The Estimation of Financial Conditions Indices for the Major OECD Countries:
Financial conditions indices (FCIs) have been developed to summarise financial conditions and also supplement more traditional macroeconomic forecasting. They capture market expectations but also quantitative and survey information. This paper seeks to provide up to date financial conditions indices...
Gespeichert in:
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| Weitere Verfasser: | , |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2016
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Financial conditions indices (FCIs) have been developed to summarise financial conditions and also supplement more traditional macroeconomic forecasting. They capture market expectations but also quantitative and survey information. This paper seeks to provide up to date financial conditions indices for six countries, France, Germany, Italy, Japan, the United Kingdom and the United States, as well as the euro area, updating earlier results by the OECD. The addition of the period of the financial crisis period has made radical changes to the original results of the FCI estimation. Country-specific estimates provide a number of wrong signs and insignificant coefficients. We find in general that the panel (and NiGEM) based FCIs are more satisfactory. Furthermore, a promising avenue for further research is the dynamic factor/principal components approach |
| Beschreibung: | 1 Online-Ressource (29 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/5jlnb5b1zw9x-en |
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| spelling | Davis, E. Philip Verfasser aut The Estimation of Financial Conditions Indices for the Major OECD Countries E. Philip Davis, Simon Kirby and James Warren = Estimation des indices des conditions financières pour les grands pays de l'OCDE / E. Philip Davis, Simon Kirby et James Warren Estimation des indices des conditions financières pour les grands pays de l'OCDE Paris OECD Publishing 2016 1 Online-Ressource (29 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Economics Department Working Papers Financial conditions indices (FCIs) have been developed to summarise financial conditions and also supplement more traditional macroeconomic forecasting. They capture market expectations but also quantitative and survey information. This paper seeks to provide up to date financial conditions indices for six countries, France, Germany, Italy, Japan, the United Kingdom and the United States, as well as the euro area, updating earlier results by the OECD. The addition of the period of the financial crisis period has made radical changes to the original results of the FCI estimation. Country-specific estimates provide a number of wrong signs and insignificant coefficients. We find in general that the panel (and NiGEM) based FCIs are more satisfactory. Furthermore, a promising avenue for further research is the dynamic factor/principal components approach Economics Kirby, Simon ctb Warren, James ctb https://doi.org/10.1787/5jlnb5b1zw9x-en Verlag kostenfrei Volltext |
| spellingShingle | Davis, E. Philip The Estimation of Financial Conditions Indices for the Major OECD Countries Economics |
| title | The Estimation of Financial Conditions Indices for the Major OECD Countries |
| title_alt | Estimation des indices des conditions financières pour les grands pays de l'OCDE |
| title_auth | The Estimation of Financial Conditions Indices for the Major OECD Countries |
| title_exact_search | The Estimation of Financial Conditions Indices for the Major OECD Countries |
| title_exact_search_txtP | The Estimation of Financial Conditions Indices for the Major OECD Countries |
| title_full | The Estimation of Financial Conditions Indices for the Major OECD Countries E. Philip Davis, Simon Kirby and James Warren = Estimation des indices des conditions financières pour les grands pays de l'OCDE / E. Philip Davis, Simon Kirby et James Warren |
| title_fullStr | The Estimation of Financial Conditions Indices for the Major OECD Countries E. Philip Davis, Simon Kirby and James Warren = Estimation des indices des conditions financières pour les grands pays de l'OCDE / E. Philip Davis, Simon Kirby et James Warren |
| title_full_unstemmed | The Estimation of Financial Conditions Indices for the Major OECD Countries E. Philip Davis, Simon Kirby and James Warren = Estimation des indices des conditions financières pour les grands pays de l'OCDE / E. Philip Davis, Simon Kirby et James Warren |
| title_short | The Estimation of Financial Conditions Indices for the Major OECD Countries |
| title_sort | the estimation of financial conditions indices for the major oecd countries |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/5jlnb5b1zw9x-en |
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