Impulse Response Functions from alternative specifications for “Consumer Credit,
Liquidity, and the Transmission Mechanism of Monetary Policy”
August 2008
Abstract
This file contains figures for impulse response functions calculated from alternative
specifications than those reported in the paper, “Consumer Credit, Liquidity, and the
Transmission Mechanism of Monetary Policy.” The baseline specification takes the form of
a five-variable VAR the with monetary policy variable, the federal funds rate, ordered last.
The figures for the alternative specifications in this file display variations to the baseline
specification that include a time trend, different lag lengths of the VAR, the federal funds
ordered first, and with alternative real variables including real disposable income and nonfarm payroll employment. Included also are figures displaying the comparison of the credit
data to both monetary and non-monetary shocks. This file reports the results for monthly
and quarterly data discussed in the paper and support the robustness of the results.
List of Figures
Figure A1: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: Base Case
Figure A2: VAR Impulse Response Functions on Bank and Non-Bank consumer credit to a
shock to the Federal funds rate
Figure A3a and A3b: VAR Impulse Response Functions in response to a shock to the
Federal funds rate: One Percent Shock for each time period
Figure A4: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: Federal Funds Rate ordered First
Figure A5: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: With Real Disposable Income
Figure A6: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: With Employment
Figure A7: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: With Consumption and Employment
Figure A8: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: Longer Lag Structure
Figure A9: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: With Time Trend
Figure A10: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: Quarterly with one Lag
Figure A11: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: Quarterly with real GDP
Figure A12: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: 1990 to 2007 (Quarterly) Credit Card Balances and Unused Portions: with real GDP 13
Figure A13: VAR Impulse Response Functions in response to a shock to the Federal funds
rate: 1990 to 2007 (Quarterly) all Consumer loans and unused portions of Credit Card lines:
with real GDP
Figure A14: VAR Impulse Response Functions in response to a shock to the Federal funds
rate and to a Non-Monetary Shock to Consumption Expenditures
Figure A15: VAR Impulse Response Functions in response to a shock to the Federal funds
rate and to a Non-Monetary Shock to Real Disposable Income
Figure A16: VAR Impulse Response Functions in response to a shock to the Federal funds
rate and to a Non-Monetary Shock to Consumption Expenditures (Quarterly)
Figure A17: Detrended Bank and Non-Bank Consumer Credit and Consumption Relative
to the Federal Funds Rate
Figure A1: VAR Impulse Response Functions in response to a shock to the Federal funds rate: Base Case
1968 through 2006
Consumption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
0.5
percent
Price Deflator
Federal Funds Rate
3
2
1.0
.4
2
1
1
0.5
.2
0
0.0
0
.0
0.0
-1
-1
-0.5
-.2
-2
-3
-2
-1.0
-0.5
-.4
-4
5
10 15 20 25 30 35 40 45 50 55 60
5
10 15 20 25 30 35 40 45 50 55
60
-1.0
5
10 15 20 25 30 35 40 45 50 55
60
5
10 15 20 25 30 35 40 45 50 55 60
5
10 15 20 25 30 35 40 45 50 55 60
1968 through 1983
Consumption
Nonrevolvin g Bank Credit
Revolving Ban k Credi t
1.0
0.5
percent
Price D eflato r
Federal Funds Rate
3
2
1.2
.4
2
0.8
1
1
.2
0.4
0
0.0
0
.0
0.0
-1
-1
-0.5
-.2
-2
-3
-2
-1.0
-0.4
-.4
-0.8
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
50
60
1984 through 2006
Consumption
Nonrevo lving Ba nk Credi t
Revolving Bank C redit
1.0
0.5
percent
Price Deflato r
Federal Fun ds Rate
3
2
1.0
.4
2
1
1
0.5
.2
0
0.0
0
.0
-1
-1
-0.5
-2
0.0
-.2
-0.5
-3
-2
-.4
-1.0
-4
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
30
40
50
60
10
20
30
40
forecast horizon (months)
Notes: Five-variable VARs estimated with 2 lags (as determined by the AIIC); shock is a one-standard deviation shock. See Figures A2 through A8 for alternative specifications.
