Credit Markets and the Propagation of Monetary Policy Shocks

Appendix A: Data Sources

We used several sources of data. Financial data for liquid government liabilities
(H), government bonds (B), and loans (L) were taken from the Federal Reserve
Board’s Flow of Funds Accounts for the United States.⁹ We first constructed a
series of seasonally adjusted from the unadjusted levels (Tables L in the Accounts)
and the adjusted increments (Tables A in the Accounts). Then, we defined these
three variables as follows:¹⁰

H = Liquid government liabilities equal Depository institution reserves (Table
108, code 713113000) plus Vault cash of commercial banks (108, 723025000), and
Currency outside banks (108, 713125005).

B = Illiquid government liabilities equal U.S. government securities of financial
institutions (109, 763061005; 114, 443061005; 115, 473061005; 116, 603061005; 117,
543061005; 118, 513061005; 119, 573061005; 120, 223061005; 121, 633061005; 122,

653061003; 123, 553061103 and 563061103; 124, 403061005; 126, 673061705; 129,

643061703; and 130, 663061005) plus Municipal securities (109, 763062005; 114,

443062005; 116, 603062003; 117, 543062003; 118, 513062003; 120, 223062003; 121,

633062440; 122, 653062003; 123, 553062003; 124, 403062005; and 130, 663062003).
L = Loans are equal to Corporate equity (109, 763064105; 114, 443064075; 116,
603064105; 117, 543064105; 118, 513064003; 119, 573064105; 120, 223064005; 122,
653064000; 123, 553064103 and 563064103; and 130, 663064003), plus Corporate
bonds (109, 763063005; 114, 443063005; 116, 603063003; 117, 543063005; 118,
513063003; 119, 573063005; 120, 223063005; 121, 633063003; 122, 653063003;
123, 553063003 and 563063003; 124, 403063003; 129, 643063003; 130, 663063003;
and 131, 503063003), plus Mortgages (109, 763065005; 114, 443065005; 115,
473065105; 116, 603065103; 117, 543065003; 119, 573065003; 120, 223065005; 124,
403065005; 125, 413065005; 126, 673065005; 127, 613065000; 128, 623065003; and
129, 643065003), plus Open market paper (109, 763069175; 114, 443069105; 115,
473069103; 116, 603069103; 117, 543069100; 119, 573069105; 120, 223069103; 121,
633069175; 122, 653069100; 124, 403069603; 130, 663069103; and 131, 503069105),
plus Consumer credit loans (109, 723066000; 114, 443066003; 115, 473066000; 126,
673066000; and 127, 613066005), plus Other loans and advances (109, 763068005;
114, 443069505; 124, 403069255; 126, 673069005; and 127, 613069500).

D = Deposits are just the sum of the three variables specified above (D = H +
B + L).

⁹ See Board of Governors [4].

¹⁰ Here we report the number of the table and the code. The complete reference
for the table includes an L for Tables L and an F for Tables A. The complete codes
start with FL for Tables L and with FA for Tables A.

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