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Year of publication
Subject
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financial conditions index 38 Financial conditions index 34 Financial Conditions Index 21 Monetary policy 13 Financial crisis 11 Wirtschaftsindikator 11 Economic indicator 10 Finanzkrise 10 Geldpolitik 10 Monetary Conditions Index 10 VAR model 10 VAR-Modell 10 Financial market 9 Finanzmarkt 9 USA 9 United States 9 principal component analysis 9 Forecasting model 8 Prognoseverfahren 8 Theorie 8 Theory 8 Estimation 7 Financial sector 7 Finanzsektor 7 Schätzung 7 Index 6 Index number 6 Model-based Tourism Financial Conditions Index 6 Unbiased Estimation 6 leading indicators 6 monetary conditions index 6 unbiased estimation 6 Asia 5 China 5 South Africa 5 Bayesian inference 4 Business cycle 4 China's financial system 4 Forecasting 4 Impact assessment 4
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Online availability
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Free 58 Undetermined 19
Type of publication
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Book / Working Paper 63 Article 30
Type of publication (narrower categories)
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Working Paper 37 Article in journal 24 Aufsatz in Zeitschrift 24 Arbeitspapier 23 Graue Literatur 23 Non-commercial literature 23 Article 1
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Language
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English 61 Undetermined 28 Spanish 3 Turkish 1
Author
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Chang, Chia-Lin 14 McAleer, Michael 12 Hsu, Hui-Kuang 9 Gupta, Rangan 8 Thompson, Kirsten 8 Balcilar, Mehmet 5 Eickmeier, Sandra 4 Eyden, Renee van 4 Huang, Yuqin 4 Lemke, Wolfgang 4 Lodge, David 4 Marcellino, Massimiliano 4 Sun, Lixin 4 Van Eyden, Reneé 4 Castro, Vítor 3 Gochoco-Bautista, Maria Socorro 3 Hosszú, Zsuzsanna 3 Mihajlovska, Elena Mucheva 3 Naraidoo, Ruthira 3 Petrovska, Magdalena 3 Altuğ, Sumru 2 Areosa, Waldyr Dutra 2 Bulos, Claudia Ramírez 2 Crump, Richard K. 2 Darracq Pariès, Matthieu 2 Debuque-Gonzales, Margarita 2 Demircan, Hamza 2 Eusepi, Stefano 2 Gaglianone, Wagner Piazza 2 Giannone, Domenico 2 Guarata, Nora 2 Guichard, Stéphanie 2 Gómez, Esteban 2 Gül, Selçuk 2 Ho, Giang 2 Kapetanios, George 2 Lu, Yinqiu 2 Majumdar, Anandamayee 2 Maurin, Laurent 2 Moccero, Diego 2
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Institution
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Department of Economics, Faculty of Economic and Management Sciences 5 Economics Department, Organisation de Coopération et de Développement Économiques (OCDE) 2 European Central Bank 2 Banco de la Republica de Colombia 1 C.E.P.R. Discussion Papers 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, University of Warwick 1 Deutsche Bundesbank 1 Economics and Research Department, Asian Development Bank 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Faculty of Economics, Kobe University 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 International Monetary Fund (IMF) 1 Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho 1 Tinbergen Instituut 1 Türkiye Cumhuriyet Merkez Bankası 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Working Papers / Department of Economics, Faculty of Economic and Management Sciences 5 ECB Working Paper 3 ADB Economics Working Paper Series 2 Discussion paper / Tinbergen Institute 2 Econometric Institute research papers 2 IDB Working Paper Series 2 International review of economics & finance : IREF 2 Journal of Central Banking Theory and Practice 2 OECD Economics Department Working Papers 2 Tinbergen Institute Discussion Paper 2 Working Paper Series / European Central Bank 2 Working paper 2 Working papers / Inter-American Development Bank, Department of Research and Chief Economist 2 ADB economics working paper series 1 Annals of Financial Economics (AFE) 1 Annals of financial economics 1 Applied economics letters 1 CAMA working paper series 1 CEPR Discussion Papers 1 Central Bank review / The Central Bank of the Republic of Turkey 1 Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Discussion Papers / Faculty of Economics, Kobe University 1 Discussion paper series / Reserve Bank of New Zealand 1 Discussion papers / CEPR 1 Documentos de Trabajo del ICAE 1 Documentos de trabajo Banco Central de Chile 1 Documents de travail du Centre d'Economie de la Sorbonne 1 ENSAYOS SOBRE POLÍTICA ECONÓMICA 1 Econometric Institute Research Papers 1 Economic modelling 1 Economic systems 1 Economics / Discussion papers : the open-access, open-assessment e-journal 1 Economics / Journal articles : the open-access, open-assessment journal 1 Economics Discussion Papers 1 Economics: The Open-Access, Open-Assessment E-Journal 1 El trimestre económico 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Ensayos sobre política económica 1
