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A Quantitative Assessment of Financial Conditions in Asia
Author:
Ms. Carolina Osorio Buitron
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Ms. Filiz D Unsal
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Ms. Runchana Pongsaparn null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2011: Issue 170
Language:
English
Publication Date:
01 Jul 2011
DOI:
https://doi.org/10.5089/9781462314331.001
ISBN:
9781462314331
ISSN:
1018-5941
Pages:
21
Keywords:
WP; exchange rate; monetary policy; Financial conditions index; VAR; Dynamic Factor Analysis; FCI index; GDP growth; FCI coefficient; FCI indices; FCI ease; Vector autoregression; Stock markets; Central bank policy rate; Exchange rates; Asia and Pacific; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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 GDP growth and may be thus used as a leading indicator. Based on the FCI, financial conditions in Asia tightened substantially earlier in the global crisis, reflecting losses in the stock markets and tighter credit conditions. In early 2010, financial conditions in Asia recovered rapidly and reached precrisis levels, thanks to accommodative monetary policies and a rapid rebound in regional equity markets.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund