A Quantitative Assessment of Financial Conditions in Asia
Abstract
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 GDP growth and may be thus used as a leading indicator. Based on the FCI, financial conditions in Asia tightened substantially earlier in the global crisis, reflecting losses in the stock markets and tighter credit conditions. In early 2010, financial conditions in Asia recovered rapidly and reached precrisis levels, thanks to accommodative monetary policies and a rapid rebound in regional equity markets.Download Info
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Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/170.Length: 36
Date of creation: 01 Jul 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/170
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Related research
Keywords: Asia; Economic growth; Economic conditions; Financial sector; Forecasting models; Global Financial Crisis 2008-2009; Gross domestic product;This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-22 (All new papers)
- NEP-CWA-2011-08-22 (Central & Western Asia)
- NEP-FDG-2011-08-22 (Financial Development & Growth)
- NEP-FOR-2011-08-22 (Forecasting)
- NEP-SEA-2011-08-22 (South East Asia)
References
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- Jan Hatzius & Peter Hooper & Frederic S. Mishkin & Kermit L. Schoenholtz & Mark W. Watson, 2010. "Financial Conditions Indexes: A Fresh Look after the Financial Crisis," NBER Working Papers 16150, National Bureau of Economic Research, Inc.
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Papers
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Nombulelo Gumata & Eliphas Ndou & Nir Klein, 2012. "A Financial Conditions Index for South Africa," IMF Working Papers 12/196, International Monetary Fund.
- Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland, Institute for Economies in Transition.
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