A financial conditions index (FCI) is designed to summarise the state of financial markets. We construct two with UK data. The first is the first principal component (PC) of a set of financial indicators. The second comes from a new approach taking information from a large set of macroeconomic...

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area economies. The results indicate that the Automatic Leading...