Financial conditions index : early and leading indicator for Colombia?
Temas de Estabilidad Financiera ; No. 55
Fecha de publicación
2011-04-13Fecha última actualización
2011-04-13Idioma del documento
engMétricas alternativas
Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This paper is an attempt at constructing a simple and effective macroprudential tool for policymakers. By integrating the joint occurrences of the main financial markets in Colombia into a single Financial Conditions Index (FCI), we hope to synthesize the information embedded in them regarding possible future economic outcomes. To do this, we use monthly data on 21 variables for the period comprised between July, 1991 - June, 2010 and apply PCA on their correlation matrix. On the one hand, we evaluate the predictive capacity of the FCI in forecasting GDP growth at different time horizons and find that it performs better as a leading indicator of real activity than other individual financial variables and an autoregressive model of GDP growth. Additionally, we are interested in testing the FCI’s long-term capability to correctly anticipate periods of distress in the economy, and find that the index could be used as an effective early-warning indicator. Hence, our FCI seems to represent a useful instrument for both financial stability and macroprudential supervision purposes.
Códigos JEL
Palabras clave
Keywords
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/2098https://hdl.handle.net/20.500.12134/2098
https://doi.org/10.32468/tef.55
https://ideas.repec.org/p/bdr/temest/055.html
Colecciones
Seleccionar año de consulta:
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito