Princeton University Library Catalog

The Estimation of Financial Conditions Indices for the Major OECD Countries [electronic resource] / E. Philip Davis, Simon Kirby and James Warren

Author:
Philip Davis, E.. [Browse]
Format:
Book
Language:
English
Published/​Created:
Paris : OECD Publishing, 2016.
Description:
1 online resource
Series:
  • OECD Economics Department Working Papers, no.1335. [More in this series]
  • OECD Economics Department Working Papers, 1815-1973 ; no.1335
Summary note:
Financial conditions indices (FCIs) have been developed to summarise financial conditions and also supplement more traditional macroeconomic forecasting. They capture market expectations but also quantitative and survey information. This paper seeks to provide up to date financial conditions indices for six countries, France, Germany, Italy, Japan, the United Kingdom and the United States, as well as the euro area, updating earlier results by the OECD. The addition of the period of the financial crisis period has made radical changes to the original results of the FCI estimation. Country-specific estimates provide a number of wrong signs and insignificant coefficients. We find in general that the panel (and NiGEM) based FCIs are more satisfactory. Furthermore, a promising avenue for further research is the dynamic factor/principal components approach.
Doi:
  • 10.1787/5jlnb5b1zw9x-en
Related name:
Other views:
Staff view