国际清算银行-金融状况与宏观经济：双因素视角（英）

BIS Working PapersNo 1272 Financial conditions and the macroeconomy: a two-factor view by Marco Lombardi, Cristina Manea and Andreas Schrimpf Monetary and Economic Department June 2025 JEL classification: C38, E52, G10 Keywords: financial conditions, monetary policy, financial accelerator, dynamic factor model BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) .Financial Conditions and the Macroeconomy:A Two-Factor View∗Marco LombardiCristina ManeaAndreas SchrimpfBISBISBIS & CEPRJune 13, 2025AbstractWe construct a new financial conditions index for the United States based on a dynamicfactor model applied to a broad set of financial prices and yields. The resulting two latentfactors capture, respectively, the general level of safe interest rates and an overall measureof perceived and priced financial risk. Analysing the interaction between these factors andthe macroeconomy, we find that: (i) both factors are affected significantly by monetary policy;(ii) positive shifts in both factors lead to a persistent contraction in economic activity; (iii) relativeto the safe interest rates factor, the risk–related factor exhibits stronger predictive power foreconomic activity. Our results are consistent with both the demand and the credit channelsof monetary policy being at work, and emphasize that isolating movements in safe interestrates from shifts in perceived financial risk is essential to accurately assess the transmission offinancial conditions to economic activity.Keywords: Financial Conditions, Monetary Policy, Financial Accelerator, Dynamic Factor ModelJEL Classification: C38, E52, G10∗Lombardi: Bank for International Settlements. Email: marco.lombardi@bis.org. Manea: Bank for InternationalSettlements. Email: cristina.manea@bis.org. Schrimpf: Bank for International Settlements, and CEPR. Email:andreas.schrimpf@bis.org. We thank Claudio Borio, Charles Evans, Gaston Gelos, Hyun Song Shin, FrankSmets, Eric Swanson, Harald Uhlig, as well as seminar participants at the BIS, the ECB and the Joint BIS-SNBworkshop for feedback and comments. We are also grateful to Berke Korukmez for excellent research assistance.“[...] financial conditions affect households’ and firms’ saving and investment plans, and,therefore, play a key role in influencing economic activity and the economic outlook. This iswhy the evaluation of financial conditions is so crucial in the conduct of monetary policy.”W