Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/109457 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
ADB Economics Working Paper Series No. 333
Verlag: 
Asian Development Bank (ADB), Manila
Zusammenfassung: 
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.
Schlagwörter: 
financial conditions index
Asia
principal component analysis
JEL: 
E44
F37
G17
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Dokumentart: 
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