Unless otherwise specified all data are seasonally adjusted by X12-ARIMA, Haver codes in
parentheses.
United States
US Regulated Banks:
- Total assets: Total financial assets of private depository institutions from US Flow of
Funds (OA70TAO5@FFUNDS)
- Total liabilities: Total liabilities of private depository institutions from US Flow of
Funds (OL70TAO5@FFUNDS)
- Equity: Total financial assets minus Total liabilities
US Shadow Banks (categorization following Nuno and Thomas (2012))
- Total assets of Finance Companies: Accumulated flows of the net acquisition of
financial assets (UA61TAO5@FFUNDS) plus Fixed Nonresidential Investment
(UQ61NRS5@FFUNDS) plus Gross Savings (UQ61GRS5@FFUNDS) from US
Flow of Funds
- Total liabilities of Finance Companies: Accumulated flows of the net increase in
liabilities (UL61TAO5@FFUNDS) from US Flow of Funds
- Total assets of Security Brokers and Dealers: Accumulated flows of the net
acquisition of financial assets (FA66TAO5@FFUNDS) plus Fixed Nonresidential
Investment (UQ66NRS5@FFUNDS) plus Gross Savings (UQ66GRS5@FFUNDS)
from US Flow of Funds
- Total liabilities of Security Brokers and Dealers: Accumulated flows of the net
increase in liabilities (UL66TAO5@FFUNDS) from US Flow of Funds
-
Total assets: Sum of Total assets of Finance Companies and Total assets of Security
Brokers and Dealers from US Flow of Funds
Total liabilities: Sum of Total liabilities of Finance Companies and Total liabilitis of
Security Brokers and Dealers from US Flow of Funds
Equity: Total financial assets minus Total liabilities
GSE (Government Sponsored Enterprises):
- Total assets of GSEs: Accumulated flows of the net acquisition of financial assets
(UA40TAO5@FFUNDS) plus Fixed Nonresidential Investment
(UQ40NRS5@FFUNDS) plus Gross Savings (UQ40GRS5@FFUNDS) from US
Flow of Funds
- Total liabilities of GSEs: Accumulated flows of the net increase in liabilities
(FL40TAO5@FFUNDS) from US Flow of Funds
- Equity of GSEs: Total assets of GSEs minus Total liabilities of GSEs
2
Total Banking sector’s Assets and Equity is the nonconsolidated sum of Total Assets of
Regulated, Shadow and GSE and sum of Equity of Regulated, Shadow and GSE
Total Banking sector’s Debt is Total Banking sector’s Assets minus Total Banking sector’s
Equity
US Output: Seasonally adjusted and chained GDP in billions of USD at 2009 prices
(GDPH@USECON). Cyclical component: Cyclical component from Band-Pass-filtered data
for frequencies between 6 and 32 quarters using leads and lags of 6 quarters.
Excess bond premium: excess bond premium for non-financial firms defined by GilchristZakrajsek (2012) downloadable from Simon Gilchrist’s webpage at
http://people.bu.edu/sgilchri/Data/GZ_M.csv.zip
Baa-Aaa spread: spread between yields on Baa (FBAA@USECON) and Aaa-rated
(FAAA@USECON) long-term corporate bonds issued by corporates (in percentage points)
Corporate bonds of non-financial corporates: Seasonally adjusted Non-financial corporate
business, liabilities, corporate bonds (OL10COF3@FFUNDS) in US Flow-of-Funds
Credits to Non-financial corporates: Seasonally adjusted Non-financial corporate business,
liabilities, credit market instruments (OL10TCR5@FFUNDS@FFUNDS) in US Flow-ofFunds
Credits to Non-financial non-corporates: Seasonally adjusted Non-financial corporate
business, liabilities, credit market instruments (OL11TCR5@FFUNDS @FFUNDS) in US
Flow-of-Funds
Credits to households: Seasonally adjusted households and nonprofit organizations, liabilities,
credit market instruments (OL15TCR5@FFUNDS @FFUNDS) in US Flow-of-Funds
3
CBO-measure of output gap: Output gap (OGAPQ@USECON)
Total credit: Sum of Credit market instruments, liabilities from Balance Sheet of Households
and Nonprofit Organizations (PL15TCR5@FFUNDS), Credit market instruments of
nonfinancial noncorporate business (PL11TCR5@FFUNDS) and Credit market instruments
of nonfinancial corporate business (PL10TCR5@FFUNDS) from US Flow of Funds
Real credit: Total credit deflated by GDP-deflator(DGDP@USECON)
Real credit gap: Cyclical component from HP-filtered logarithm of real credit (lambda=1600)
Senior Loan Officers’ Opinion Survey: Bank lending tightening variable in the GPM6 model
(Carabenciov et al (2013)). It is the unweighted average of the responses to four questions
with respect to tightening terms and conditions in the Federal Reserve Board’s quarterly
Senior Loan Officer Opinion Survey on Bank Lending Practices.
