A financial conditions index for South Africa /:
"The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and...
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| Main Authors: | , , |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Series: | IMF working paper ;
WP/12/196. |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | "The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and domestic financial indicators. The alternative estimated FCIs, which share a similar trajectory over time, seem to have a powerful predictive information for the near-term GDP growth (up to four quarters), and they outperform the South African Reserve Bank's (SARB) leading indicator as well as individual financial variables. Their recent dynamics suggest that following a strong recovery in late-2009 and 2010, reflecting in part domestic factors such as systematic reductions in the policy rate, the rebound in real economic activity, and a benign inflationary environment, the financial conditions have deteriorated in recent months, though not as sharply as in end-2008. Given their relatively high predictive power regarding GDP growth, a further deterioration may imply that economic activity is likely to slow in the period ahead"--Page [1]. |
| Item Description: | Title from PDF title page (IMF Web site, viewed Aug. 2, 2012). "African Department." "August 2012." |
| Physical Description: | 1 online resource (20 pages) : charts |
| Bibliography: | Includes bibliographical references (page 16). |
| ISBN: | 9781475555639 1475555636 |
Staff View
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| 245 | 1 | 2 | |a A financial conditions index for South Africa / |c prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
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| 500 | |a Title from PDF title page (IMF Web site, viewed Aug. 2, 2012). | ||
| 520 | |a "The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and domestic financial indicators. The alternative estimated FCIs, which share a similar trajectory over time, seem to have a powerful predictive information for the near-term GDP growth (up to four quarters), and they outperform the South African Reserve Bank's (SARB) leading indicator as well as individual financial variables. Their recent dynamics suggest that following a strong recovery in late-2009 and 2010, reflecting in part domestic factors such as systematic reductions in the policy rate, the rebound in real economic activity, and a benign inflationary environment, the financial conditions have deteriorated in recent months, though not as sharply as in end-2008. Given their relatively high predictive power regarding GDP growth, a further deterioration may imply that economic activity is likely to slow in the period ahead"--Page [1]. | ||
| 504 | |a Includes bibliographical references (page 16). | ||
| 500 | |a "African Department." | ||
| 500 | |a "August 2012." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; IV. The Estimated Financial Conditions Indices: A Comparison; V. Evaluation of the Financial Conditions Indices; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; VII. Conclusion; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4; 4. The Predictive Power of the Indices, 2008q1-2011q4. | |
| 505 | 8 | |a 5. Forecast Results under Three ScenariosFigures; 1. Factor Loadings; 2. The Estimated Financial Conditions Indices (FCIs); 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; 4. Demeaned GDP Growth and the Alternative FCIs; 5. Static Forecast, 2008q1-2011q4; 6. Dynamic Forecast, 2012q1-2012q4; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; 3A. Financial Conditions Indicators. | |
| 546 | |a English. | ||
| 650 | 0 | |a Finance |z South Africa. | |
| 650 | 6 | |a Finances |z Afrique du Sud. | |
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| author | Gumata, Nombulelo Klein, Nir Ndou, Eliphas |
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| author_corporate | International Monetary Fund. African Department |
| author_corporate_role | |
| author_facet | Gumata, Nombulelo Klein, Nir Ndou, Eliphas International Monetary Fund. African Department |
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| contents | Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; IV. The Estimated Financial Conditions Indices: A Comparison; V. Evaluation of the Financial Conditions Indices; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; VII. Conclusion; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4; 4. The Predictive Power of the Indices, 2008q1-2011q4. 5. Forecast Results under Three ScenariosFigures; 1. Factor Loadings; 2. The Estimated Financial Conditions Indices (FCIs); 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; 4. Demeaned GDP Growth and the Alternative FCIs; 5. Static Forecast, 2008q1-2011q4; 6. Dynamic Forecast, 2012q1-2012q4; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; 3A. Financial Conditions Indicators. |
| ctrlnum | (OCoLC)803633711 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| geographic_facet | South Africa |
| id | ZDB-4-EBA-ocn803633711 |
| illustrated | Illustrated |
