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A Quantitative Assessment of Financial Conditions in Asia, Carolina Osorio Buitron, Filiz Unsal, Runchana Pongsaparn

Abstract
We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting GDP growth and may be thus used as a leading indicator. Based on the FCI, financial conditions in Asia tightened substantially earlier in the global crisis, reflecting losses in the stock markets and tighter credit conditions. In early 2010, financial conditions in Asia recovered rapidly and reached precrisis levels, thanks to accommodative monetary policies and a rapid rebound in regional equity markets
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Methodology; A. Weighted-Sum Approach; B. Principle Component Approach; C. Combined Index; 1. Selected Asia: Financial Condition Index (FCI) and GDP Growth; 2. FCIs and GDP Growth; 3. Relative Contribution of Financial Variables in FCI; 4 Contribution of Exchange Rate and Stock Prices to FCI and GDP Growth Volatility; III. Evaluating the Financial Condition Index; 1. In-Sample Predictive Tests; 2. Out-of-Sample Predictive Tests; 3. Correlation of Real GDP Outturns and Its Real-Time Forecasts: With and Without FCIs
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (37 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462380916

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