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Estimating a time-varying financial conditions index for South Africa?

Author

Listed:
  • Alain Kabundi
  • Asi Mbelu

Abstract

This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying factor loadings proposed by Koop and Korobilis (2014) based on the principal component analysis and the […]

Suggested Citation

  • Alain Kabundi & Asi Mbelu, 2017. "Estimating a time-varying financial conditions index for South Africa?," Working Papers 720, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:720
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    More about this item

    Keywords

    econometric modelling; Macroeconomic Models; Market Structure;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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