FRED database indicator challenge - US Credit Impulse

[icm63]

Hi,

I am try to work out how to calculate the US credit impulse on St Louis FRED database

Formula is here
https://stackoverflow.com/questions/44732841/calculating-credit-impulse-in-r-growth-of-growth


Plain language formula is
Credit impulse = (total social financing [net of non-financial equity] + local government debt issuance) ÷ nominal GDP;



Formula comes from here

https://www.gam.com/media/1434580/biggs.pdf


More from here
https://www.tradingfloor.com/posts/c...strats-9311081

Any ideas??

Cheers

[dcarrigg]

Re: FRED database indicator challenge - US Credit Impulse

Hi,

I am try to work out how to calculate the US credit impulse on St Louis FRED database

Formula is here
https://stackoverflow.com/questions/44732841/calculating-credit-impulse-in-r-growth-of-growth


Plain language formula is
Credit impulse = (total social financing [net of non-financial equity] + local government debt issuance) ÷ nominal GDP;



Formula comes from here

https://www.gam.com/media/1434580/biggs.pdf


More from here
https://www.tradingfloor.com/posts/c...strats-9311081

Any ideas??

Cheers

Is there any reason not to do it in R like the stackoverflow page? Are you looking for something like this?

[thriftyandboringinohio]

Re: FRED database indicator challenge - US Credit Impulse

Nice topic icm63. Credit impulse and profit impulse are new concepts to me, reading the links you provided was fascinating.
Expanding my reading on the subject I found this http://www.clearonmoney.com/dw/doku....credit_impulse


which says:

...or the impulse calculation, net borrowing in a quarter was expressed as a percentage of nominal GDP for that quarter, from NIPA table 1.1.5. The year-to-year change in this percentage was then compared to the year-over-year percent change in real private demand.


For the second graph:




Data were taken from the H.8 statistical release of the Federal Reserve. Data are adjusted for changes in accounting (e.g. banks acquiring assets from acquisitions of non-banks) and for seasonal effects. Note however that it is impossible to adjust for charge-offs...

That makes it look like you can use NIPA table 1.1.5 and FRED H.8 as source data for your calculations. That bit also points to the difficulty of adjusting the data series for some confounding noise arising from acquisitions, charge-offs, and seasonality.


At the links you provided, one author mentions the importance of China in global credit impulse. That sent up red flags for me. I'm not confident one can examine credit impulse in China accurately. China is notorious for allowing large credit accounts to go unpaid and not charged-off. To me, allowing non-performing loans to lay fallow is the functional equivalent of issuing new credit. So it may not be possible to calculate credit impulse in China if they reduce credit issuance but allow non-performing loans to stand on the books as if they were good. The amounts not remitted from borrowers to lenders paying off loans instead flows out to spending just like new credit would.

[icm63]

Re: FRED database indicator challenge - US Credit Impulse

To thriftyandboringinohio

Do this, google search with this: credit impulse site:zerohedge.com

Then select 'images' or the link below

https://www.google.co.nz/search?q=cr...w=1024&bih=644

This type of study was started by economist named Biggs (see PDF from stackOverFlow link in first post).

I am not that good at FRED, and I was try to calculate it, just would like some help with the data selection and formula build.

*******************

To dcarrigg,

DO you know how to calculate that on FRED ?

Thanks

[dcarrigg]

Re: FRED database indicator challenge - US Credit Impulse

To thriftyandboringinohio

Do this, google search with this: credit impulse site:zerohedge.com

Then select 'images' or the link below

https://www.google.co.nz/search?q=cr...w=1024&bih=644

This type of study was started by economist named Biggs (see PDF from stackOverFlow link in first post).

I am not that good at FRED, and I was try to calculate it, just would like some help with the data selection and formula build.

*******************

To dcarrigg,

DO you know how to calculate that on FRED ?

Thanks

I don't think you can calculate it on the FRED website, although you can calculate it using other programs by pulling data from the FRED website. They simply don't let you define data arrays such that you can perform an operation like this on them, from what I can see.

But playing around with R is pretty easy if you've never done it. The program is free.

Once you have it running, in the in the top menu, click "Packages & Data" and click on "package installer." There, search for "quantmod." Make sure "all dependencies" is checked. And install.

Once you've done that, it's only a couple of steps.

Define an object called "debt" with the first variable from FRED (you can just copy and paste the red text in order and hit enter):

debt <- getSymbols("CRDQUSAPABIS", src = "FRED", auto.assign=FALSE)

Define an object called "gdp" with the second variable from FRED:

gdp <- getSymbols("GDP", src = "FRED", auto.assign=FALSE)

Make the arrays conform in size, and pick the timeframe you're looking at:

debt <- usd_debt["2000/2016"]
gdp <- usd_gdp["2000/2016"]

Then do the formula (this is the only bit of real math here):

us_credit_impulse <- (diff(diff(debt) / coredata(gdp)) * 100)

Then tell it to spit out the graph:

plot(us_credit_impulse)

A problem with doing this on the FRED webside is that there is no "diff function" so far as I can tell. There's one setting to flip everything to y/y and that's it...

[icm63]

Re: FRED database indicator challenge - US Credit Impulse

Thanks

[icm63]

Re: FRED database indicator challenge - US Credit Impulse

The only thing that I missed was I though it could 'forecast GDP', yet GDP is in the formula, so it cant do that.

Plain language formula is
Credit impulse = (total social financing [net of non-financial equity] + local government debt issuance) ÷ nominal GDP;