A Financial Conditions Index for Poland

 
Author/Editor: Giang Ho ; Yinqiu Lu
 
Publication Date: December 19, 2013
 
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
 
Summary: 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.
 
Series: Working Paper No. 13/252
Subject(s): Financial sector | Poland | Economic conditions | Economic models

 
English
Publication Date: December 19, 2013
ISBN/ISSN: 9781475540642/1018-5941 Format: Paper
Stock No: WPIEA2013252 Pages: 16
Price:
US$18.00 (Academic Rate:
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