Mapping Heat in the U.S. Financial System: A Summary, Accessible Data

Accessible version of figures

Figure 1: Data Schematic for a Quantitative Assessment of Vulnerabilities in the U.S. Financial System

Indicator Component Category
House prices/rents Housing Valuation pressure/Risk appetite
SLOOS residential, lending standards Housing Valuation pressure/Risk appetite
FICO scores, new mortgages Housing Valuation pressure/Risk appetite
CRE prices Commercial real estate Valuation pressure/Risk appetite
SLOOS CRE lending standards Commercial real estate Valuation pressure/Risk appetite
BBB bond spread Business debt and loans Valuation pressure/Risk appetite
High-yield bond spread Business debt and loans Valuation pressure/Risk appetite
SLOOS C lending standards Business debt and loans Valuation pressure/Risk appetite
Share of junk debt Business debt and loans Valuation pressure/Risk appetite
E/P ratio (S 500) Equity markets Valuation pressure/Risk appetite
E/P ratio relative to Treasury yield Equity markets Valuation pressure/Risk appetite
VIX Price volatility Valuation pressure/Risk appetite
CDS spreads Price volatility Valuation pressure/Risk appetite
Tangible equity to tangible assets Bank leverage Financial sector imbalances
Tier 1 common equity ratio Bank leverage Financial sector imbalances
Risk-based capital ratio Bank leverage Financial sector imbalances
Securitization volume Nonbank leverage Financial sector imbalances
Broker-dealer leverage ratio Nonbank leverage Financial sector imbalances
Broker-dealer debt Nonbank leverage Financial sector imbalances
Loans/deposits at banks Maturity transformation Financial sector imbalances
Maturity gap at banks Maturity transformation Financial sector imbalances
Net ST wholesale funding, nonbanks Maturity transformation Financial sector imbalances
Runnable liabilities Short-term funding Financial sector imbalances
Gross ST wholesale funding, nonbanks Short-term funding Financial sector imbalances
Short-term money at BHCs Short-term funding Financial sector imbalances
Assets of 5 largest BHCs Size/Concentration Financial sector imbalances
Illiquidity concentration Size/Concentration Financial sector imbalances
Financial sector debt/GDP Size/Concentration Financial sector imbalances
Debt growth Nonfinancial business Nonfinancial sector imbalances
Net leverage, riskier firms Nonfinancial business Nonfinancial sector imbalances
Deep junk share of bonds issued Nonfinancial business Nonfinancial sector imbalances
Interest expense/cash flow Nonfinancial business Nonfinancial sector imbalances
Debt/Income ratio Nonfinancial business Nonfinancial sector imbalances
Total consumer credit outstanding Consumer credit Nonfinancial sector imbalances
Consumer credit DSR Consumer credit Nonfinancial sector imbalances
Consumer credit, riskier borrowers Consumer credit Nonfinancial sector imbalances
Rapid credit growth, riskier borrowers Consumer credit Nonfinancial sector imbalances
Total mortgage debt/GDP Home mortgages Nonfinancial sector imbalances
Home mortgage DSR Home mortgages Nonfinancial sector imbalances
Piggyback mortgage loans Home mortgages Nonfinancial sector imbalances
Mortgage borrowing, riskier borrowers Home mortgages Nonfinancial sector imbalances
Rapid mortgage growth, riskier borrowers Home mortgages Nonfinancial sector imbalances
Business net saving Net saving Nonfinancial sector imbalances
Household net saving Net saving Nonfinancial sector imbalances

Return to text.

Figure 2: Radar Chart of the Component Sources of Systemic Vulnerability

Source. Authors' calculations.

4q2006 4q2014 Min Max
Aggregate index 0.9441 0.2267 0.2267 0.9441
Equity markets 0.5641 0.4935 0.4935 0.5641
Price volatility 0.9616 0.6858 0.6858 0.9616
Business credit 0.7782 0.4357 0.4357 0.7782
Commercial real estate 0.6780 0.8833 0.6780 0.8833
Residential real estate 0.7730 0.6181 0.6181 0.7730
Nonfinancial Business 0.5335 0.5148 0.5148 0.5335
Consumer credit 0.5737 0.3895 0.3895 0.5737
Home mortgages 0.9590 0.0301 0.0301 0.9590
Net saving 0.7291 0.3147 0.3147 0.7291
Bank leverage 0.7885 0.0528 0.0528 0.7885
Nonbank leverage 0.9484 0.1873 0.1873 0.9484
Maturity transformation 0.9632 0.0362 0.0362 0.9632
Short-term wholesale funding 0.9193 0.0376 0.0376 0.9193
Size/concentration 0.9221 0.1182 0.1182 0.9221

Return to text.

Figure 3: Translating Numbers to Colors: Our Overall Index of Systemic Vulnerability (2 panels)

Source. Authors' calculations.

Dates Aggregate index
1q1990 0.3443
2q1990 0.2749
3q1990 0.2667
4q1990 0.3224
1q1991 0.3997
2q1991 0.4084
3q1991 0.3864
4q1991 0.3703
1q1992 0.3806
2q1992 0.3646
3q1992 0.3156
4q1992 0.3041
1q1993 0.3625
2q1993 0.3865
3q1993 0.4090
4q1993 0.4281
1q1994 0.4119
2q1994 0.4311
3q1994 0.3025
4q1994 0.3468
1q1995 0.3814
2q1995 0.3982
3q1995 0.4225
4q1995 0.4637
1q1996 0.4906
2q1996 0.5249
3q1996 0.5185
4q1996 0.5692
1q1997 0.5907
2q1997 0.6121
3q1997 0.6092
4q1997 0.7122
1q1998 0.7048
2q1998 0.5987
3q1998 0.6331
4q1998 0.6492
1q1999 0.6774
2q1999 0.7102
3q1999 0.7552
4q1999 0.7705
1q2000 0.7177
2q2000 0.7633
3q2000 0.7634
4q2000 0.7803
1q2001 0.7901
2q2001 0.7292
3q2001 0.7291
4q2001 0.7449
1q2002 0.7192
2q2002 0.6263
3q2002 0.6521
4q2002 0.6693
1q2003 0.7316
2q2003 0.7474
3q2003 0.7973
4q2003 0.8544
1q2004 0.8383
2q2004 0.8337
3q2004 0.8883
4q2004 0.9112
1q2005 0.8562
2q2005 0.8725
3q2005 0.8818
4q2005 0.9230
1q2006 0.9124
2q2006 0.8829
3q2006 0.9385
4q2006 0.9441
1q2007 0.9626
2q2007 0.8612
3q2007 0.8003
4q2007 0.6689
1q2008 0.5774
2q2008 0.5382
3q2008 0.3395
4q2008 0.3048
1q2009 0.2276
2q2009 0.1574
3q2009 0.1420
4q2009 0.1455
1q2010 0.0969
2q2010 0.0771
3q2010 0.1153
4q2010 0.1296
1q2011 0.1075
2q2011 0.0575
3q2011 0.0489
4q2011 0.0758
1q2012 0.0630
2q2012 0.0834
3q2012 0.1180
4q2012 0.1415
1q2013 0.1655
2q2013 0.1810
3q2013 0.1903
4q2013 0.2300
1q2014 0.2378
2q2014 0.2174
3q2014 0.2043
4q2014 0.2267

Return to text.

Figure 4: Heat Map of the Overall Vulnerability Index and Its Components

Source. Authors' calculations.

