A Financial Conditions Index for Poland

December 19, 2013

Preview Citation

Format: Chicago

Giang Ho, and Yinqiu Lu. A Financial Conditions Index for Poland, (USA: International Monetary Fund, 2013) accessed November 12, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Bond yields, Econometric analysis, Financial conditions index, Financial institutions, Financial sector policy and analysis, Loans, Sovereign bonds, Vector autoregression, Yield curve

Keywords: Bond yields, Constructed FCI, Europe, Factor analysis, Factor FCI, FCI weight, Financial conditions index, Forecasting property, Global, Lending, Lending standard, Loans, Poland, Rate, Sovereign bonds, VAR FCI, Vector auto-regression, Vector autoregression, WIBOR, WP

Publication Details

Pages:

16
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2013/252
Stock No:

WPIEA2013252
ISBN:

9781475540642
ISSN:

1018-5941

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