Title A quantitative assessment of financial conditions in Asia / Carolina Osorio, Runchana Pongsaparn, D. Filiz Unsal

Published [Washington, D.C.] : International Monetary Fund, ©2011

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Description 1 online resource (22 pages) : illustrations Series IMF working paper, 2227-8885 ; WP/11/170 IMF working paper ; WP/11/170. Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Methodology; A. Weighted-Sum Approach; B. Principle Component Approach; C. Combined Index; 1. Selected Asia: Financial Condition Index (FCI) and GDP Growth; 2. FCIs and GDP Growth; 3. Relative Contribution of Financial Variables in FCI; 4 Contribution of Exchange Rate and Stock Prices to FCI and GDP Growth Volatility; III. Evaluating the Financial Condition Index; 1. In-Sample Predictive Tests; 2. Out-of-Sample Predictive Tests; 3. Correlation of Real GDP Outturns and Its Real-Time Forecasts: With and Without FCIs IV. Developments of Financial Conditions in Asia over the Course of the Global Crisis5. Average Reduction in GDP Growth Over the Next Four Quarters From Tightening Financial Conditions; V. Conclusions; Data Appendix; References; Footnotes Summary We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting GDP growth and may be thus used as a leading indicator. Based on the FCI, financial conditions in Asia tightened substantially earlier in the global crisis, reflecting losses in the stock markets and tighter credit conditions. In early 2010, financial conditions in Asia recovered rapidly and reached precrisis levels, thanks to accommodative monetary policies and a rapid rebound in regional equity markets Notes At head of title: Asia and Pacific Department Title from PDF title page (IMF Web site, viewed September 7, 2011) "July 2011." Bibliography Includes bibliographical references Subject Finance -- Asia -- Econometric models Financial services industry -- Asia -- Econometric models Economic development -- Asia -- Econometric models Economic development -- Econometric models Economic history Finance -- Econometric models Financial services industry -- Econometric models SUBJECT Asia -- Economic conditions -- Econometric models Subject Asia Form Electronic book Author Pongsaparn, Runchana, author. Unsal, D. Filiz, author. International Monetary Fund. Asia and Pacific Department, issuing body. ISBN 1283562731 9781283562737 1462380913 9781462380916 9781462380923 1462380921 ISSN 2227-8885

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