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Financial Conditions Indexes for the United States and Euro Area

  • Troy Matheson

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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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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  1. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
  2. 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.).
  3. 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.
  4. 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.
  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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