Angelopoulou, E., Balfoussia, H., and Gibson, H. (2013), “Building a Financial Conditions Index for the Euro Area and Selected Euro Area Countries: What Does It Tell Us About the Crisis?” European Central Bank Working Paper No. 1541.
Hatzius, J., Hooper, P., Mishkin, F., Schoenholtz, K., and Watson, M. (2010), “Financial Conditions Indexes: A Fresh Look after the Financial Crisis,” National Bureau of Economic Research Working Paper No. 16150.
Prepared by Sergei Antoshin and Vizhdan Boranova.
All the interest rates are measured against the global short term rate.
In the case of Iceland, the data spans for the NPL and capital ratios are too short.
These two issues were also noted by ratings agencies.