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

Label
A Quantitative Assessment of Financial Conditions in Asia, Carolina Osorio Buitron, Filiz Unsal, Runchana Pongsaparn
Language
eng
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
Bibliography note
Includes bibliographical references
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
A Quantitative Assessment of Financial Conditions in Asia
Nature of contents
dictionaries
Responsibility statement
Carolina Osorio Buitron, Filiz Unsal, Runchana Pongsaparn
Series statement
IMF Working Papers
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 FCIsIV. Developments of Financial Conditions in Asia over the Course of the Global Crisis5. Average Reduction in GDP Growth Over the Next Four Quarters From Tightening Financial Conditions; V. Conclusions; Data Appendix; References; Footnotes
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