A Financial Conditions Index for Poland / Giang Ho, Yinqiu Lu.

Format:

Book

Government document

Author/Creator:

Ho, Giang.

International Monetary Fund.

Contributor:

Lu, Yinqiu.

Series:

IMF Working Papers; Working Paper ; No. 2013/252

IMF working paper ; WP/13/252

IMF Working Papers

Language:

English

Subjects (All):

Finance, Public--Poland.

Finance, Public.

Physical Description:

1 online resource (17 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

Summary:

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.

Contents:

Cover; Contents; I. Introduction; II. Overview of Methodology; A. Vector Auto-Regression; B. Factor Analysis; III. A Financicial Conditions Index for Poland; A. Overview of the Constructed FCIs; B. VAR-Based FCI; Tables; I. Correlations Between Financial Variables and Real Activity, 2004Q1-2012Q4; Figure; I. Contributions to FCI, 2004Q1-2013Q1; C. Factor-Based FCI; IV. Forecast Evaluation; II. In-Sample Predictive Tests; V. Conclusion; III. Out-of-Sample Predictive Tests, Relative RMSE; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed February 5, 2014).

ISBN:

9781475540734

1475540736

9781484313947

1484313941

9781484314067

1484314069