Financial Conditions Indexes for Asian Economies
Debuque-Gonzales, Margarita; Gochoco-Bautista, Maria Socorro | January 2013
Abstract
Financial conditions indexes (FCIs) are constructed for five Asian economies, namely, Hong Kong, China; Japan; the Republic of Korea; Malaysia; and Singapore, using a principal component analysis (PCA) methodology from Hatzius et al. (2010) and quarterly data. Various financial stress indicators are included, allowing the constructed Financial Condition Index to capture important episodes in each economy’s financial history. The predictive power of the constructed FCIs is higher than that of benchmark AR models and they generally outperform single financial indicators. A decomposition of the FCIs sheds light on particular sources of financial stress. A regional FCI based on the individual economy FCIs is also constructed
Citation
Debuque-Gonzales, Margarita; Gochoco-Bautista, Maria Socorro. 2013. Financial Conditions Indexes for Asian Economies. © Asian Development Bank. http://hdl.handle.net/11540/2083. License: CC BY 3.0 IGO.ISSN
1655-5252
Keywords
Alleviating Poverty
Anti-Poverty
Extreme Poverty
Fight Against Poverty
Global Poverty
Health Aspects Of Poverty
Indicators Of Poverty
Participatory Poverty Assessment
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Citable URI
http://hdl.handle.net/11540/2083Metadata
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