50
60
10
20
30
40
Figure A2: VAR Impulse Response Functions on Bank and Non-Bank consumer credit to a shock to
the Federal funds rate
Commercial Bank Credit 1984 through 2006
percent
Nonrevolving Bank Credit
Revolving Bank Credit
3
3
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3
10
20
30
40
50
60
10
20
30
40
50
60
50
60
Non-Bank Credit 1984 through 2006
percent
Nonrevolving Non-Bank Credit
Revolving Non-Bank Credit
3
3
2
2
1
1
0
0
-1
-1
-2
-2
-3
-3
-4
-4
-5
-5
10
20
30
40
50
60
forecast horizon (months)
Notes: See notes to Figures A1 and Figure 5.
10
20
30
40
Figure A3a: Impulse Response Functions in response to a shock to the Federal funds rate: Monthly Consumer Bank Credit to a one percent shock
Commercial Bank Nonrevolving Credit
1968 through 2006
1984 through 2006
1968 through 1983
6
6
4
4
2
2
0
0
-2
-2
-4
-4
6
4
percent
2
0
-2
-4
-6
-8
-10
-12
-6
-6
1
5
9
13
17
21
25
29
33
37
41
45
49
53
1
57
4
7
1
10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
4
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
Commercial Bank Revolving Credit
8
3
percent
1984 through 2006
1968 through 1983
1968 through 2006
5
1
6
9
4
4
2
-1
0
-1
-2
-6
-3
-4
-11
-5
-6
-16
-8
-7
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1
4
7
10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
1
4
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
forecast horizon (months)
Notes: See notes to Table 3. Impulse response functions calculated for a one percent shock to the federal funds rate for each time period. Note that the axis for each figure are different than in Figure 3.
Figure A3b: Impulse Response Functions in response to a shock to the Federal funds rate: Additional Regressors to a one percent shock
Consumption
percent
1968 through 2006
1984 through 2006
1968 through 1983
3
3
3
2
2
2
1
1
1
0
0
0
-1
-1
-1
-2
-2
-2
-3
-3
-3
1
5
9
13
17
21
25
29
33
37
41
45
49
53
1
57
4
7
10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
1
4
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
PCE Price Deflator
1968 through 1983
1968 through 2006
0.45
percent
0.25
0.05
1
0.4
0.8
0.3
0.6
0.2
0.4
0.1
0.2
0
0
-0.1
-0.2
-0.2
-0.4
-0.3
-0.6
-0.4
-0.8
-0.15
-0.35
-0.55
-0.5
-0.75
1
5
9
13
17
21
25
29
33
37
41
45
49
53
1984 through 2006
0.5
-1
1
57
4
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
1
4
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
Federal Funds Rate
1984 through 2006
1968 through 1983
1968 through 2006
1.5
3
1
2
0.5
1
0
0
-0.5
-1
-1
-2
3
percent
2.5
2
1.5
1
0.5
0
-0.5
-1
-1.5
-1.5
-3
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
-2
1
4
7
10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
forecast horizon (months)
Notes: See notes to Figure 3a and B1. Please note that the vertical axis for each figure are different in some cases than in Figure 3.
