The Estimation of Financial Conditions Indices for the Major OECD Countries: = Estimation des indices des conditions financières pour les grands pays de l'OCDE
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...
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| Main Author: | |
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| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Paris
OECD Publishing
2016
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| Series: | OECD Economics Department Working Papers
no.1335 |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | 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. |
| Physical Description: | 1 Online-Ressource (29 Seiten) 21 x 29.7cm. |
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| spelling | Davis, E. Philip VerfasserIn aut The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE E. Philip, Davis, Simon, Kirby and 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. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.1335 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 MitwirkendeR ctb Warren, James MitwirkendeR ctb |
| spellingShingle | Davis, E. Philip The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE Economics |
| title | The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE |
| 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 = Estimation des indices des conditions financières pour les grands pays de l'OCDE |
| title_exact_search | The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE |
| title_full | The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE E. Philip, Davis, Simon, Kirby and James, Warren |
| title_fullStr | The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE E. Philip, Davis, Simon, Kirby and James, Warren |
| title_full_unstemmed | The Estimation of Financial Conditions Indices for the Major OECD Countries = Estimation des indices des conditions financières pour les grands pays de l'OCDE E. Philip, Davis, Simon, Kirby and James, Warren |
| title_short | The Estimation of Financial Conditions Indices for the Major OECD Countries |
| title_sort | estimation of financial conditions indices for the major oecd countries estimation des indices des conditions financieres pour les grands pays de l ocde |
| title_sub | = Estimation des indices des conditions financières pour les grands pays de l'OCDE |
| topic | Economics |
| topic_facet | Economics |
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