A Financial Conditions Index for Poland

17 Pages Posted: 20 Jan 2014

See all articles by Giang Ho

Giang Ho

International Monetary Fund (IMF)

Yinqiu Lu

International Monetary Fund

Date Written: December 2013

Abstract

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.

Keywords: Financial sector, Poland, Economic conditions, Economic models, Financial conditions index, factor analysis, vector auto-regression, gdp growth, bond, bond yield, government bond yield, stock index, real gdp, growth rates, stock price, stock prices, stock price indices, business cycle, gdp deflator, financial market, stock market capitalization, bond yields, equity market, financial institutions, gdp growth rate, gdp growth rates

JEL Classification: E17, E44, E50

Suggested Citation

Ho, Giang and Lu, Yinqiu, A Financial Conditions Index for Poland (December 2013). IMF Working Paper No. 13/252, Available at SSRN: https://ssrn.com/abstract=2381850

Giang Ho (Contact Author)

International Monetary Fund (IMF)

700 19th Street, N.W.
Washington, DC 20431
United States

Yinqiu Lu

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
33
Abstract Views
469
PlumX Metrics