1
4
7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
Figure A4: VAR Impulse Response Functions in response to a shock to the Federal funds rate: Federal Funds Rate ordered First
1968 through 2006
Consumpt ion
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Federal Funds Rat e
1.0
.4
2
0.5
0.8
1
1
percent
Price Deflator
3
2
.2
0.6
0
0.0
0.4
0
.0
-1
-1
-0.5
0.2
-2
-.2
0.0
-3
-2
-0.2
-.4
-1.0
-4
5
10
15
20
25
30
35
40
45
50
55
60
5
10
15
20
25
30
35
40
45
50
55
60
5
10
15
20
25
30
35
40
45
50
55
-0.4
60
5
10
15
20
25
30
35
40
45
50
55
60
5
10
15
20
25
30
35
40
45
50
55
60
1968 through 1983
Consumption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Federal Funds Rat e
1.5
.4
2
1.0
0.5
percent
Price Deflator
3
2
1
1
.2
0
0.5
0
0.0
.0
-1
0.0
-1
-2
-0.5
-.2
-0.5
-3
-2
-.4
-1.0
-4
5
10 15
20
25
30
35 40
45
50
55
5
60
10 15
20
25
30
35 40
45
50
55
60
5
10
15
20
25
30
35 40
45
50
55
-1.0
60
5
10 15
20
25
30
35 40
45
50
55
60
5
10 15
20
25
30
35
40
45
50
55
1984 through 2006
Cons umption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Pric e Deflator
Federal Funds Rat e
3
1.0
2
.4
2
0.5
percent
1
1
0.5
.2
0
0.0
0
.0
0.0
-1
-1
-0.5
-2
-.2
-0.5
-3
-2
-.4
-1.0
5
10
15
20
25
30
35
40
45
50
55
60
-4
5
10
15
20
25
30
35
40
45
50
55 60
5
10
15
20
25
30
35
40
45
50
55 60
forecast horizon (months)
Notes: See notes to Figure A1 and text for details.
-1.0
5
10
15
20
25
30
35
40
45
50
55
60
5
10
15
20
25
30
35
40
45
50
55
60
60
Figure A5: VAR Impulse Response Functions in response to a shock to the Federal funds rate: With Real Disposable Income
1968 through 2006
Disposable Income
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Price Deflator
1.0
.4
2
0.5
0.5
percent
Federal Funds Rate
3
2
1
1
.2
0
0.0
0.0
0
.0
-1
-0.5
-1
-0.5
-2
-.2
-1.0
-3
-2
-.4
-1.0
-4
5
10
15 20 25 30 35
40 45 50 55 60
5
10
15 20 25 30 35
40 45 50 55 60
5
10
15 20 25 30 35
-1.5
40 45 50 55 60
5
10
15 20 25 30 35
40 45 50 55 60
5
10
15 20 25 30 35
40 45 50 55 60
1968 through 1983
Disposable Incom e
Nonrevolving Bank Credit
Federal Funds Rate
3
2
1.5
.4
2
1.0
0.5
percent
Price Deflator
Revolving Bank Credit
1.0
1
1
.2
0.5
0
0.0
.0
0
-1
-1
-0.5
0.0
-.2
-2
-0.5
-3
-2
-1.0
-.4
-4
5
10
15
20 25 30
35
40 45 50
55 60
5
10
15
20 25 30 35
40 45 50
55
60
-1.0
5
10
15
20 25 30
35
40 45 50
5
55 60
10
15 20 25 30
35
40 45
50
55 60
5
10
15 20
25
30 35
40
45 50 55 60
1984 through 2006
Dispos ab le Incom e
Nonrevo lving Ba nk Credi t
Revol ving Bank C redi t
1.0
Feder al Fun ds Rate
1.5
.4
2
1.0
0.5
percent
Price Deflato r
3
2
1
1
.2
0.5
0
0.0
0
.0
-1
0.0
-1
-0.5
-2
-.2
-0.5
-3
-2
-.4
-1.0
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
forecast horizon (months)
Notes: See notes to Figure A1 and text for VAR details. Real Disposable income expressed in seasonally adjusted 2000 dollars (Bureau of Economic Analysis).
30
40
50
60
10
20
30
40
50
60
Figure A6: VAR Impulse Response Functions in response to a shock to the Federal funds rate: With Employment
1968 through 2006
Employment
Revolving Bank Credit
Nonrevolving Bank Credit
1.0
0.5
percent
Federal Funds Rate
Price Deflator
3
2
1.0
.4
2
0.5
1
1
.2
0
0.0
0
0.0
.0
-1
-1
-0.5
-2
-.2
-3
-2
-1.0
-0.5
-.4
-4
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
30
40
50
60
10
20
30
40
50
10
60
20
30
40
50
60
1968 through 1983
Em ploymen t
Nonrevo lving Ba nk Credi t
Revol ving Bank C redi t
1.0
Pric e Deflato r
1.5
.4
2
1.0
0.5
percent
Feder al Fun ds Rate
3
2
1
1
.2
0.5
0
0.0
0
.0
-1
-1
-0.5
0.0
-.2
-2
-0.5
-3
-2
-1.0
-.4
-4
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
50
60
1984 through 2006
Employment
Nonrevolving Bank Credi t
Revolving Bank Credi t
1.0
0.5
percent
Price D eflato r
Federal Funds Rate
3
2
1.0
.4
2
1
1
0.5
.2
0
0.0
0
.0
-1
-1
-0.5
-2
0.0
-.2
-0.5
-3
-2
-.4
-1.0
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
forecast horizon (months)
Notes: See notes to Figure A1 for VAR details. Employment is defined as total employees from nonfarm payrolls (from the Bureau of Labor Statistics).
-1.0
10
20
30
40
50
60
10
20
30
40
Figure A7: VAR Impulse Response Functions in response to a shock to the Federal funds rate: With Consumption and Employment
1968 through 2006
Consumption
Employment
1.0
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Price Deflator
1.5
.4
2
0.5
0.5
percent
1.0
1
1
0.0
Federal Funds Rate
3
2
.2
0
0.0
0.5
0
.0
-1
-0.5
0.0
-1
-0.5
-1.0
10
20
30
40
50
60
-0.5
-3
-2
-1.0
-.2
-2
-.4
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
30
40
50
60
1968 through 1983
Consumption
Employment
1.0
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Price Deflato r
1.5
.4
2
0.5
0.5
1.0
1
percent
Federal F unds Rat e
3
2
0.0
0.0
1
.2
0.5
0
0
.0
-1
-0.5
20
30
40
50
60
10
20
30
40
50
-0.5
-3
-1.0
10
-.2
-2
-2
-1.0
0.0
-1
-0.5
60
10
20
30
40
50
60
-.4
-4
-1.0
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
1984 through 2006
Consumption
Employment
1.0
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Price Deflator
1.0
.4
2
0.5
0.5
0.0
0.0
-0.5
-0.5
1
percent
Federal Funds Rate
3
2
1
0.5
.2
0
0
.0
0.0
-1
-1
-2
-0.5
-3
-2
-1.0
-.4
-1.0
10
20
30
40
50
60
-.2
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
forecast horizon (months)
Notes: See notes to Figure A1 for VAR details. Employment is defined as total employees from nonfarm payrolls (from the Bureau of Labor Statistics).
30
40
50
60
-1.0
10
20
30
40
50
60
10
20
30
40
50
60
Figure A8: VAR Impulse Response Functions in response to a shock to the Federal funds rate: Longer Lag Structure
1968 through 2006
Consumption
Revolving Bank Credit
Nonrevolving Bank Credit
2
0.5
percent
Price Deflator
Federal Funds Rate
3
1.0
1.0
.4
2
1
1
0.5
.2
0
0.0
0
.0
0.0
-1
-1
-0.5
-2
-.2
-0.5
-3
-2
-.4
-4
-1.0
10
20
30
40
50
60
10
20
30
40
50
10
60
20
30
40
50
-1.0
60
10
20
30
40
50
60
10
20
30
40
50
60
1968 through 1983
Consumption
Nonrevo lving Ba nk Credi t
Revolving Ban k Credi t
1.0
0.5
percent
Price Deflato r
Federal Funds Rate
3
2
.4
2
1
1
1.0
.2
0.5
0
0.0
0
.0
-1
-1
-0.5
0.0
-.2
-2
-0.5
-3
-2
-1.0
-.4
-4
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
50
60
1984 through 1968
Consumption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
0.5
percent
Federal Funds Rate
Price Deflator
1.0
3
2
.4
2
0.5
1
1
.2
0
0.0
0
0.0
.0
-1
-1
-0.5
-.2
-2
-3
-2
-1.0
-0.5
-.4
-1.0
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
60
forecast horizon (months)
Notes: See notes to Figure A1. The figures displayed are from VARs calculated with 12 lags. Lags of 2, 6 and 8 months were also tested; the results are similar so those figures are not displayed.
10
20
30
40
Figure A9: VAR Impulse Response Functions in response to a shock to the Federal funds rate: With Time Trend
1968 through 2006
Consumption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
Federal Funds Rate
1.5
.4
2
1.0
0.5
percent
Price Deflator
3
2
1
1
.2
0.5
0
0.0
0
.0
-1
0.0
-1
-0.5
-.2
-2
-0.5
-3
-2
-1.0
-.4
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
-1.0
60
10
20
30
40
50
60
10
20
30
40
50
60
1968 through 1983
Consumption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
2
Federal Funds Rate
1.5
2
.4
1
.2
1.0
0.5
percent
Price Deflator
3
1
0
0.0
0.5
0
.0
-1
-1
-0.5
0.0
-2
-.2
-0.5
-3
-2
-.4
-1.0
-4
10
20
30
40
50
60
10
20
30
40
50
60
10
20
30
40
50
-1.0
60
10
20
30
40
50
60
10
20
30
40
50
60
1984 through 2006
Consumption
Nonrevolving Bank Credit
Revolving Bank Credit
1.0
1.5
.4
2
1.0
0.5
percent
Federal Funds Rate
Price Deflator
3
2
1
1
.2
0.5
0
0.0
0
.0
-1
-1
-0.5
0.0
-2
-.2
-0.5
-3
-2
-1.0
-.4
-4
10
20
30
40
50
60
10
20
30
40
50
60
-1.0
10
20
30
40
forecast horizon (months)
Notes: See notes to Figure A1. The figures displayed are from VARs including a time trend.
50
60
10
20
30
40
50
60
10
20
30
40
50
60
Figure A10: Impulse Response Functions in response to a shock to the Federal funds rate: 1972 to 2007 (Quarterly) with one lag
1972 through 2007
4
4
0.5
3
3
0.4
2
2
1
1
0.4
0.2
0.1
0
0
0
-1
-1
-0.1
-0.8
-2
-2
-3
-3
-4
-1
0.5
0
-0.2
-0.3
-0.5
-0.4
-4
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1
0.2
0
-0.6
1.5
0.3
-0.2
-0.4
Federal Funds Rate
PCE Deflator
1
0.8
0.6
percent
Credit Card Loans
Nonrevovling (Installment) Consumer Loans
Consumption
-0.5
1 2 3
4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
-1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1972 through 1983
Credit Card Loans
Nonrevovling (Installment) Consumer Loans
Consumption
1
4
0.8
4
1
0.4
0.8
0.3
0.6
0.2
0.4
3
3
2
2
1
1
0.1
0
0
0
0
0
-0.2
-1
-1
-0.1
-0.2
-0.2
-2
-0.4
-2
-0.3
-0.6
-3
-3
-4
-4
0.6
0.4
percent
Federal Funds Rate
PCE Deflator
0.5
0.2
-0.4
-0.6
-0.8
-1
1
2
3
4
5
6
7
8
9
1
10 11 12 13 14 15 16 17 18 19
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
0.2
-0.4
-0.8
-0.5
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
-1
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1984 through 2007
Credit Card Loans
Nonrevovling (Installment) Consumer Loans
Consumption
1
4
0.5
1
3
3
0.4
0.8
2
2
0.3
0.6
0.2
0.4
1
1
0.1
0
0
0
0
0
-0.2
-1
-1
-0.1
-0.2
-2
-2
-0.2
-0.4
-0.3
-0.6
-3
-3
-4
-4
0.6
0.4
percent
Federal Funds Rate
PCE Deflator
4
0.8
0.2
-0.4
-0.6
-0.4
-0.8
-1
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
0.2
-0.8
-0.5
1 2 3
4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
forecast horizon (quarters)
Notes: See notes to Figure 3. Quarterly data collected from the FDIC. The data are seasonally adjusted and expressed in constant 2000 dollars. Each model is estimated with one lag.
-1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Figure A11: Impulse Response Functions in response to a shock to the Federal funds rate: Quarterly data with real GDP
1972 through 2007
Credit Card Loans
Nonrevovling (Installment) Consumer Loans
GDP
1
4
0.8
4
3
3
2
2
0.6
percent
0.4
Federal Funds Rate
PCE Deflator
0.5
1
0.4
0.8
0.3
0.6
0.2
0.4
1
1
0
0
0
0
0
-0.2
-1
-1
-0.1
-0.2
-2
-2
-0.2
-0.4
-0.3
-0.6
-3
-3
-4
-4
0.2
-0.4
0.1
-0.6
-0.8
-1
1
2
3
4
5
6
7
8
9
-0.4
1
10 11 12 13 14 15 16 17 18 19
0.2
2
3
4
5
6
7
8
9
1
10 11 12 13 14 15 16 17 18 19
-0.8
-0.5
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
-1
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1972 through 1983
Credit Card Loans
Nonrevovling (Installment) Consumer Loans
GDP
1
4
0.5
1
3
3
0.4
0.8
2
0.3
0.6
2
0.2
0.4
1
1
0
0
0
0
0
-0.2
-1
-1
-0.1
-0.2
-0.2
-0.4
-0.3
-0.6
0.6
0.4
percent
Federal Funds Rate
PCE Deflator
4
0.8
0.2
-0.4
-2
-2
-3
-3
-4
-4
-0.6
-0.8
-1
1
2
3
4
5
6
7
8
9
1
10 11 12 13 14 15 16 17 18 19
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
0.2
0.1
-0.4
-0.8
-0.5
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
-1
1
2
3
4
5
6
7
8
9
1
10 11 12 13 14 15 16 17 18 19
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1984 through 2007
Credit Card Loans
Nonrevovling (Installment) Consumer Loans
GDP
1
4
0.5
1
3
3
0.4
0.8
2
0.3
0.6
2
0.2
0.4
1
1
0
0
0
0
0
-0.2
-1
-1
-0.1
-0.2
-0.2
-0.4
-0.3
-0.6
0.6
0.4
percent
Federal Funds Rate
PCE Deflator
4
0.8
0.2
-0.4
-2
-2
-3
-3
-4
-4
-0.6
-0.8
-1
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
0.2
0.1
-0.8
-0.4
-1
-0.5
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
forecast horizon (quarters)
Notes: See notes to Figure 3. Quarterly data collected from the FDIC. The data are seasonally adjusted and expressed in constant 2000 dollars. The model is estimated with real GDP instead of real consumption expenditures.
Each model is estimated with two lags.
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
Figure A12: Impulse Response Functions in response to a shock to the Federal funds rate: 1990 to 2007 (Quarterly) Credit Card Balances and Unused
Portions: with real GDP
5
4
0.8
4
3
0.6
3
0.4
percent
Credit Card Loans
Credit Card Liquidity (Unused Portions)
GDP
1
2
2
1
0.2
1
0
0
0
-0.2
-1
-1
-0.4
-2
-2
-0.6
-3
-3
-0.8
-4
-1
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
-4
1
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
2
3
4
5
6
7
8
9
10 11 12 13 14 15 16 17 18 19
Federal Funds Rate
PCE Deflator
percent
1
0.5
1
0.4
0.8
0.3
0.6
0.2
0.4
0.1
0.2
0
0
-0.1
-0.2
-0.2
-0.4
-0.3
-0.6
-0.4
-0.8
-0.5
-1
1 2 3 4 5
6 7 8 9 10 11 12 13 14 15 16 17 18 19
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
forecast horizon (quarters)
Notes: See notes to Figure 3. Data on the unused portions of credit card lines and credit card balances were collected from the FDIC, the latter series being first reported in the Call Reports in 1990. The data are seasonally
adjusted and expressed in constant 2000 dollars. The model is estimated with real GDP instead of consumption expenditures.
