A Financial Conditions Index for Poland

Author/Editor:

Giang Ho ; Yinqiu Lu

Publication Date:

December 19, 2013

Electronic Access:

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Summary:

This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches—factor analysis and vector auto-regression approach. We evaluate the index’s forecasting performance against a composite leading indicator developed by the OECD. We found that the FCI is highly correlated with GDP growth, attesting to the importance of financial sector in Poland’s economy. In-sample and out-of-sample forecasting exercises indicate that the FCI can outperform the CLI in predicting near-term GDP growth.

Series:

Working Paper No. 2013/252

Subject:

Bond yields Econometric analysis Financial conditions index Financial institutions Financial sector policy and analysis Loans Sovereign bonds Vector autoregression Yield curve

English

Publication Date:

December 19, 2013

ISBN/ISSN:

9781475540642/1018-5941

Stock No:

WPIEA2013252

Pages:

16

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