Osorio, Carolina; Unsal, D. Filiz; Pongsaparn, Runchana - International Monetary Fund (IMF) - 2011
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,...