The negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables...

This paper proposes a nonlinear impulse-response matching procedure explicitly designed to estimate nonlinear dynamic models, and illustrates its applicability by estimating a macro-fi…nance model of asset pricing under skewness risk. As auxiliary model, a new class of nonlinear vector...

The negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables...