Series: IMF Working Papers
Author(s): Nombulelo Gumata , Eliphas Ndou , and Nir Klein
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 August 2012
Keywords: Financial conditions index, factor analysis, gdp growth, explanatory power, granger causality, standard deviation, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,
The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman fi...