2025-06-29-国际清算银行-金融状况与宏观经济_双因素视角（英）_40页_1mb

Financial Conditions and the Macroeconomy: A Two-Factor View

This paper introduces a new financial conditions index (FCI) for the United States based on a dynamic factor model (DFM). The index decomposes financial conditions into two latent factors: (1) a "safe yields" factor capturing risk-free interest rates, and (2) a "risk" factor reflecting perceived financial risk, credit spreads, and equity market conditions.

The DFM is constructed using a broad dataset of financial prices, interest rates, and credit spreads, extracting two factors that explain approximately 60% of the total variance. The factor structure emerges naturally from the data without imposing orthogonality assumptions.

Key Findings

• Predictive Power: The risk factor (factor two) exhibits stronger predictive ability than the safe yields factor across most macroeconomic variables, including credit growth, investment, GDP, and inflation, both at short and long horizons.
• Monetary Policy Transmission:
  • Monetary policy affects both factors persistently.
  • Positive shifts in the risk factor (i.e., increases in risk perceptions) lead to significant and persistent contractions in real economic activity, investment, and inflation.
  • Shocks to the safe rates factor similarly cause persistent economic contractions, aligning with standard monetary policy shocks.
• Composite Indices: Weights for combining the factors in composite indices are calibrated to maximize predictive power, with the risk factor receiving a relatively higher weight for variables like credit and investment growth.

Methodological Innovations

• The model uses a compact and transparent DFM approach, avoiding ad-hoc constructions and providing intuitive economic interpretations.
• The two-factor decomposition allows for disentangling safe interest rate movements from risk-related shifts, which is critical for accurate monetary policy transmission analysis.

Conclusion

The results support the operation of both the demand and credit channels of monetary policy. The framework enhances the assessment of financial conditions' impact on the macroeconomy, offering policymakers and researchers a robust tool for forecasting and policy evaluation.