2011-04-132015-12-062015-12-142017-10-242011-04-132011-04-13https://repositorio.banrep.gov.co/handle/20.500.12134/2098This 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.35 páginas : gráficas, tablasPDFengOpen AccessÍndice de condiciones financierasIndicadores de alerta tempranaIndicadores principalesSupervisión macroprudencialAnálisis de componentes principalesWorking PaperE32 - Business Fluctuations; CyclesE44 - Financial Markets and the MacroeconomyE47 - Money and Interest Rates: Forecasting and Simulation: Models and ApplicationE51 - Money Supply; Credit; Money MultipliersFinancial conditions indexEarly-Warning IndicatorsLeading indicatorsMacroprudential supervisionPrincipal component analysisIndicadores financieros -- Colombia -- 1991-2010Producto interno bruto -- Colombia -- 1991-2010Estabilidad financiera -- Colombia -- 1991-2010Acceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0E32 - Fluctuaciones económicas; CiclosE44 - Mercados financieros y macroeconomíaE47 - Dinero y tipos de interés: Predicción y simulación; Modelos y aplicaciónE51 - Oferta monetaria; Crédito; Multiplicadores monetariosLas 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.https://hdl.handle.net/20.500.12134/2098