Gathering insights on the forest from the trees: A new metric for financial conditions

Arbeitspapier

By incorporating the Harvey accumulator into the large approximate dynamic factor framework of Doz et al. (2006), we are able to construct a coincident index of financial conditions from a large unbalanced panel of mixed frequency financial indicators. We relate our financial conditions index, or FCI, to the concept of a financial crisis using Markov-switching techniques. After demonstrating the ability of the index to capture crisis periods in U.S. financial history, we present several policy-geared threshold rules for the FCI using Receiver Operator Characteristics (ROC) curve analysis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2010-07

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Financial Forecasting and Simulation ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Thema: financial crisis ; financial conditions ; dynamic factor ; EM algorithm ; Harvey accumulator ; ROC curve ; Markov-switching

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Brave, Scott ; Butters, R. Andrew
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of Chicago
• (wo): Chicago, IL
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/70566
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