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Financial Conditions Indexes for the United States and Euro Area

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  • Troy Matheson

Abstract

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for forecasting economic activity and have good revision properties.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/93.

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Length: 10
Date of creation: 01 Apr 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/93

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Keywords: Economic conditions; Monetary policy; Economic forecasting; Forecasting models; forecasting; bond; bond spread; government bond; bond yield; survey; surveys; bayesian information criteria; benchmark bond; missing observations; econometrics;

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References

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  1. 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.
  2. Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
  3. Domenico Giannone & Lucrezia Reichlin & David Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
  4. Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print peer-00844811, HAL.
  5. Scott Brave & R. Andrew Butters, 2011. "Monitoring financial stability: a financial conditions index approach," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 22-43.
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Citations

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Cited by:
  1. Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather, 2013. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Paper Series 1541, European Central Bank.
  2. Chang, C-L. & Hsu, H-K. & McAleer, M.J., 2014. "A Tourism Financial Conditions Index," Econometric Institute Research Papers EI2014-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. A. Hakan Kara & Pinar Ozlu & Deren Unalmis, 2012. "Financial Conditions Indices for the Turkish Economy," CBT Research Notes in Economics 1231, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  4. Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
  5. Chang, C-L. & Hsu, H-K. & McAleer, M.J., 2014. "A Tourism Conditions Index," Econometric Institute Research Papers EI 2014-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  6. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
  7. Sirio Aramonte & Samuel Rosen & John W. Schindler, 2013. "Assessing and combining financial conditions indexes," Finance and Economics Discussion Series 2013-39, Board of Governors of the Federal Reserve System (U.S.).
  8. Chang, Chia-Lin, 2014. "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper 54887, University Library of Munich, Germany.
  9. Sally F. (Sally Fangnan) Chen & Philip Liu & Andrea M. Maechler & Chris Marsh & Sergejs Saksonovs & Hyun Song Shin, 2012. "Exploring the Dynamics of Global Liquidity," IMF Working Papers 12/246, International Monetary Fund.
  10. Scott Brave & R. Andrew Butters, 2012. "Diagnosing the Financial System: Financial Conditions and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 191-239, June.
  11. Darracq Pariès, Matthieu & Maurin, Laurent & Moccero, Diego, 2014. "Financial conditions index and credit supply shocks for the euro area," Working Paper Series 1644, European Central Bank.
  12. Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J., 2013. "Melting down: Systemic financial instability and the macroeconomy," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80487, Verein für Socialpolitik / German Economic Association.

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