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An Alternative Financial Conditions Index for the Euro Area
[Un nouvel indice des conditions financières pour la zone euro]

Author

Listed:
  • Anna Petronevich
  • Jean-Guillaume Sahuc

Abstract

Financial conditions are not fully captured by the short-term interest rate, especially when it is stuck at its lower bound. As a result, financial institutions and central banks turn to other indicators richer in information such as financial condition indices (FCI). We provide a new FCI with time-varying component weights which pinpoints the sources of changes in financial conditions. Le taux d’intérêt de court terme ne reflète pas pleinement les conditions financières, surtout lorsqu’il avoisine sa valeur plancher. Les institutions financières et les banques centrales utilisent donc d’autres indicateurs plus riches en information, tels que les indices des conditions financières (ICF). Nous proposons un nouvel ICF intégrant des pondérations variables dans le temps qui identifie les sources d’évolution des conditions financières.

Suggested Citation

  • Anna Petronevich & Jean-Guillaume Sahuc, 2019. "An Alternative Financial Conditions Index for the Euro Area [Un nouvel indice des conditions financières pour la zone euro]," Eco Notepad (in progress) 100, Banque de France.
    • Handle: RePEc:bfr:econot:100
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    File URL: https://www.banque-france.fr/en/publications-and-statistics/publications/alternative-financial-conditions-index-euro-area
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    File URL: https://www.banque-france.fr/fr/publications-et-statistiques/publications/un-nouvel-indice-des-conditions-financieres-pour-la-zone-euro
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