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Source
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ECONIS (ZBW) 48 RePEc 30 EconStor 15
Showing 1 - 50 of 93
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Economic growth at risk: an application to Chile
Álvarez, Nicolás; Fernandois, Antonio; Sagner, Andrés - 2021
Persistent link: https://ebtypo.dmz1.zbw/10012514010
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A monthly financial conditions index for New Zealand
Herculano, Miguel C. - 2022
Persistent link: https://ebtypo.dmz1.zbw/10013206132
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A large Bayesian VAR of the United States Economy
Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...
Persistent link: https://ebtypo.dmz1.zbw/10012703469
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A large Bayesian VAR of the United States Economy
Crump, Richard K.; Eusepi, Stefano; Giannone, Domenico; … - 2021
We model the United States macroeconomic and financial sectors using a formal and unified econometric model. Through shrinkage, our Bayesian VAR provides a flexible framework for modeling the dynamics of thirty-one variables, many of which are tracked by the Federal Reserve. We show how the...
Persistent link: https://ebtypo.dmz1.zbw/10012613922
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Modeling of economic and financial conditions for nowcasting and forecasting recessions: A unified approach
Çakmaklı, Cem; Demircan, Hamza; Altuğ, Sumru - 2019
In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...
Persistent link: https://ebtypo.dmz1.zbw/10012060224
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Credit, financial conditions and the business cycle in China
Lodge, David; Soudan, Michel - 2019
This paper presents empirical evidence of the role of financial conditions in China's business cycle. We estimate a Bayesian-VAR for the Chinese economy, incorporating a financial conditions index for China that captures movements across a range of financial variables, including interest rates...
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Persistent link: https://ebtypo.dmz1.zbw/10012142088
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Modeling of economic and financial conditions for nowcasting and forecasting recessions : a unified approach
Çakmaklı, Cem; Demircan, Hamza; Altuğ, Sumru - 2019
In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...
Persistent link: https://ebtypo.dmz1.zbw/10011999163
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Credit, financial conditions and the business cycle in China
Lodge, David; Soudan, Michel - 2019
This paper presents empirical evidence of the role of financial conditions in China's business cycle. We estimate a Bayesian-VAR for the Chinese economy, incorporating a financial conditions index for China that captures movements across a range of financial variables, including interest rates...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10011975616
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Asymmetric effects of financial conditions on GDP growth in Korea : a quantile regression analysis
Kwark, Noh-sun; Lee, Changhyun - In: Economic modelling 94 (2021), pp. 351-369
Persistent link: https://ebtypo.dmz1.zbw/10012695061
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Estimating a time-varying financial conditions index for South Africa
Kabundi, Alain; Mbelu, Asithandile - In: Empirical economics : a quarterly journal of the … 60 (2021) 4, pp. 1817-1844
Persistent link: https://ebtypo.dmz1.zbw/10012490676
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The impact of monetary policy stance, financial conditions, and the GFC on investment-cash flow sensitivity
Gül, Selçuk; Taştan, Hüseyin - Türkiye Cumhuriyet Merkez Bankası - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011911287
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The impact of monetary policy stance, financial conditions, and the GFC on investment-cash flow sensitivity
Gül, Selçuk; Taştan, Hüseyin - In: International review of economics & finance : IREF 69 (2020), pp. 692-707
Persistent link: https://ebtypo.dmz1.zbw/10012487201
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Monetary policy in the next recession?