Dates Aggregate index Equity markets Price volatility Business credit Commercial real estate Residential real estate Nonfinancial Business Consumer credit Home mortgages Net saving Bank leverage Nonbank leverage Maturity transformation Short-term wholesale funding Size/concentration
1q1990 0.344 0.268 0.516 0.201 0.024 0.399 0.985 0.439 0.669 0.478 0.986 0.014 0.249 0.447 0.094
2q1990 0.275 0.181 0.211 0.171 0.037 0.192 0.973 0.433 0.688 0.485 0.983 0.018 0.262 0.443 0.129
3q1990 0.267 0.116 0.185 0.119 0.093 0.094 0.983 0.441 0.724 0.351 0.979 0.029 0.385 0.508 0.132
4q1990 0.322 0.286 0.336 0.190 0.236 0.160 0.964 0.359 0.740 0.268 0.957 0.037 0.388 0.519 0.153
1q1991 0.400 0.560 0.607 0.311 0.210 0.269 0.939 0.301 0.735 0.255 0.941 0.063 0.388 0.502 0.128
2q1991 0.408 0.563 0.635 0.392 0.270 0.342 0.759 0.255 0.722 0.307 0.925 0.077 0.413 0.493 0.125
3q1991 0.386 0.488 0.587 0.409 0.292 0.377 0.688 0.233 0.700 0.283 0.911 0.078 0.431 0.473 0.153
4q1991 0.370 0.625 0.587 0.503 0.232 0.419 0.692 0.126 0.653 0.223 0.883 0.067 0.385 0.444 0.136
1q1992 0.381 0.563 0.693 0.639 0.251 0.441 0.592 0.082 0.609 0.272 0.825 0.063 0.393 0.464 0.171
2q1992 0.365 0.453 0.789 0.611 0.220 0.487 0.569 0.067 0.581 0.230 0.741 0.092 0.440 0.477 0.173
3q1992 0.316 0.482 0.744 0.525 0.193 0.449 0.471 0.072 0.557 0.377 0.610 0.077 0.391 0.439 0.152
4q1992 0.304 0.490 0.822 0.661 0.183 0.336 0.273 0.042 0.528 0.378 0.456 0.189 0.483 0.449 0.155
1q1993 0.362 0.458 0.835 0.773 0.196 0.564 0.265 0.043 0.504 0.400 0.372 0.388 0.520 0.436 0.161
2q1993 0.387 0.385 0.874 0.782 0.227 0.622 0.356 0.064 0.500 0.414 0.309 0.446 0.502 0.439 0.185
3q1993 0.409 0.371 0.860 0.742 0.237 0.475 0.400 0.109 0.445 0.483 0.252 0.805 0.472 0.449 0.184
4q1993 0.428 0.438 0.815 0.863 0.286 0.493 0.341 0.098 0.400 0.466 0.283 0.859 0.449 0.437 0.207
1q1994 0.412 0.386 0.751 0.808 0.271 0.460 0.358 0.142 0.369 0.599 0.269 0.870 0.428 0.407 0.189
2q1994 0.431 0.352 0.854 0.939 0.289 0.455 0.276 0.217 0.374 0.554 0.263 0.906 0.393 0.395 0.192
3q1994 0.303 0.308 0.714 0.837 0.280 0.393 0.161 0.311 0.374 0.605 0.276 0.324 0.366 0.329 0.155
4q1994 0.347 0.275 0.878 0.854 0.297 0.465 0.212 0.327 0.388 0.553 0.328 0.386 0.395 0.268 0.164
1q1995 0.381 0.284 0.869 0.832 0.268 0.398 0.316 0.413 0.410 0.532 0.331 0.418 0.479 0.311 0.203
2q1995 0.398 0.364 0.859 0.812 0.257 0.360 0.321 0.509 0.395 0.530 0.307 0.439 0.508 0.313 0.224
3q1995 0.423 0.407 0.841 0.697 0.210 0.419 0.263 0.630 0.367 0.462 0.322 0.568 0.588 0.370 0.247
