IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Financial Conditions Indexes and Monetary Policy in Asia

Listed author(s):
  • Margarita Debuque-Gonzales

    ()

    (University of the Philippines School of Economics)

  • Maria Socorro Gochoco-Bautista

    ()

    (University of the Philippines School of Economics)

This paper constructs quarterly financial conditions indexes (FCIs) for eight Asian economies—namely, Hong Kong, Indonesia, Japan, South Korea, Malaysia, the Philippines, Singapore, and Thailand—using a common factor methodology based on Hatzius et al. (2010). A wide array of financial data is included in the indexes based on identified monetary transmission channels in the literature. Bank-related indicators, various measures of financial stress and risk, and credit surveys, where available, are incorporated to fully reflect the state of the financing environment. The FCIs for Asia successfully capture important episodes in each economy's financial history, but only the indexes of financially advanced economies Japan and Singapore have sufficient forecasting power to predict output growth and inflation. High co-movement of Asian FCIs suggests highly similar monetary policies in the region that are strongly linked with monetary policy in the United States.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.mitpressjournals.org/doi/pdf/10.1162/ASEP_a_00522
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by MIT Press in its journal Asian Economic Papers.

Volume (Year): 16 (2017)
Issue (Month): 2 (Summer)
Pages: 83-117

as
in new window

Handle: RePEc:tpr:asiaec:v:16:y:2017:i:2:p:83-117
Contact details of provider: Web page: http://mitpress.mit.edu/journals/

Order Information: Web: http://www.mitpressjournals.org/loi/asep

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Jun-ichi Shinkai & Akira Kohsaka, 2010. "Financial Linkages and Business Cycles of Japan: An Analysis Using Financial Conditions Index," OSIPP Discussion Paper 10E008, Osaka School of International Public Policy, Osaka University.
  2. Matheson, Troy D., 2012. "Financial conditions indexes for the United States and euro area," Economics Letters, Elsevier, vol. 115(3), pages 441-446.
  3. Debuque-Gonzales , Margarita & Gochoco-Bautista, Maria Socorro, 2013. "Financial Conditions Indexes for Asian Economies," ADB Economics Working Paper Series 333, Asian Development Bank.
  4. Bénassy-Quéré, Agnès & Forouheshfar, Yeganeh, 2015. "The impact of yuan internationalization on the stability of the international monetary system," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 115-135.
  5. Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
  6. Miss Nombulelo Gumata & Mr Nir Klein & Mr Eliphas Ndou, 2012. "Working Paper - WP/12/05- A Financial Conditions Index for South Africa," Papers 5119, South African Reserve Bank.
  7. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics,in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
  8. Hubrich, Kirstin & Tetlow, Robert J., 2015. "Financial stress and economic dynamics: The transmission of crises," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 100-115.
  9. Tim Ng, 2011. "The predictive content of financial cycle measures for output fluctuations," BIS Quarterly Review, Bank for International Settlements, June.
  10. Nombulelo Gumata & Eliphas Ndou & Nir Klein, 2012. "A Financial Conditions Index for South Africa," IMF Working Papers 12/196, International Monetary Fund.
  11. Bernanke, Ben & Gertler, Mark, 1989. "Agency Costs, Net Worth, and Business Fluctuations," American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March.
  12. William English & Kostas Tsatsaronis & Edda Zoli, 2005. "Assessing the predictive power of measures of financial conditions for macroeconomic variables," BIS Papers chapters,in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 228-52 Bank for International Settlements.
  13. Wai Ching Poon, 2010. "Augmented MCi: AN Indicator Of Monetary Policy Stance For ASEAN-5?," Monash Economics Working Papers 25-10, Monash University, Department of Economics.
  14. 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.
  15. Park, Cyn-Young & Mercado, Rogelio V., 2014. "Determinants of financial stress in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 199-224.
  16. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
  17. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
  18. Carolina Osorio & Filiz D Unsal & Runchana Pongsaparn, 2011. "A Quantitative Assessment of Financial Conditions in Asia," IMF Working Papers 11/170, International Monetary Fund.
  19. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  20. 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.
  21. Giang Ho & Yinqiu Lu, 2013. "A Financial Conditions Index for Poland," IMF Working Papers 13/252, International Monetary Fund.
  22. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters,in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
  23. Stephan Danninger & Irina Tytell & Ravi Balakrishnan & Selim Elekdag, 2009. "The Transmission of Financial Stress from Advanced to Emerging Economies," IMF Working Papers 09/133, International Monetary Fund.
  24. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:tpr:asiaec:v:16:y:2017:i:2:p:83-117. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kristin Waites)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.