Financial Conditions Indexes for the United States and Euro Area
IMF Working Papers, April 1, 2011
Source details
- Canonical URL
- Financial Conditions Indexes for the United States and Euro Area
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Bibliographic details
- Authors: Troy D Matheson
- Published: April 1, 2011
- Series: IMF Working Papers
- Volume: 2011
- Issue: 093
- Pages: 10
- DOI: https://doi.org/10.5089/9781455253326.001
Main findings
- Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model.
- The financial conditions indexes are shown to be useful for forecasting economic activity.
- The financial conditions indexes have good revision properties.
Methodology and scope
- Modeling approach: dynamic factor model.
- Data scope: a wide range of financial indicators (specific indicators not listed on this page).
- Geographies covered: United States and euro area.
Subject areas and keywords
- Subject: Bank credit, Financial statistics, Sovereign bonds, Vector autoregression, Yield curve
- Keywords: Financial conditions index, govt bond, sc, WP
Content in this bundle
- Financial Conditions Indexes for the United States and Euro Area