Financial Conditions Indexes for the United States and Euro Area

April 1, 2011

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

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for forecasting economic activity and have good revision properties.

Subject: Bank credit, Financial statistics, Sovereign bonds, Vector autoregression, Yield curve

Keywords: Financial conditions index, govt bond, sc, WP

Pages:
10
Volume:
2011
DOI:
https://doi.org/10.5089/9781455253326.001
Issue:
093
Series:
Working Paper No. 2011/093
Stock No:
WPIEA2011093
ISBN:
9781455253326
ISSN:
1018-5941

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