Introducing the Credit Market Sentiment Index

Danilo Leiva-Leon (), Gabriel Perez-Quiros, Horacio Sapriza and Egon Zakrajšek ()
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

Richmond Fed Economic Brief, 2022, vol. 22, issue 33

Abstract: In a forthcoming paper, we develop a new signal-extraction statistical model to estimate a factor summarizing conditions in U.S. credit markets. The factor provides a real-time gauge of "sentiment" in credit markets, above and beyond that attributable to contemporaneous economic conditions. Fluctuations in the credit market sentiment factor are associated with strong asymmetric and nonlinear effects on economic activity, depending not only on the magnitude and sign of a credit market sentiment shock but also on the current economic conditions.

Keywords: credit markets; sentiment; signal-extraction model (search for similar items in EconPapers)
Date: 2022
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