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A financial conditions index for South Africa /
"The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
Ã2012.
|
| Colección: | IMF working paper ;
WP/12/196. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 12/196eb | |
| 050 | 4 | |a HG187.5.S6 |b G86 2012eb online | |
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| 082 | 0 | 4 | |a 330.968 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Gumata, Nombulelo, |e author. | |
| 245 | 1 | 2 | |a A financial conditions index for South Africa / |c prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c Ã2012. | ||
| 300 | |a 1 online resource (20 pages) : |b charts | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/12/196 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed Aug. 2, 2012). | ||
| 520 | |a "The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and domestic financial indicators. The alternative estimated FCIs, which share a similar trajectory over time, seem to have a powerful predictive information for the near-term GDP growth (up to four quarters), and they outperform the South African Reserve Bank's (SARB) leading indicator as well as individual financial variables. Their recent dynamics suggest that following a strong recovery in late-2009 and 2010, reflecting in part domestic factors such as systematic reductions in the policy rate, the rebound in real economic activity, and a benign inflationary environment, the financial conditions have deteriorated in recent months, though not as sharply as in end-2008. Given their relatively high predictive power regarding GDP growth, a further deterioration may imply that economic activity is likely to slow in the period ahead"--Page [1]. | ||
| 504 | |a Includes bibliographical references (page 16). | ||
| 500 | |a "African Department." | ||
| 500 | |a "August 2012." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; IV. The Estimated Financial Conditions Indices: A Comparison; V. Evaluation of the Financial Conditions Indices; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; VII. Conclusion; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4; 4. The Predictive Power of the Indices, 2008q1-2011q4. | |
| 505 | 8 | |a 5. Forecast Results under Three ScenariosFigures; 1. Factor Loadings; 2. The Estimated Financial Conditions Indices (FCIs); 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; 4. Demeaned GDP Growth and the Alternative FCIs; 5. Static Forecast, 2008q1-2011q4; 6. Dynamic Forecast, 2012q1-2012q4; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; 3A. Financial Conditions Indicators. | |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Finance |z South Africa. | |
| 650 | 6 | |a Finances |z Afrique du Sud. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x General. |2 bisacsh | |
| 650 | 7 | |a Finance |2 fast | |
| 651 | 7 | |a South Africa |2 fast | |
| 700 | 1 | |a Klein, Nir, |e author. | |
| 700 | 1 | |a Ndou, Eliphas, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b African Department. | |
| 830 | 0 | |a IMF working paper ; |v WP/12/196. | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568119 |z Texto completo |
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