IMF Working Papers

A Financial Conditions Index for Poland

By Giang Ho, Yinqiu Lu

December 19, 2013

Download PDF

Preview Citation

Format: Chicago

Giang Ho, and Yinqiu Lu. A Financial Conditions Index for Poland, (USA: International Monetary Fund, 2013) accessed September 20, 2024
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.

Subject: Bond yields, Econometric analysis, Financial conditions index, Financial institutions, Financial sector policy and analysis, Loans, Sovereign bonds, Vector autoregression, Yield curve

Keywords: Bond yields, Constructed FCI, Europe, Factor analysis, Factor FCI, FCI weight, Financial conditions index, Forecasting property, Global, Lending, Lending standard, Loans, Poland, Rate, Sovereign bonds, VAR FCI, Vector auto-regression, Vector autoregression, WIBOR, WP

Publication Details

  • Pages:

    16

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2013/252

  • Stock No:

    WPIEA2013252

  • ISBN:

    9781475540642

  • ISSN:

    1018-5941

You May Also Be Interested In...

Systemic Implications of Financial Inclusion

September 20, 2024

Satellite-Based Census of Residential Buildings: Application for Climate Risk Assessment

September 20, 2024

Zimbabwe: Technical Assistance Report-Financial Sector Stability Report Follow Up Technical Assistance on the Implementation of the Basel III Liquidity Framework

September 20, 2024

Bangladesh: Technical Assistance Report-Report on Residential Property Price Index (RPPI) Mission (May 19–27, 2024)

September 20, 2024