Financial Conditions Indexes for Asian Economies

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ADB Economics Working Paper Series ; No. 333

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; International Finance Forecasting and Simulation: Models and Applications ; Financial Forecasting and Simulation
• Subject: financial conditions index ; Asia ; principal component analysis ; Finanzsektor ; Wirtschaftsindikator ; Vergleich ; Hongkong ; China ; Japan ; Südkorea ; Malaysia

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Debuque-Gonzales , Margarita ; Gochoco-Bautista, Maria Socorro
• Event: Veröffentlichung
• (who): Asian Development Bank (ADB)
• (where): Manila
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/109457
• Last update: 10.03.2025, 11:42 AM CET