Cover IMF Working Papers
A Financial Conditions Index for Poland
Author: Giang Ho and Miss Yinqiu Lu
Series:
IMF Working Papers
Volume/Issue:
Volume 2013: Issue 252
Language:
English
Publication Date:
19 Dec 2013
DOI:
https://doi.org/10.5089/9781475540642.001
ISBN:
9781475540642
ISSN:
1018-5941
Pages:
16
Keywords:
WP; VAR FCI; lending; rate; WIBOR; Financial conditions index; factor analysis; Poland; vector auto-regression; constructed FCI; FCI weight; forecasting property; factor FCI; lending standard; Vector autoregression; Bond yields; Loans; Sovereign bonds; Europe; Global
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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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This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches—factor analysis and vector auto-regression approach. We evaluate the index’s forecasting performance against a composite leading indicator developed by the OECD. We found that the FCI is highly correlated with GDP growth, attesting to the importance of financial sector in Poland’s economy. In-sample and out-of-sample forecasting exercises indicate that the FCI can outperform the CLI in predicting near-term GDP growth.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund