Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/109457 
Year of Publication: 
2013
Series/Report no.: 
ADB Economics Working Paper Series No. 333
Publisher: 
Asian Development Bank (ADB), Manila
Abstract: 
Financial conditions indexes (FCIs) are constructed for five Asian economies, namely, Hong Kong, China; Japan; the Republic of Korea; Malaysia; and Singapore, using a principal component analysis (PCA) methodology from Hatzius et al. (2010) and quarterly data. Various financial stress indicators are included, allowing the constructed Financial Condition Index to capture important episodes in each economy's financial history. The predictive power of the constructed FCIs is higher than that of benchmark AR models and they generally outperform single financial indicators. A decomposition of the FCIs sheds light on particular sources of financial stress. A regional FCI based on the individual economy FCIs is also constructed.
Subjects: 
financial conditions index
Asia
principal component analysis
JEL: 
E44
F37
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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