Net private savings: Seasonally adjusted net private savings (FQ83NTS5@FFUNDS) from
US Flow of Funds
Change in corporate bonds: Change in corporate bonds, liabilities of the US nonfinancial
business (OL10COF3@FFUNDS)
Credit to nonfinancial corporate business: Credit market instruments of nonfinancial
corporate business (PL10TCR5@FFUNDS)
Credit to nonfinancial noncorporate business: Credit market instruments of nonfinancial
noncorporate business (PL11TCR5@FFUNDS)
Eurozone:
Total assets: Total assets from Aggregated Balance Sheet of Euro Area MFIs (excluding
Eurosystem) (V023B18@EUDATA)
Equity: Capital and Reserves from Aggregated Balance Sheet of Euro Area MFIs (excluding
Eurosystem) (V023B25@EUDATA)
Bank Debt: Total Assets minus Equity
Adjusted Bank Debt: Sum of Non-MFI deposits (V023B212@EUDATA), Money Market
Fund Shares/Units (V023B23@EUDATA), Debt Securities Issued (V023B24@EUDATA)
4
and External Liabilites (V023B26@EUDATA) from the Aggregated Balance Sheet of Euro
Area MFIs (excluding Eurosystem)
Leverage ratio: Total assets /Equity
Adjusted Total Assets: Adjusted Bank Debt plus Equity
Adjusted Leverage Ratio: Adjusted Total Assets/Equity
Output: Seasonally and working day adjusted and chained GDP in billions of EUR at 2005
prices (J025GDPT@EUDATA). Cyclical component: Cyclical component from Band-Passfiltered data for frequencies between 6 and 32 quarters using leads and lags of 6 quarters.
Net Private Savings: Net Savings of non-financial corporations
(H025NB8N@EUDATA@EUDATA) plus net savings of households
(H025HB8N@EUDATA) from Quarterly Integrated Economic and Financial Accounts by
Institutional Sector
5
Germany:
Total assets: Total assets in Monetary Financial Institutions (MFIs) Balance Sheets
(excluding Bundesbank), all banks (DENMABTB@GERMANY). Owing to the Act
Modernising Accounting, as of the December 2010 reporting Law (Gesetz zur
Modernisierung des Bilanzrechts) of 25 May 2009, total assets (reported as ’Other assets and
liabilities’) contains the trading portfolio derivatives. The data were corrected for this effect
by deducting „trading portfolio derivatives, assets” from total assets.
Trading portfolio derivatives:
http://www.bundesbank.de/Navigation/EN/Statistics/Time_series_databases/Macro_economi
c_time_series/its_list_node.html?listId=www_s100_mb2425_1_derivhb
Equity: Capital in Monetary Financial Institutions (MFIs) Balance Sheets (excluding
Bundesbank) all banks (DENMLZTB@GERMANY)
Leverage ratio: Total assets/Equity
Bank Debt: Total Assets minus Equity
Adjusted Bank Debt: Sum of Non-MFI deposits (V134B212@EUDATA), Money Market
Fund Shares/Units (V134B23@EUDATA), Debt Securities Issued (V134B24@EUDATA)
and External Liabilites (V134B26@EUDATA) from the Aggregated Balance Sheet of Euro
Area MFIs (excluding Eurosystem)
Adjusted Total Assets: Adjusted Bank Debt plus Equity
Adjusted Leverage Ratio: Adjusted Total Assets/Equity
Output: Seasonally and working day adjusted and chained GDP in billions of EUR at 2005
prices (DESNGDPC@GERMANY). Cyclical component: Cyclical component from BandPass-filtered data for frequencies between 6 and 32 quarters using leads and lags of 6
quarters.
Net Private Savings: Gross Savings of non-financial corporations (H134NB8G@EUDATA)
plus gross savings of households (H134HB8G@EUDATA) minus consumption of fixed
capital of non-financial corporations (K134NK1@EUDATA) minus consumption of fixed
capital of households (K134HK1@EUDATA) from Quarterly Integrated Economic and
Financial Accounts by Institutional Sector
6
France:
Total assets: Total assets in Monetary Financial Institutions (MFIs) Balance Sheets
(excluding Banque de France), all banks (FRNFMB17@FRANCE) since 3Q97, for data
prior to 3Q97 we used the sum of Domestic assets (FRNFMB1@FRANCE), Securities other
than shares (FRNFMB6@FRANCE), Money market paper (FRNFMB11@FRANCE),
Assets from other euro area countries (FRNFMB14@FRANCE), Assets from rest of the
world (FRNFMB15@FRANCE), Assets not broken down by geogrpahical area
(FRNFMB16@FRANCE) and chained to the total assets available since 3Q97
Equity: Capital in Monetary Financial Institutions (MFIs) Balance Sheets (excluding Banque
de France) all banks (FRNFMB36@FRANCE)
Bank Debt: Total Assets minus Equity
Adjusted Bank Debt: Sum of Non-MFI deposits (V132B212@EUDATA), Money Market
Fund Shares/Units (V132B23@EUDATA), Debt Securities Issued (V132B24@EUDATA)
and External Liabilites (V132B26@EUDATA) from the Aggregated Balance Sheet of Euro
Area MFIs (excluding Eurosystem)
Adjusted Total Assets: Adjusted Bank Debt plus Equity
Leverage ratio: Total assets/Equity
Adjusted Leverage Ratio: Adjusted Total Assets/Equity
Output: Seasonally and working day adjusted and chained GDP in billions of EUR at 2005
prices (FRSNGDPC@FRANCE). Cyclical component: Cyclical component from Band-Passfiltered data for frequencies between 6 and 32 quarters using leads and lags of 6 quarters.
