Financial conditions indexes for the United States and euro area

Troy Matheson ()

Economics Letters, 2012, vol. 115, issue 3, 441-446

Abstract: Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for forecasting economic activity and have good revision properties. Variants of the indexes that allow for cross-economy effects reveal very strong financial linkages across the United States and euro area.

Keywords: Financial conditions; Short-term forecasting; Real-time data (search for similar items in EconPapers)
JEL-codes: E17 E44 E5 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (68)

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Working Paper: Financial Conditions Indexes for the United States and Euro Area (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:441-446

DOI: 10.1016/j.econlet.2011.12.119

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