Cecchetti, Stephen G.; Feroli, Michael; Kashyap, Anil K.; … - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012312463
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Understanding financial fluctuations and their relation to macroeconomic stability
Guarata, Nora; Pagliacci, Carolina - 2017
This paper examines how financial fluctuations and macroeconomic stability interact in the case of Venezuela, acknowledging that financial conditions deteriorating the macroeconomic environment can arise with both good and bad macroeconomic performance. An empirical methodology is provided that...
Persistent link: https://ebtypo.dmz1.zbw/10011786420
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Financial conditions indicator for Brazil
Gaglianone, Wagner Piazza; Areosa, Waldyr Dutra - 2017
This paper proposes a methodology for constructing a Financial Conditions Indicator (FCI) based on factor analysis and the approaches of Brave and Butters (2011) and Aramonte et al. (2013). A selected set of variables is used and their information content aggregated into a single index that...
Persistent link: https://ebtypo.dmz1.zbw/10011786434
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A Tourism Financial Conditions Index for Tourism Finance
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2017
The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI). The TFCI is an adaptation and...
Persistent link: https://ebtypo.dmz1.zbw/10011819464
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A UK financial conditions index using targeted data reduction : forecasting and structural identification
Kapetanios, George; Price, Simon; Young, Garry - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011747023
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A UK financial conditions index using targeted data reduction : forecasting and structural identification
Kapetanios, George; Price, Simon; Young, Garry - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011913011
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A financial conditions index for the CEE economies
Auer, Simone - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011944983
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Understanding financial fluctuations and their relation to macroeconomic stability
Guarata, Nora; Pagliacci, Carolina - 2017
This paper examines how financial fluctuations and macroeconomic stability interact in the case of Venezuela, acknowledging that financial conditions deteriorating the macroeconomic environment can arise with both good and bad macroeconomic performance. An empirical methodology is provided that...
Persistent link: https://ebtypo.dmz1.zbw/10011673263
Saved in:
Cover Image
Financial conditions indicator for Brazil
Gaglianone, Wagner Piazza; Areosa, Waldyr Dutra - 2017
This paper proposes a methodology for constructing a Financial Conditions Indicator (FCI) based on factor analysis and the approaches of Brave and Butters (2011) and Aramonte et al. (2013). A selected set of variables is used and their information content aggregated into a single index that...
Persistent link: https://ebtypo.dmz1.zbw/10011715419
Saved in:
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A tourism financial conditions index for tourism finance
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2017 - Revised version: August 2017
The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI). The TFCI is an adaptation and...
Persistent link: https://ebtypo.dmz1.zbw/10011699488
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The impact of credit supply shocks and a new FCI based on a FAVAR approach
Hosszú, Zsuzsanna - 2016
In this paper, relying on a time-varying parameters FAVAR model, two credit supply factors are calculated, the first of which is identified as willingness to lend, while the second as lending capacity. The impact of these two types of credit supply shocks on macroeconomic variables and their...
Persistent link: https://ebtypo.dmz1.zbw/10011784376
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Measuring the instability of China's financial system: Indices construction and an early warning system
Sun, Lixin; Huang, Yuqin - 2016
In this paper, employing several econometric techniques, the authors construct a financial stress index (CNFSI) and a financial conditions index (CNFCI) to measure the instability of China's financial system. The indices are based on the monthly data collected from China's inter-bank markets,...
Persistent link: https://ebtypo.dmz1.zbw/10011416705
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Measuring the instability of China's financial system: Indices construction and an early warning system
Sun, Lixin; Huang, Yuqin - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-19, pp. 1-41
In this paper, employing several econometric techniques, the authors construct a financial stress index (CNFSI) and a financial conditions index (CNFCI) to measure the instability of China's financial system. The indices are based on the monthly data collected from China's inter-bank markets,...
