WSJブログに書かれているEconomist's View経由)。以下はそこからの引用。

What they found is that after improving markedly in the first half of 2009 — thanks in large part to the Fed’s money pumping exercises — financial conditions tightened again in the second half of the year, unusually so for the early stages of a recovery. “The fact that financial conditions are still impaired, at least in some parts of the system, is consistent with the idea that the recovery is going to be a slow one,” Mr. Hatzius said. “It is consistent with a fairly slow, U-shaped recovery.” It also suggests inflation and bubbles shouldn’t be a big worry in the U.S. — money is cheap but not easily accessible as it was during the boom.

このブログ記事の元となった論文はこちら。新しい金融環境指数(Financial Conditions Index=FCI)を開発し、それにより上述の結論を導き出したという。


This report explores the link between financial conditions and economic activity. We first review existing measures, including both single indicators and composite financial conditions indexes (FCIs). We then build a new FCI that features three key innovations. First, besides interest rates and asset prices, it includes a broad range of quantitative and survey-based indicators. Second, our use of unbalanced panel estimation techniques results in a longer time series (back to 1970) than available for other indexes. Third, we control for past GDP growth and inflation and thus focus on the predictive power of financial conditions for future economic activity. During most of the past two decades for which comparisons are possible, including the last five years, our FCI shows a tighter link with future economic activity than existing indexes, although some of this undoubtedly reflects the fact that we selected the variables partly based on our observation of the recent financial crisis. As of the end of 2009, our FCI showed financial conditions at somewhat worse-than-normal levels. The main reason is that quantitative credit measures (e.g. asset-backed securities issuance) remain very weak, especially once we control for past economic growth. Thus, our analysis is consistent with an ongoing modest drag from financial conditions on economic growth in 2010.



FCI (purged) FCI (non purged)
ABS発行量 -0.64 -0.20 -0.44
金融業の時価総額 -0.24 -0.03 -0.20
FRB負債:証券レポ総額*1 -0.19 -0.01 -0.18
ウィルシャー5000 -0.11 -0.02 -0.09
FRB調査:小企業向け貸し出し厳格化*2 -0.09 0.07 -0.16
FRB調査:大企業向け貸し出し厳格化 -0.09 0.06 -0.15
ローンパフォーマンス社の全国住宅価格指数*3 -0.08 0.00 -0.08
FRB調査:消費者向け貸し出し意欲 -0.08 0.01 -0.09
CP全発行量 -0.08 -0.04 -0.04
総計 -1.60 -0.17 -1.43



*2:cf. こここの記事も参照。

*3:cf. ここ