Series: IMF Working Papers
Author(s): Carolina Osorio Buitron , Filiz Unsal , and Runchana Pongsaparn
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2011
Keywords: Financial sector, Economic growth, Economic conditions, Asia, Forecasting models, Gross domestic product, Global Financial Crisis 2008-2009, Financial conditions index, VAR, Dynamic Factor Analysis
We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting...