Financial conditions index : early and leading indicator for Colombia?

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, Esteban
dc.creatorMurcia, Andrés
dc.creatorZamudio-Gómez, Nancy Eugenia
dc.creator.firmaAndrés Murcia 
dc.date.accessioned2011-04-13T08:30:10Zeng
dc.date.available2015-12-06T08:30:10Zeng
dc.date.available2015-12-14T08:30:10Zeng
dc.date.available2017-10-24T08:30:10Zeng
dc.date.created2011-04-13eng
dc.date.issued2011-04-13eng
dc.description.abstractThis 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.eng
dc.format.extent35 páginas : gráficas, tablaseng
dc.format.mimetypePDFeng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/2098spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/2098eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/tef.55spa
dc.relation.ispartofDocumentos de Trabajoeng
dc.relation.ispartofseriesTemas de Estabilidad Financieraeng
dc.relation.isversionofTemas de Estabilidad Financiera ; No. 55eng
dc.relation.numbertef 55eng
dc.relation.repechttps://ideas.repec.org/p/bdr/temest/055.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.eng
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationBorio, C. and Lowe, P. (2003). Imbalances or”Bubbles?” Implications for Monetary andFinancial Stability. In C. Hunter, G. Kaufman and M. Pomerleano (Eds) (2003), Asset Price Bubbles: The Implications for Monetary, Regulatory and International Policies. Cambridge, MA: MIT Press, pp 247-270.eng
dc.source.bibliographicCitationCollyns, C. and Senhadjy, A. (2003). Lending Booms, Real Estate Prices and the Asian Crisis. In C. Hunter, G. Kaufman and M. Pomerleano (Eds) (2003), Asset Price Bubbles: The Implications for Monetary, Regulatory and International Policies. Cambridge, MA: MIT Press, pp 101-125.eng
dc.source.bibliographicCitationDenton, F. (1971). Adjustment of Monthly or Quarterly Series to Annual Total: An Approach based on Quadratic Minimization”. Journal of the American Statistical Association, Vol 66,pp 92-102.eng
dc.source.handleRepecRePEc:bdr:temest:055spa
dc.subjectÍndice de condiciones financieraseng
dc.subjectIndicadores de alerta tempranaeng
dc.subjectIndicadores principaleseng
dc.subjectSupervisión macroprudencialeng
dc.subjectAnálisis de componentes principaleseng
dc.subject.jelE32 - Business Fluctuations; Cycleseng
dc.subject.jelE44 - Financial Markets and the Macroeconomyeng
dc.subject.jelE47 - Money and Interest Rates: Forecasting and Simulation: Models and Applicationeng
dc.subject.jelE51 - Money Supply; Credit; Money Multiplierseng
dc.subject.jelspaE32 - Fluctuaciones económicas; Ciclosspa
dc.subject.jelspaE44 - Mercados financieros y macroeconomíaspa
dc.subject.jelspaE47 - Dinero y tipos de interés: Predicción y simulación; Modelos y aplicaciónspa
dc.subject.jelspaE51 - Oferta monetaria; Crédito; Multiplicadores monetariosspa
dc.subject.keywordFinancial conditions indexeng
dc.subject.keywordEarly-Warning Indicatorseng
dc.subject.keywordLeading indicatorseng
dc.subject.keywordMacroprudential supervisioneng
dc.subject.keywordPrincipal component analysiseng
dc.subject.lembIndicadores financieros -- Colombia -- 1991-2010spa
dc.subject.lembProducto interno bruto -- Colombia -- 1991-2010spa
dc.subject.lembEstabilidad financiera -- Colombia -- 1991-2010spa
dc.titleFinancial conditions index : early and leading indicator for Colombia?eng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajoeng

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