Net Private Savings: Gross Savings of non-financial corporations (H132NB8G@EUDATA)
plus gross savings of households (H132HB8G@EUDATA) minus consumption of fixed
capital of non-financial corporations (K132NK1@EUDATA) minus consumption of fixed
capital of households (K132HK1@EUDATA) from Quarterly Integrated Economic and
Financial Accounts by Institutional Sector
7
Italy:
Total assets: Assets in Monetary Financial Institutions (MFIs) Balance Sheets (excluding
Bank of Italy), all banks (ITNB2ATA@ITALY)
Equity: Capital and Reserves in Monetary Financial Institutions (MFIs) Balance Sheets
(excluding Bank of Italy) all banks (ITNB2LCR@ITALY)
Adjusted Bank Debt: Sum of Non-MFI deposits (V136B212@EUDATA), Money Market
Fund Shares/Units (V136B23@EUDATA), Debt Securities Issued (V136B24@EUDATA)
and External Liabilites (V136B26@EUDATA) from the Aggregated Balance Sheet of Euro
Area MFIs (excluding Eurosystem)
Leverage ratio: Total assets/Equity
Adjusted Total Assets: Adjusted Bank Debt plus Equity
Adjusted Leverage Ratio: Adjusted Total Assets/Equity
Output: Seasonally and working day adjusted and chained GDP in billions of EUR at 2005
prices (ITSNGDPC@ITALY). Cyclical component: Cyclical component from Band-Passfiltered data for frequencies between 6 and 32 quarters using leads and lags of 6 quarters.
United Kingdom:
Total assets: Sum of Loans to private sector in sterling (UNB2UQ@UK), Loans to public
sector in sterling (UNB2UK@UK), Loans to nonresidents in sterling (UNB2UE@UK),
Securities other than financial derivatives from private sector in sterling (UNB2UR@UK),
Securities other than financial derivatives from public sector in sterling (UNB2UL@UK),
Securities other than financial derivatives from nonresidents in sterling (UNB2UF@UK),
Other assets in sterling (UNB2UA@UK), Loans to private sector in foreign currency
(UNB2UT@UK), Loans to public sector in foreign currency (UNB2UN@UK), Loans to
nonresidents in foreign currency (UNB2UH@UK), Securities other than financial derivatives
from private sector in foreign currency (UNB2UU@UK), Securities other than financial
derivatives from public sector in foreign currency (UNB2UO@UK), Securities other than
financial derivatives from nonresidents in foreign currency (UNB2UI@UK), Other assets in
foreign currency (UNB2UC@UK) from the Balance sheet of Monetary Financial Institutions
(excluding Bank of England) (Bank of England Table B2.5)
8
Total liabilities: Sum of Currency deposits and money market instruments from private sector
sector in sterling (UNB2US@UK), Currency deposits and money market instruments from
public sector sector in sterling (UNB2UM@UK), Currency deposits and money market
instruments from nonresidents sector sector in sterling (UNB2UG@UK), Other liabilities in
sterling (UNB2UB@UK), Currency deposits and money market instruments from private
sector sector in foreign currency (UNB2UV@UK), Currency deposits and money market
instruments from public sector sector in foreign currency (UNB2UP@UK), Currency
deposits and money market instruments from nonresidents sector sector in foreign currency
(UNB2UJ@UK), Other liabilities in foreign currency (UNB2UD@UK) from the Balance
sheet of Monetary Financial Institutions (excluding Bank of England) (Bank of England
Table B2.5)
Equity: Total assets minus total liabilities
Leverage ratio: Total assets/Equity
Output: Seasonally adjusted and chained GDP in millions of pounds at 2010 prices
(ABMIQ@UK). Cyclical component: Cyclical component from Band-Pass-filtered data for
frequencies between 6 and 32 quarters using leads and lags of 6 quarters.
Japan:
Total assets: Assets of banks in Flows of Funds (FSAFDB@JAPAN) excluding „Financial
institutions for small businesses” (FSAFDBS@JAPAN). The reason for excluding the latter
is that postal savings are only included starting in Q4 2007.
Equity: Shares and other equities of banks in Flow of Funds (FSLFDB50@JAPAN)
excluding shares and other equities of „Financial institutions for small businesses”
(FSAFDA50@JAPAN)
Leverage ratio: Total assets/Equity
Output: Seasonally adjusted and chained GDP in billions of yen at 2005 prices
(REDPC2@JAPAN). Cyclical component: Cyclical component from Band-Pass-filtered data
for frequencies between 6 and 32 quarters using leads and lags of 6 quarters.