Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154176
Authors: 
Wacker, Konstantin M.
Lodge, David
Nicoletti, Giulio
Year of Publication: 
2014
Series/Report no.: 
ECB Working Paper 1743
Abstract: 
In this paper, we develop financial conditions indices (FCIs) for 3 industrialized (US, Japan, UK) and 5 emerging (China, Brazil, Russia, India, Turkey) economies. The FCIs are formed as the principal component of a range of financial series for each country and are constructed to account for fluctuations in the business cycle. We show that these FCIs can help predict growth developments and thereby provide a potential leading indicator for the external environment of the Euro area. While we draw upon established methodological considerations in the literature, our main contribution lies in providing FCIs which are available for a broad set of countries, including many emerging economies, and whose movements can intuitively be interpreted. This latter fact allows us to track developments in the 8 investigated financial markets over the last decade.
Subjects: 
FCI
financial conditions index
forecasting
principal component analysis
JEL: 
C43
E37
E44
G1
ISBN: 
978-92-899-1151-1
Document Type: 
Working Paper

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