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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 |
Tabla de Contenidos:
- 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.
- 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.