Credit Markets and the Propagation of Monetary Policy Shocks

The ratios defined in the paper (that is, h, b and h/b) had large trends until the
beginning of the 1990s when they stabilized. This is the moment when the Fed
began to target interest rates. To make the numbers in Table 3 meaningful, the
column “Data” in that table was computed from a sample starting in the first
quarter of 1990 and ending in the third quarter of 2002, which was the last date
available.

Data on interest rates were taken from the Statistical Release H.15 of the Board
of Governors of the Federal Reserve System (available at the elctronic address
http://www.federalreserve.gov/releases/h15/data.htm). These interest rates are:
R^D = Interest on deposits. It is computed from the 3-month Eurodollar deposits
(London).

R^L = Interest on loans. It is the computed from the Bank prime loan rate.

The sources for the rest of the variables are as follows:

FEDSEC = Fed holdings of government securities. This is equal to the seasonally
adjusted series of US government securities held by the Federal Reserve Banks
(Table L108, code 713061005 of the Flow of Funds Accounts).

NBR = Nonborrowed reserves. This series is taken from the Statistical Re-
lease H.6 of the Board of Governors of the Federal Reserve System (available
at http://www.federalreserve.gov/releases/h6/hist/).

Capacity utilization rate. This series represents the capacity utilization rate in
the Manufacturing industry and was taken from Tables 7 and 8 of the Statistical
Release G.17 of the Board of Governors of the Federal Reserve System (available
at http://www.federalreserve.gov/releases/g17/download.htm).

National account variables were taken from the FRED database (available at
http://research.stlouisfed.org/fred2/).

Share of entrepreneurs. This number is taken from the Panel Study of Income
Dynamics (PSID), for the year 1994.

Gini coefficients for wealth and income are also taken from the PSID, 1989.

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