4q1995 0.464 0.556 0.700 0.736 0.241 0.455 0.348 0.597 0.347 0.443 0.294 0.605 0.602 0.389 0.408
1q1996 0.491 0.695 0.651 0.883 0.263 0.371 0.299 0.621 0.334 0.524 0.304 0.621 0.587 0.393 0.393
2q1996 0.525 0.677 0.628 0.897 0.315 0.370 0.365 0.672 0.337 0.571 0.336 0.645 0.599 0.406 0.396
3q1996 0.519 0.733 0.602 0.930 0.353 0.372 0.078 0.741 0.326 0.607 0.346 0.675 0.530 0.472 0.400
4q1996 0.569 0.783 0.452 0.925 0.546 0.464 0.316 0.637 0.320 0.603 0.361 0.697 0.511 0.530 0.428
1q1997 0.591 0.799 0.453 0.940 0.618 0.500 0.495 0.628 0.321 0.723 0.422 0.724 0.104 0.560 0.461
2q1997 0.612 0.836 0.326 0.956 0.637 0.459 0.576 0.642 0.323 0.719 0.449 0.709 0.132 0.649 0.506
3q1997 0.609 0.828 0.140 0.870 0.708 0.514 0.546 0.682 0.301 0.727 0.483 0.760 0.149 0.677 0.508
4q1997 0.712 0.850 0.380 0.869 0.789 0.621 0.791 0.576 0.273 0.779 0.518 0.756 0.189 0.783 0.542
1q1998 0.705 0.899 0.372 0.813 0.715 0.571 0.810 0.641 0.271 0.760 0.484 0.723 0.235 0.814 0.550
2q1998 0.599 0.867 0.079 0.348 0.313 0.613 0.797 0.658 0.260 0.794 0.527 0.766 0.325 0.835 0.628
3q1998 0.633 0.852 0.089 0.332 0.633 0.585 0.864 0.701 0.255 0.851 0.604 0.568 0.394 0.747 0.611
4q1998 0.649 0.932 0.140 0.388 0.737 0.637 0.836 0.564 0.188 0.858 0.558 0.561 0.462 0.741 0.614
1q1999 0.677 0.960 0.241 0.475 0.658 0.690 0.779 0.602 0.245 0.884 0.594 0.433 0.504 0.721 0.655
2q1999 0.710 0.964 0.289 0.434 0.673 0.706 0.910 0.620 0.253 0.930 0.582 0.426 0.556 0.716 0.642
3q1999 0.755 0.969 0.318 0.423 0.685 0.714 0.938 0.614 0.235 0.955 0.635 0.490 0.613 0.816 0.659
4q1999 0.771 0.976 0.295 0.322 0.565 0.782 0.924 0.667 0.380 0.936 0.664 0.444 0.650 0.865 0.723
1q2000 0.718 0.968 0.219 0.194 0.448 0.733 0.835 0.747 0.430 0.973 0.663 0.448 0.609 0.831 0.664
2q2000 0.763 0.959 0.491 0.154 0.602 0.754 0.738 0.809 0.395 0.964 0.665 0.449 0.583 0.854 0.717
3q2000 0.763 0.917 0.183 0.066 0.457 0.773 0.674 0.900 0.470 0.982 0.641 0.799 0.639 0.918 0.714
4q2000 0.780 0.883 0.196 0.093 0.460 0.735 0.890 0.927 0.469 0.924 0.636 0.841 0.669 0.862 0.689
1q2001 0.790 0.908 0.255 0.134 0.438 0.746 0.857 0.923 0.433 0.899 0.562 0.885 0.749 0.846 0.722
2q2001 0.729 0.844 0.170 0.095 0.432 0.747 0.855 0.923 0.504 0.640 0.648 0.604 0.788 0.868 0.735
3q2001 0.729 0.870 0.131 0.097 0.371 0.773 0.845 0.957 0.535 0.805 0.550 0.566 0.753 0.872 0.728
4q2001 0.745 0.876 0.379 0.173 0.521 0.778 0.881 0.910 0.564 0.573 0.501 0.573 0.738 0.804 0.711
1q2002 0.719 0.824 0.360 0.224 0.546 0.770 0.659 0.907 0.646 0.574 0.466 0.611 0.774 0.763 0.651
