Series: IMF Working Papers
Author(s): Carolina Osorio , Filiz Unsal , and Runchana Pongsaparn
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2011
Keywords: Financial conditions index, VAR, Dynamic Factor Analysis, exchange rate, stock market, effective exchange rate, nominal effective exchange rate, bond, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy
We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting...