Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014

13 Pages Posted: 2 Jun 2014

See all articles by George Kapetanios

George Kapetanios

King's College, London

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Fotis Papailias

Quantf Research; University of London, King's College London, Department of Management

Date Written: June 1, 2014

Abstract

This paper investigates the performance of Financial Condition Indexes (FCIs) in forecasting four key macroeconomic variables of EU economies. A wide range of carefully selected financial indicators include Rates and Spreads, Stock Market Indicators and Macroeconomic Quantities. The results provide evidence that FCIs are particularly useful in forecasting GDP growth, Consumption growth, Industrial Production growth and the Unemployment Rate.

Keywords: Financial Conditions, Forecasting

Suggested Citation

Kapetanios, George and Marcellino, Massimiliano and Papailias, Fotis, Forecasting EU Economic Activity Using Financial Condition Indexes (June 1, 2014). quantf research Working Paper Series: WP06/2014, Available at SSRN: https://ssrn.com/abstract=2444416 or http://dx.doi.org/10.2139/ssrn.2444416

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Massimiliano Marcellino

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Fotis Papailias (Contact Author)

Quantf Research ( email )

London
United Kingdom

HOME PAGE: http://www.quantf.com

University of London, King's College London, Department of Management ( email )

150 Stamford Street
London, SE1 9NN
United Kingdom

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