Persistent link: https://ebtypo.dmz1.zbw/10011504358
Saved in:
Cover Image
The impact of credit supply shocks and a new FCI based on a FAVAR approach
Hosszú, Zsuzsanna - 2016
In this paper, relying on a time-varying parameters FAVAR model, two credit supply factors are calculated, the first of which is identified as willingness to lend, while the second as lending capacity. The impact of these two types of credit supply shocks on macroeconomic variables and their...
Persistent link: https://ebtypo.dmz1.zbw/10011457124
Saved in:
Cover Image
Measuring the instability of China's financial system : indices construction and an early warning system
Sun, Lixin; Huang, Yuqin - 2016
In this paper, employing several econometric techniques, the authors construct a financial stress index (CNFSI) and a financial conditions index (CNFCI) to measure the instability of China's financial system. The indices are based on the monthly data collected from China's inter-bank markets,...
Persistent link: https://ebtypo.dmz1.zbw/10011416485
Saved in:
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Do financial conditions have a predictive power on inflation in Turkey?
Bulut, Umit - In: International journal of economics and financial issues … 6 (2016) 2, pp. 621-628
Persistent link: https://ebtypo.dmz1.zbw/10011697188
Saved in:
Cover Image
Measuring the instability of China's financial system : indices construction and an early warning system
Sun, Lixin; Huang, Yuqin - 2016
In this paper, employing several econometric techniques, the authors construct a financial stress index (CNFSI) and a financial conditions index (CNFCI) to measure the instability of China's financial system. The indices are based on the monthly data collected from China's inter-bank markets,...
Persistent link: https://ebtypo.dmz1.zbw/10011502689
Saved in:
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Estimación de un índice de condiciones financieras para México
Villarreal, Thelma Armendáriz; Bulos, Claudia Ramírez - 2015
A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and...
Persistent link: https://ebtypo.dmz1.zbw/10011445077
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Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa
Balcilar, Mehmet; Gupta, Rangan; Eyden, Renee van; … - Department of Economics, Faculty of Economic and … - 2015
In this paper we test the forecasting ability of three estimated financial conditions indices (FCIs) with respect to key macroeconomic variables of output growth, inflation and interest rates. We do this by forecasting the aforementioned macroeconomic variables based on the information contained...
Persistent link: https://ebtypo.dmz1.zbw/10011220717
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Building a financial conditions index for Romania
Muraru, Andreea - 2015
Persistent link: https://ebtypo.dmz1.zbw/10011391684
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Estimación de un índice de condiciones financieras para México
Villarreal, Thelma Armendáriz; Bulos, Claudia Ramírez - 2015
A tool that has been widely used to identify the state of financial conditions in a country are the financial conditions indexes, since they synthesize information from different variables in a single indicator allowing to identify the general behavior of financial conditions in a timely and...
Persistent link: https://ebtypo.dmz1.zbw/10011337615
Saved in:
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Developing a financial conditions index for a post-transition country : the case of Croatia
Broz, Tanja; Barbić, Tajana; Palić, Petra - In: Post-communist economies 30 (2018) 4, pp. 549-564
Persistent link: https://ebtypo.dmz1.zbw/10011883998
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The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach
Hosszú, Zsuzsanna - In: Economic systems 42 (2018) 1, pp. 32-44
Persistent link: https://ebtypo.dmz1.zbw/10012126042
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Comparing the forecasting ability of financial conditions indices : the case of South Africa
Balcilar, Mehmet; Gupta, Rangan; Van Eyden, Reneé; … - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 245-259
Persistent link: https://ebtypo.dmz1.zbw/10012035015
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Constructing a dynamic financial conditions indexes by TVP-FAVAR model
Wang, Shaoping; Xu, Fan; Chen, Sanpan - In: Applied economics letters 25 (2018) 3, pp. 183-186
Persistent link: https://ebtypo.dmz1.zbw/10011853832
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Financial conditions index and credit supply shocks for the euro area
Darracq Pariès, Matthieu; Maurin, Laurent; Moccero, Diego - 2014
We implement a two-step approach to construct a financing conditions index (FCI) for the euro area and its four larger member states (Germany, France, Italy and Spain). The method, which follows Hatzius et al. (2010), is based on factor analysis and enables to summarise information on financing...
