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A Financial Conditions Index for Poland, Giang Ho, Yinqiu Lu

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Abstract
This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches—factor analysis and vector auto-regression approach. We evaluate the index’s forecasting performance against a composite leading indicator developed by the OECD. We found that the FCI is highly correlated with GDP growth, attesting to the importance of financial sector in Poland’s economy. In-sample and out-of-sample forecasting exercises indicate that the FCI can outperform the CLI in predicting near-term GDP growth
Table Of Contents
Cover; Contents; I. Introduction; II. Overview of Methodology; A. Vector Auto-Regression; B. Factor Analysis; III. A Financicial Conditions Index for Poland; A. Overview of the Constructed FCIs; B. VAR-Based FCI; Tables; I. Correlations Between Financial Variables and Real Activity, 2004Q1-2012Q4; Figure; I. Contributions to FCI, 2004Q1-2013Q1; C. Factor-Based FCI; IV. Forecast Evaluation; II. In-Sample Predictive Tests; V. Conclusion; III. Out-of-Sample Predictive Tests, Relative RMSE; References
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (17 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781475540734

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