without BLT with BLT RS_US 8 periods ahead () RS_US 8 periods ahead () 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3
44 Y-O-Y GDP Growth Rate Dynamic Forecast without BLT with BLT GROWTH_US 8 periods ahead () GROWTH_US 8 periods ahead () 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 Q-o-Q GDP Growth Rate Dynamic Forecast without BLT with BLT 1 GROWTH_US 8 periods ahead () 1 GROWTH_US 8 periods ahead () 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3
45 Output Gap Dynamic Forecast without BLT with BLT 1 Y_US 8 periods ahead () Y_US 8 periods ahead () Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 In ation Dynamic Forecast without BLT with BLT PIE_US 8 periods ahead () PIE_US 8 periods ahead () 3 1 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3 1Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 7Q1 Q3 Q1 Q3 Q1 Q3
46 Figure 1: Base-Case Model Baseline Forecast with and 9 Percent Con dence Bands Y_US PIE_US 8 RS_US UNR_US UNR_US_BAR 1 GROWTH_US GROWTH_US GROWTH_US_BAR
47 Figure 1: BLT-Case Model Baseline Forecast with and 9 Percent Con dence Bands Y_US PIE_US 8 RS_US UNR_US UNR_US_BAR 1 GROWTH_US GROWTH_US GROWTH_US_BAR 1 BLT_US
48 Figure 17: Lower Potential Growth (1.%) Y_US PIE_US 8 RS_US UNR_US UNR_US_BAR 1 GROWTH_US GROWTH_US GROWTH_US_BAR 1 BLT_US
49 Figure 18: Lower Potential Growth (1.%), Tuned BT (8q1-8q), and Tuned Flat GDP (8q1-8q) Y_US PIE_US 1 RS_US UNR_US UNR_US_BAR 1 GROWTH_US GROWTH_US GROWTH_US_BAR 1 BLT_US
50 Figure 19: Lower Potential Growth (1.%), Tuned BT (8q1-9q), and Tuned Flat GDP (8q1-8q) Y_US PIE_US 1 RS_US UNR_US UNR_US_BAR 1 GROWTH_US GROWTH_US GROWTH_US_BAR 1 BLT_US
51 Figure : Lower Potential Growth (1.%), BLT Tuned to Upper Band (8q1-9q), and Tuned Declining GDP (8q1-8q) Y_US PIE_US 1 RS_US UNR_US UNR_US_BAR 1 GROWTH_US GROWTH_US GROWTH_US_BAR 1 BLT_US
52 Table : Root Mean Square Errors for Base-Case Model (short sample) 1 Q Ahead Q Ahead 8 Q Ahead 1 Q Ahead Y _U S P IE_U S RS_U S U N R_U S U N R_U S_BAR GROW T H_U S GROW T H_U S
53 Table : Root Mean Square Errors for BLT-Case Model (short sample) 1 Q Ahead Q Ahead 8 Q Ahead 1 Q Ahead Y _U S P IE_U S RS_U S U N R_U S U N R_U S_BAR GROW T H_U S GROW T H_U S..7.1.
54 Conclusion and Next Extension Results challenge simple models that assume that the policy rate, GDP, in ation, and unemployment contain su cient information for measuring and predicting business cycles. Add risky spreads and asset prices. Some preliminary results extending the results to a -country version (U.S. and euro area are encouraging), but will require some technological innovation in DYNARE as the BLT variable for the euro area only goes back to 3.
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