2q2002 0.626 0.614 0.028 0.109 0.587 0.710 0.571 0.917 0.666 0.605 0.470 0.675 0.749 0.733 0.600
3q2002 0.652 0.641 0.069 0.119 0.684 0.697 0.742 0.920 0.690 0.528 0.506 0.504 0.753 0.729 0.656
4q2002 0.669 0.596 0.076 0.227 0.668 0.852 0.746 0.947 0.703 0.541 0.496 0.491 0.751 0.652 0.630
1q2003 0.732 0.659 0.371 0.350 0.704 0.865 0.552 0.915 0.760 0.459 0.541 0.510 0.802 0.676 0.709
2q2003 0.747 0.737 0.484 0.399 0.798 0.881 0.515 0.910 0.742 0.479 0.487 0.499 0.825 0.544 0.700
3q2003 0.797 0.753 0.591 0.607 0.820 0.914 0.429 0.894 0.828 0.618 0.505 0.516 0.799 0.487 0.660
4q2003 0.854 0.756 0.637 0.684 0.881 0.946 0.592 0.839 0.805 0.588 0.569 0.596 0.853 0.509 0.695
1q2004 0.838 0.724 0.658 0.740 0.892 0.934 0.436 0.798 0.837 0.629 0.613 0.642 0.675 0.473 0.741
2q2004 0.834 0.622 0.704 0.711 0.955 0.906 0.313 0.819 0.866 0.582 0.646 0.722 0.625 0.484 0.791
3q2004 0.888 0.636 0.802 0.836 0.973 0.951 0.282 0.802 0.855 0.660 0.629 0.772 0.774 0.492 0.847
4q2004 0.911 0.639 0.846 0.809 0.965 0.925 0.443 0.737 0.870 0.857 0.622 0.817 0.740 0.515 0.809
1q2005 0.856 0.550 0.766 0.669 0.939 0.898 0.112 0.747 0.916 0.759 0.636 0.853 0.740 0.559 0.821
2q2005 0.873 0.530 0.846 0.607 0.904 0.910 0.263 0.746 0.926 0.620 0.718 0.877 0.763 0.592 0.833
3q2005 0.882 0.458 0.860 0.637 0.876 0.906 0.194 0.710 0.941 0.786 0.720 0.904 0.801 0.624 0.822
4q2005 0.923 0.548 0.906 0.659 0.878 0.950 0.443 0.660 0.940 0.771 0.766 0.840 0.847 0.681 0.865
1q2006 0.912 0.500 0.878 0.744 0.831 0.935 0.216 0.624 0.958 0.836 0.769 0.831 0.890 0.738 0.857
2q2006 0.883 0.407 0.906 0.529 0.622 0.871 0.234 0.640 0.972 0.826 0.760 0.830 0.924 0.842 0.887
3q2006 0.938 0.540 0.967 0.706 0.697 0.769 0.466 0.649 0.967 0.832 0.755 0.920 0.953 0.866 0.907
4q2006 0.944 0.564 0.962 0.778 0.678 0.773 0.533 0.574 0.959 0.729 0.789 0.948 0.963 0.919 0.922
1q2007 0.963 0.636 0.928 0.751 0.740 0.749 0.732 0.590 0.929 0.771 0.832 0.958 0.972 0.940 0.942
2q2007 0.861 0.520 0.479 0.363 0.532 0.458 0.717 0.593 0.919 0.815 0.855 0.888 0.978 0.939 0.963
3q2007 0.800 0.390 0.448 0.284 0.235 0.287 0.840 0.689 0.899 0.800 0.886 0.837 0.958 0.950 0.944
4q2007 0.669 0.175 0.138 0.059 0.191 0.141 0.852 0.645 0.865 0.654 0.911 0.872 0.961 0.981 0.928
1q2008 0.577 0.268 0.300 0.101 0.105 0.031 0.617 0.526 0.799 0.438 0.909 0.841 0.937 0.882 0.887
2q2008 0.538 0.141 0.136 0.034 0.082 0.021 0.744 0.588 0.784 0.390 0.933 0.874 0.890 0.869 0.834
