A Financial Conditions Index for Poland [electronic resource] / Giang Ho.
Material type:
TextSeries: IMF Working Papers; Working Paper ; No. 13/252Publication details: Washington, D.C. : International Monetary Fund, 2013Description: 1 online resource (16 p.)ISBN: 1475540647 :ISSN: 1018-5941Subject(s): Bond Yield | Bond | Factor Analysis | Financial Conditions Index | Financial Markets and the Macroeconomy | Forecasting and Simulation | PolandAdditional physical formats: Print Version:: A Financial Conditions Index for PolandOnline resources: IMF e-Library | IMF Book Store Abstract: This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches-factor analysis and vector auto-regression approach. We evaluate the index's forecasting performance against a composite leading indicator developed by the OECD. We found that the FCI is highly correlated with GDP growth, attesting to the importance of financial sector in Poland's economy. In-sample and out-of-sample forecasting exercises indicate that the FCI can outperform the CLI in predicting near-term GDP growth.
This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches-factor analysis and vector auto-regression approach. We evaluate the index's forecasting performance against a composite leading indicator developed by the OECD. We found that the FCI is highly correlated with GDP growth, attesting to the importance of financial sector in Poland's economy. In-sample and out-of-sample forecasting exercises indicate that the FCI can outperform the CLI in predicting near-term GDP growth.
Description based on print version record.
There are no comments on this title.