| indexdate | 2025-04-11T08:40:57Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/no93028933 |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Gumata, Nombulelo, author. https://id.oclc.org/worldcat/entity/E39PCjxCrxqmCRCG8R6pXTycKb http://id.loc.gov/authorities/names/no2012104413 A financial conditions index for South Africa / prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (20 pages) : charts text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/12/196 Title from PDF title page (IMF Web site, viewed Aug. 2, 2012). "The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and domestic financial indicators. The alternative estimated FCIs, which share a similar trajectory over time, seem to have a powerful predictive information for the near-term GDP growth (up to four quarters), and they outperform the South African Reserve Bank's (SARB) leading indicator as well as individual financial variables. Their recent dynamics suggest that following a strong recovery in late-2009 and 2010, reflecting in part domestic factors such as systematic reductions in the policy rate, the rebound in real economic activity, and a benign inflationary environment, the financial conditions have deteriorated in recent months, though not as sharply as in end-2008. Given their relatively high predictive power regarding GDP growth, a further deterioration may imply that economic activity is likely to slow in the period ahead"--Page [1]. Includes bibliographical references (page 16). "African Department." "August 2012." Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; IV. The Estimated Financial Conditions Indices: A Comparison; V. Evaluation of the Financial Conditions Indices; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; VII. Conclusion; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4; 4. The Predictive Power of the Indices, 2008q1-2011q4. 5. Forecast Results under Three ScenariosFigures; 1. Factor Loadings; 2. The Estimated Financial Conditions Indices (FCIs); 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; 4. Demeaned GDP Growth and the Alternative FCIs; 5. Static Forecast, 2008q1-2011q4; 6. Dynamic Forecast, 2012q1-2012q4; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; 3A. Financial Conditions Indicators. English. Finance South Africa. Finances Afrique du Sud. BUSINESS & ECONOMICS Economics General. bisacsh Finance fast South Africa fast https://id.oclc.org/worldcat/entity/E39PBJcWtkkqd3cMmFw9GBdYT3 Klein, Nir, author. https://id.oclc.org/worldcat/entity/E39PCjGqXD6MYbPRfwRmktYPjP http://id.loc.gov/authorities/names/no2003122596 Ndou, Eliphas, author. https://id.oclc.org/worldcat/entity/E39PCjMpmfYPTfxccYvmWTr47b http://id.loc.gov/authorities/names/no2012104417 International Monetary Fund. African Department. https://id.oclc.org/worldcat/entity/E39QQPVp83pWRPfQqyCc8RVPGR http://id.loc.gov/authorities/names/no93028933 has work: A financial conditions index for South Africa (Text) https://id.oclc.org/worldcat/entity/E39PCH4YwcK4w3CqmYKTwG6X8d https://id.oclc.org/worldcat/ontology/hasWork IMF working paper ; WP/12/196. http://id.loc.gov/authorities/names/no89010263 |
| spellingShingle | Gumata, Nombulelo Klein, Nir Ndou, Eliphas A financial conditions index for South Africa / IMF working paper ; Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; IV. The Estimated Financial Conditions Indices: A Comparison; V. Evaluation of the Financial Conditions Indices; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; VII. Conclusion; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4; 4. The Predictive Power of the Indices, 2008q1-2011q4. 5. Forecast Results under Three ScenariosFigures; 1. Factor Loadings; 2. The Estimated Financial Conditions Indices (FCIs); 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; 4. Demeaned GDP Growth and the Alternative FCIs; 5. Static Forecast, 2008q1-2011q4; 6. Dynamic Forecast, 2012q1-2012q4; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; 3A. Financial Conditions Indicators. Finance South Africa. Finances Afrique du Sud. BUSINESS & ECONOMICS Economics General. bisacsh Finance fast |
| title | A financial conditions index for South Africa / |
| title_auth | A financial conditions index for South Africa / |
| title_exact_search | A financial conditions index for South Africa / |
| title_full | A financial conditions index for South Africa / prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. |
| title_fullStr | A financial conditions index for South Africa / prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. |
| title_full_unstemmed | A financial conditions index for South Africa / prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. |
| title_short | A financial conditions index for South Africa / |
| title_sort | financial conditions index for south africa |
| topic | Finance South Africa. Finances Afrique du Sud. BUSINESS & ECONOMICS Economics General. bisacsh Finance fast |
| topic_facet | Finance South Africa. Finances Afrique du Sud. BUSINESS & ECONOMICS Economics General. Finance South Africa |
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