Figure A13: Impulse Response Functions in response to a shock to the Federal funds rate: 1990 to 2007 (Quarterly) all Consumer loans and unused
portions of Credit Card lines: with real GDP
4
4
0.8
3
3
2
2
1
1
0.6
0.4
percent
Credit Card Loans
Credit Card Liquidity (Unused Portions)
GDP
1
0.2
0
0
0
-0.2
-1
-1
-2
-2
-3
-3
-0.4
-0.6
-0.8
-4
-4
-1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1
3
4
5
6
7
8
9 10 11 12 13 14 15 16 17 18 19
1
4
0.5
1
3
0.4
0.8
0.3
0.6
0.2
0.4
1
0.1
0.2
0
0
0
-1
-0.1
-0.2
-0.2
-0.4
-0.3
-0.6
-0.4
-0.8
2
-2
-3
-4
-0.5
1
2
3
4
5
6
7
8
9 10 11 12 13 14 15 16 17 18 19
2
3
4
5
6
7
8
9 10 11 12 13 14 15 16 17 18 19
Federal funds rate
PCE Deflator
Nonrevolving Consumer Loans
percent
2
-1
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
forecast horizon (quarters)
Notes: See notes to previous Figures. The results displayed are for a quarerly seven-variable specification estimated with both the non-revolving and revovling componentsand the unused portions.
Figure A14: Impulse Response Functions in response to a shock to the Federal funds rate and to a Non-Monetary Shock to Consumption
Expenditures
1968 through 2006
Revolving Bank Credit
percent
Nonrevolving Bank Credit
1
1
0.8
0.8
0.6
0.6
0.4
0.4
0.2
0.2
0
0
Non-Monetary Downturn
Non-Monetary Downturn
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
Monetary Downturn
Monetary Downturn
-0.8
-0.8
-1
-1
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
41
45
49
53
57
41
45
49
53
57
1968 through 1983
Nonrevolving and Revolving Bank Credit
Nonrevolving and Revolving Bank Credit
1.5
2
1.5
1
1
0.5
percent
0.5
0
0
Non-Monetary Downturn
Monetary Downturn
-0.5
-0.5
-1
-1
-1.5
Monetary Downturn
Non-Monetary Downturn
-1.5
-2
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1
5
9
13
17
21
25
29
33
37
1984 through 2006
Nonrevolving Bank Credit
Revolving Bank Credit
1
1
0.8
0.8
0.6
0.6
0.4
0.4
Monetary Downturn
percent
Monetary Downturn
0.2
0.2
0
0
-0.2
-0.2
Non-Monetary Downturn
Non-Monetary Downturn
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
-1
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1
5
9
13
17
21
25
29
33
37
Horizon (months)
Notes: The figures display impulse response functions of consumer credit to a monetary shock and to a non-monetary shock to consumption expenditures. As defined in Den Haan, Sumner and Yamashiro (2007), the
response to the non-monetary shock is calculated controlling for the real variable's response to a monetary shock (holding a change in the monetary policy variable constant). The responses are calculated from a five-variable
VAR including a price deflator and the federal funds in addition to consumption and the two credit series. Following Den Haan, Sumner and Yamashiro (2007), the portion of each response with open squares indicates a
significant response at the 5 percent level. See the text for explanation of data sources. I thank Steven W. Sumner for providing the code and explanation in executing the calculations.