3q2008 0.339 0.005 0.005 0.006 0.100 0.048 0.503 0.576 0.772 0.197 0.915 0.577 0.755 0.513 0.757
4q2008 0.305 0.057 0.015 0.014 0.136 0.018 0.823 0.493 0.726 0.108 0.853 0.431 0.695 0.349 0.733
1q2009 0.228 0.247 0.049 0.046 0.120 0.067 0.369 0.400 0.670 0.025 0.748 0.295 0.707 0.266 0.797
2q2009 0.157 0.345 0.186 0.129 0.058 0.069 0.131 0.356 0.627 0.048 0.505 0.247 0.489 0.223 0.736
3q2009 0.142 0.344 0.284 0.280 0.091 0.123 0.101 0.298 0.576 0.064 0.355 0.174 0.404 0.207 0.689
4q2009 0.146 0.331 0.458 0.381 0.144 0.191 0.139 0.213 0.525 0.070 0.281 0.193 0.294 0.204 0.602
1q2010 0.097 0.163 0.308 0.380 0.341 0.240 0.068 0.143 0.459 0.067 0.207 0.189 0.214 0.181 0.503
2q2010 0.077 0.066 0.327 0.357 0.374 0.120 0.040 0.123 0.408 0.072 0.187 0.204 0.220 0.183 0.508
3q2010 0.115 0.116 0.463 0.449 0.449 0.166 0.141 0.181 0.325 0.085 0.172 0.263 0.229 0.138 0.513
4q2010 0.130 0.170 0.455 0.629 0.543 0.192 0.162 0.151 0.238 0.067 0.160 0.281 0.181 0.150 0.477
1q2011 0.108 0.118 0.444 0.648 0.507 0.188 0.098 0.146 0.207 0.079 0.154 0.302 0.136 0.141 0.427
2q2011 0.057 0.024 0.120 0.292 0.467 0.157 0.300 0.162 0.178 0.074 0.144 0.349 0.155 0.114 0.334
3q2011 0.049 0.023 0.098 0.204 0.543 0.182 0.063 0.178 0.157 0.134 0.137 0.371 0.169 0.101 0.346
4q2011 0.076 0.078 0.395 0.374 0.645 0.122 0.077 0.131 0.121 0.128 0.118 0.361 0.183 0.076 0.360
1q2012 0.063 0.041 0.316 0.327 0.618 0.135 0.116 0.147 0.106 0.122 0.110 0.368 0.159 0.067 0.335
2q2012 0.083 0.067 0.438 0.365 0.640 0.166 0.174 0.179 0.095 0.149 0.102 0.333 0.161 0.069 0.342
3q2012 0.118 0.070 0.443 0.502 0.686 0.207 0.561 0.174 0.082 0.031 0.073 0.340 0.139 0.098 0.316
4q2012 0.141 0.112 0.585 0.673 0.777 0.271 0.129 0.223 0.080 0.213 0.080 0.315 0.125 0.131 0.271
1q2013 0.166 0.146 0.578 0.697 0.815 0.306 0.347 0.227 0.070 0.188 0.065 0.272 0.124 0.121 0.273
2q2013 0.181 0.244 0.607 0.563 0.847 0.381 0.464 0.280 0.064 0.218 0.053 0.244 0.084 0.108 0.223
3q2013 0.190 0.311 0.655 0.666 0.846 0.336 0.350 0.328 0.062 0.278 0.043 0.234 0.073 0.081 0.206
4q2013 0.230 0.395 0.667 0.729 0.844 0.373 0.579 0.331 0.057 0.274 0.022 0.225 0.063 0.078 0.190
1q2014 0.238 0.367 0.754 0.736 0.855 0.615 0.312 0.350 0.051 0.294 0.050 0.233 0.046 0.055 0.176
2q2014 0.217 0.371 0.773 0.644 0.855 0.559 0.333 0.358 0.040 0.305 0.046 0.219 0.041 0.043 0.130
3q2014 0.204 0.361 0.704 0.519 0.799 0.570 0.457 0.403 0.036 0.320 0.045 0.184 0.039 0.043 0.117
4q2014 0.227 0.493 0.686 0.436 0.883 0.618 0.515 0.389 0.030 0.315 0.053 0.187 0.036 0.038 0.118

Return to text.

Figure 5: Lead/Lag Relationship between the Credit-to-GDP Gap and Our Overall Index Vulnerability Index and Its Major Categories

Source. Authors' calculations.

Top Panel

Dates Aggregate index Credit-to-GDP gap
1q1990 0.3443 7.01
2q1990 0.2749 6.54
3q1990 0.2667 6.52
4q1990 0.3224 7.32
1q1991 0.3997 6.82
2q1991 0.4084 5.59
3q1991 0.3864 3.75
4q1991 0.3703 2.41
1q1992 0.3806 0.96
2q1992 0.3646 -1.05
3q1992 0.3156 -2.33
4q1992 0.3041 -3.70
1q1993 0.3625 -4.14
2q1993 0.3865 -4.51
3q1993 0.4090 -4.61
4q1993 0.4281 -5.77
1q1994 0.4119 -6.08
2q1994 0.4311 -6.93
3q1994 0.3025 -6.87
4q1994 0.3468 -7.15
1q1995 0.3814 -6.67
2q1995 0.3982 -5.96
3q1995 0.4225 -6.18
4q1995 0.4637 -6.53
1q1996 0.4906 -6.44
2q1996 0.5249 -7.39
3q1996 0.5185 -7.55
4q1996 0.5692 -8.52
1q1997 0.5907 -8.70
2q1997 0.6121 -9.29
3q1997 0.6092 -9.39
4q1997 0.7122 -9.29
1q1998 0.7048 -8.37
2q1998 0.5987 -7.31
3q1998 0.6331 -7.50
4q1998 0.6492 -7.69
1q1999 0.6774 -6.67
2q1999 0.7102 -6.34
3q1999 0.7552 -5.66
4q1999 0.7705 -6.64
1q2000 0.7177 -5.56
2q2000 0.7633 -6.06
3q2000 0.7634 -5.05
4q2000 0.7803 -4.57
1q2001 0.7901 -3.13
2q2001 0.7292 -2.56
3q2001 0.7291 -0.80
4q2001 0.7449 -0.16
1q2002 0.7192 -0.01
2q2002 0.6263 -0.02
3q2002 0.6521 0.21
4q2002 0.6693 1.38
1q2003 0.7316 1.48
2q2003 0.7474 1.53
3q2003 0.7973 0.57
4q2003 0.8544 -0.12
1q2004 0.8383 0.10
2q2004 0.8337 0.04
3q2004 0.8883 0.24
4q2004 0.9112 0.87
1q2005 0.8562 0.46
2q2005 0.8725 1.51
3q2005 0.8818 2.06
4q2005 0.9230 3.22
1q2006 0.9124 3.74
2q2006 0.8829 5.53
3q2006 0.9385 6.89
4q2006 0.9441 8.09
1q2007 0.9626 9.06
2q2007 0.8612 10.20
3q2007 0.8003 12.00
4q2007 0.6689 13.25
1q2008 0.5774 15.41
2q2008 0.5382 14.77
3q2008 0.3395 15.00
4q2008 0.3048 17.71
1q2009 0.2276 18.68
2q2009 0.1574 18.09
3q2009 0.1420 15.99
4q2009 0.1455 12.39
1q2010 0.0969 9.80
2q2010 0.0771 6.37
3q2010 0.1153 4.12
4q2010 0.1296 1.66
1q2011 0.1075 1.34
2q2011 0.0575 -1.14
3q2011 0.0489 -2.37
4q2011 0.0758 -3.99
1q2012 0.0630 -5.23
2q2012 0.0834 -5.86
3q2012 0.1180 -7.17
4q2012 0.1415 -6.72
1q2013 0.1655 -8.02
2q2013 0.1810 -8.42
3q2013 0.1903 -9.39
4q2013 0.2300 -10.83
1q2014 0.2378 -9.53
2q2014 0.2174 -10.98
3q2014 0.2043 -12.39
4q2014 0.2267 -12.00

Other Panels

Lag/Lead Overall Risk appetite Nonfinancial sector imbalances Financial sector imbalances
-12 -0.6243 -0.3982 -0.6827 -0.4843
-11 -0.5983 -0.4235 -0.6453 -0.4358
-10 -0.5651 -0.4417 -0.6017 -0.3803
-9 -0.5224 -0.4533 -0.5466 -0.3193
-8 -0.4752 -0.4644 -0.4843 -0.2540
-7 -0.4210 -0.4769 -0.4119 -0.1797
-6 -0.3600 -0.4821 -0.3322 -0.1015
-5 -0.2923 -0.4881 -0.2418 -0.0168
-4 -0.2188 -0.4905 -0.1441 0.0755
-3 -0.1449 -0.4903 -0.0440 0.1685
-2 -0.0621 -0.4782 0.0627 0.2645
-1 0.0271 -0.4581 0.1722 0.3600
0 0.1198 -0.4246 0.2803 0.4528
1 0.2035 -0.3576 0.3614 0.5206
2 0.2890 -0.2695 0.4305 0.5803
3 0.3765 -0.1623 0.4926 0.6320
4 0.4602 -0.0513 0.5469 0.6727
5 0.5348 0.0594 0.5888 0.7016
6 0.6012 0.1724 0.6190 0.7201
7 0.6554 0.2852 0.6337 0.7264
8 0.6962 0.3867 0.6380 0.7234
9 0.7192 0.4606 0.6339 0.7092
10 0.7295 0.5164 0.6236 0.6868
11 0.7287 0.5591 0.6076 0.6559
12 0.7201 0.5867 0.5896 0.6209

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