美联储-从银行贷款标准到银行信贷条件：一种SVAR方法（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)From Bank Lending Standards to Bank Credit Conditions: AnSVAR ApproachVihar Dalal; Daniel A. Dias; Pinar Uysal2025-055Please cite this paper as:Dalal, Vihar, Daniel A. Dias, and Pinar Uysal (2025).“From Bank Lending Stan-dards to Bank Credit Conditions: An SVAR Approach,” Finance and Economics Discus-sion Series 2025-055.Washington: Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2025.055.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.From Bank Lending Standards to Bank CreditConditions: An SVAR Approach∗Vihar Dalal†Daniel A. Dias‡Pinar Uysal§July 8, 2025AbstractThis paper uses a structural vector autoregressive (SVAR) model—identified with anexternal monetary policy instrument and sign restrictions—to derive a measure of bankcredit conditions from changes in bank lending standards. The model incorporates dataon interest rates, bank credit, and survey-based measures of bank lending standardsto identify monetary policy, credit demand, and credit supply shocks.Using theseidentified shocks, we construct a novel measure of bank credit conditions that corre-sponds to the component of credit growth that would occur if credit demand remainedunchanged, reflecting solely the impacts of monetary policy and credit supply shocks.Using this measure, we find that credit supply–driven changes in bank credit condi-tions have a stronger impact on real outcomes in the euro area, whereas monetarypolicy–driven changes play a larger role in the U.S. economy.JEL classification codes: C32, C36, G21.Keywords: Bank Credit; Bank Lending Surveys; Monetary Policy; External Instruments;Sign Restrictions; SVAR∗We would like to thank without implicating Friederike Niepmann, Daniel Beltran, Jason Wu, and LucaGuerrieri for comments and suggestions that helped improve the paper. The views in this paper are solely theresponsibility of the authors and should not be interpreted as reflecting the views of the Board of Governorsof the Federal Reserve System or of any other person associated with the Federal Reserve System. All errorsare our own.†Board of Governors of the Federal Reserve System. Email: vihar.m.dalal@frb.gov.‡Board of Governors of the Federal Reserve System and CEMAPRE. Email: daniel.dias@frb.gov.§Board of Governors of the Federal Reserve System. Email: pinar.uysal@frb.gov.11. IntroductionCentral banks must assess whether credit conditions are expansionary or rest