Persistent link: https://ebtypo.dmz1.zbw/10011605689
Saved in:
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Measuring financial conditions in major non-euro area economies
Wacker, Konstantin M.; Lodge, David; Nicoletti, Giulio - 2014
In this paper, we develop financial conditions indices (FCIs) for 3 industrialized (US, Japan, UK) and 5 emerging (China, Brazil, Russia, India, Turkey) economies. The FCIs are formed as the principal component of a range of financial series for each country and are constructed to account for...
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Persistent link: https://ebtypo.dmz1.zbw/10011605788
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A Tourism Financial Conditions Index
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2014
The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 - August 2013 for Taiwan that applies Chang's (2014) novel approach for constructing a tourism financial indicator, namely...
Persistent link: https://ebtypo.dmz1.zbw/10010377206
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Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
Balcilar, Mehmet; Thompson, Kirsten; Gupta, Rangan; … - Institut de Préparation à l'Administration et à la … - 2014
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...
Persistent link: https://ebtypo.dmz1.zbw/10010891108
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A Tourism Financial Conditions Index
Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 2014
__Abstract__ The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial...
Persistent link: https://ebtypo.dmz1.zbw/10011149265
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Modelling a Latent Daily Tourism Financial Conditions Index
Chang, Chia-Lin - Volkswirtschaftliche Fakultät, … - 2014
The paper uses daily data on financial stock index returns, tourism stock sub-index returns, exchange rate returns and interest rate differences from 1 June 2001 – 28 February 2014 for Taiwan to construct a novel latent daily tourism financial indicator, namely the Tourism Financial Conditions...
Persistent link: https://ebtypo.dmz1.zbw/10011109105
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Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach
Balcilar, Mehmet; Thompson, Kirsten; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014
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...
Persistent link: https://ebtypo.dmz1.zbw/10011095448
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An Emerging Market Financial Conditions Index: A VAR Approach.
Charleroy, Rémy; Stemmer, Michael A. - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
The recent financial crisis has heightened the interest in the impact of financial sector developments on the macroeconomic condition of countries. By employing a rolling-window Vector Auto-Regressive method based on monthly data for a time span between January 2001 and March 2013, this article...
Persistent link: https://ebtypo.dmz1.zbw/10011098350
Saved in:
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Measuring financial conditions in major non-euro area economies
Wacker, Konstantin M.; Lodge, David; Nicoletti, Giulio - European Central Bank - 2014
In this paper, we develop financial conditions indices (FCIs) for 3 industrialized (US, Japan, UK) and 5 emerging (China, Brazil, Russia, India, Turkey) economies. The FCIs are formed as the principal component of a range of financial series for each country and are constructed to account for...
Persistent link: https://ebtypo.dmz1.zbw/10011100160
Saved in:
Cover Image
A Tourism Financial Conditions Index
Chang, Chia-Lin; McAleer, Michael; Hsu, Hui-Kuang - Facultad de Ciencias Económicas y Empresariales, … - 2014
The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial indicator,...
Persistent link: https://ebtypo.dmz1.zbw/10011162544
Saved in:
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A Tourism Financial Conditions Index
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2014
The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial indicator,...
Persistent link: https://ebtypo.dmz1.zbw/10011256976
Saved in:
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Financial conditions index and credit supply shocks for the euro area
Darracq Pariès, Matthieu; Maurin, Laurent; Moccero, Diego - European Central Bank - 2014
We implement a two-step approach to construct a financing conditions index (FCI) for the euro area and its four larger member states (Germany, France, Italy and Spain). The method, which follows Hatzius et al. (2010), is based on factor analysis and enables to summarise information on financing...
Persistent link: https://ebtypo.dmz1.zbw/10010753758
Saved in:
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A tourism financial conditions index
Chang, Chia-Lin; Hsu, Hui-kuang; McAleer, Michael - 2014
Persistent link: https://ebtypo.dmz1.zbw/10010410211
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