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A Quantitative Assessment of Financial Conditions in Asia

A Quantitative Assessment of Financial Conditions in Asia »

Volume/Issue: 2011/170

Series: IMF Working Papers

Author(s): Carolina Osorio , Filiz Unsal , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

DOI: http://dx.doi.org/10.5089/9781462314331.001

ISBN: 9781462314331

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...

A Quantitative Assessment of Financial Conditions in Asia

A Quantitative Assessment of Financial Conditions in Asia »

Source: A Quantitative Assessment of Financial Conditions in Asia

Volume/Issue: 2011/170

Series: IMF Working Papers

Author(s): Carolina Osorio , Filiz Unsal , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781462314331

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...