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Assessing the predictive power of measures of financial conditions for macroeconomic variables

In: Investigating the relationship between the financial and real economy

Author

Listed:
  • William English

    (Board of Governors of the Federal Reserve System)

  • Kostas Tsatsaronis

    (Bank for International Settlements)

  • Edda Zoli

    (International Monetary Fund)

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
  • Handle: RePEc:bis:bisbpc:22-14
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    File URL: http://www.bis.org/publ/bppdf/bispap22n.pdf
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    References listed on IDEAS

    as
    1. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, pages 525-546.
    2. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
    3. Kashyap, Anil K & Stein, Jeremy C & Wilcox, David W, 1993. "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, American Economic Association, pages 78-98.
    4. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, pages 375-389.
    5. Ben S. Bernanke & Cara S. Lown, 1991. "The Credit Crunch," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, pages 205-248.
    6. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, pages 473-500.
    7. Estrella, Arturo & Mishkin, Frederic S., 1997. "The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank," European Economic Review, Elsevier, vol. 41(7), pages 1375-1401, July.
    8. Frederic S. Mishkin, 1990. "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics, Oxford University Press, vol. 105(3), pages 815-828.
    9. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, pages 901-921.
    10. Friedman, Benjamin M & Kuttner, Kenneth N, 1992. "Money, Income, Prices, and Interest Rates," American Economic Review, American Economic Association, pages 472-492.
    11. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, pages 525-546.
    12. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    13. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, pages 901-921.
    14. Hoggarth, Glenn & Reis, Ricardo & Saporta, Victoria, 2002. "Costs of banking system instability: Some empirical evidence," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 825-855, May.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Schou-Zibell, Lotte & Albert, Jose Ramon & Song, Lei Lei, 2010. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Working Papers on Regional Economic Integration 43, Asian Development Bank.
    2. Gochoco-Bautista, Maria Socorro & Sotocinal, Noli R. & Wang, Jianxin, 2014. "Corporate Investments in Asian Markets: Financial Conditions, Financial Development, and Financial Constraints," World Development, Elsevier, vol. 57(C), pages 63-78.
    3. Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather D., 2014. "Building a financial conditions index for the euro area and selected euro area countries: What does it tell us about the crisis?," Economic Modelling, Elsevier, vol. 38(C), pages 392-403.
    4. Olteanu, Dan, 2012. "Monetary Conditions and GDP Evolution in Romania," Working Papers of National Institute of Economic Research 120723, National Institute of Economic Research.
    5. repec:tpr:asiaec:v:16:y:2017:i:2:p:83-117 is not listed on IDEAS
    6. Kenneth N Kuttner, 2008. "Equity prices as leading indicators: the Asian experience," BIS Papers chapters,in: Bank for International Settlements (ed.), Financial market developments and their implications for monetary policy, volume 39, pages 167-192 Bank for International Settlements.
    7. Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
    8. repec:agr:journl:v:3(612):y:2017:i:3(612):p:147-172 is not listed on IDEAS
    9. Kirsten Thompson & Renee Van Eyden & Rangan Gupta, 2015. "Identifying an index of financial conditions for South Africa," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(2), pages 256-274, June.
    10. Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2017. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Questioni di Economia e Finanza (Occasional Papers) 382, Bank of Italy, Economic Research and International Relations Area.
    11. Bank for International Settlements, 2008. "Financial market developments and their implications for monetary policy," BIS Papers, Bank for International Settlements, number 39, June - Se.
    12. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2012. "Characterising the financial cycle: don't lose sight of the medium term!," BIS Working Papers 380, Bank for International Settlements.
    13. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank, Research Department.
    14. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
    15. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    16. Yamada, Hiroyuki & Shimizutani, Satoshi, 2015. "Labor market outcomes of informal care provision in Japan," The Journal of the Economics of Ageing, Elsevier, vol. 6(C), pages 79-88.
    17. Łukasz Lenart & Mateusz Pipień, 2015. "Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 7(3), pages 169-186, September.
    18. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Staff Working Papers 07-8, Bank of Canada.
    19. Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 08/23, International Monetary Fund.

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