Figure A15: Impulse Response Functions in response to a shock to the Federal funds rate and to a Non-Monetary Shock to Real Disposable Income
1968 through 2006
Revolving Bank Credit
percent
Nonrevolving Bank Credit
2
2
1.5
1.5
1
1
0.5
0.5
Non-Monetary Downturn
Non-Monetary Downturn
0
0
-0.5
-0.5
Monetary Downturn
Monetary Downturn
-1
-1
-1.5
-1.5
-2
-2
1
5
9
13
17
21
25
29
33
37
41
45
49
53
1
57
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1968 through 1983
Revolving Bank Credit
percent
NonrevolvingBank Credit
2
2
1.5
1.5
1
1
0.5
0.5
Non-Monetary Downturn
Non-Monetary Downturn
0
0
-0.5
-0.5
-1
-1
Monetary Downturn
-1.5
Monetary Downturn
-1.5
-2
-2
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1984 through 2006
Nonrevolving and Revolving Bank Credit
Nonrevolving and Revolving Bank Credit
1
1
0.8
0.8
0.6
0.6
percent
0.4
0.4
Monetary Downturn
0.2
Monetary Downturn
0.2
0
0
Non-Monetary Downturn
-0.2
-0.2
-0.4
-0.4
-0.6
-0.6
-0.8
-0.8
-1
Non-Monetary Downturn
-1
1
5
9
13
17
21
25
29
33
37
41
45
49
53
57
1
5
9
Horizon (months)
Notes: See notes to Figure A14. Instead of real consumption expenditures, the non-monetary shock is a shock to real disposable income.
13
17
21
25
29
33
37
41
45
49
53
57
Figure A16: Impulse Response Functions in response to a shock to the Federal funds rate and to a Non-Monetary Shock to Consumption
Expenditures (Quarterly)
1972 through 2007
Revolving Bank Credit
Nonrevolving Bank Credit
2
2
1.5
1.5
1
0.5
0.5
percent
1
0
0
Non-Monetary Downturn
Monetary Downturn
-0.5
-0.5
-1
-1
Monetary Downturn
Non-Monetary Downturn
-1.5
-1.5
-2
-2
1
5
9
13
17
1
5
9
13
17
1972 through 1983
Nonrevolving and Revolving Bank Credit
Nonrevolving and Revolving Bank Credit
5
4
4
3
2
percent
2
0
1
0
Monetary Downturn
Monetary Downturn
-2
-1
-4
Non-Monetary Downturn
-2
Non-Monetary Downturn
-3
-6
-4
-8
-5
1
5
9
13
17
1
5
9
13
17
13
17
1984 through 2007
Nonrevolving Bank Credit
Revolving Bank Credit
2
2
1.5
1.5
1
1
Monetary Downturn
percent
0.5
0.5
0
0
Non-Monetary Downturn
-0.5
-0.5
Non-Monetary Downturn
-1
-1
-1.5
-1.5
-2
Monetary Downturn
-2
1
5
9
13
17
1
Horizon (quarters)
Notes: See notes to Figure A16. Data are quarterly.
5
9
Figure A17: Detrended Bank and Non-Bank Consumer Credit and Consumption Relative to the
Federal Funds Rate
50
50
Bank Credit
40
30
40
04
02
06
20
20
20
20
19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
00
0
98
-50
96
5
94
-40
92
10
90
-30
88
15
86
-20
84
20
82
-10
80
25
78
0
76
30
74
10
72
35
70
20
Percent
Federal Funds Rate
68
Billions (2000 SA dollars)
45
Non-Bank Credit
150
50
Consumption
45
Federal Funds Rate
100
40
35
30
0
25
-50
20
15
-100
10
-150
5
04
02
00
98
96
94
06
20
20
20
20
19
19
19
92
19
88
86
84
90
19
19
19
19
80
78
76
82
19
19
19
19
72
74
19
19
70
0
19
19
68
-200
Notes: Data detrended using the HP Filter. The right vertical axis shows the Federal Funds rate percent, the left vertical
axis shows the detrended component in billions of dollars.
Percent
Billions (2000 SA dollars)
50