Series: IMF Working Papers
Author(s): Troy Matheson
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2011
Keywords: Financial Conditions, Short-term Forecasting, Real-Time Data, forecasting, bond, bond spread, government bond, bond yield, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,
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 fore...