Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France
Author :
Publisher : International Monetary Fund
Total Pages : 36
Release :
ISBN-10 : 9781484331750
ISBN-13 : 1484331753
Rating : 4/5 (753 Downloads)

Book Synopsis Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France by : Ms.Piyabha Kongsamut

Download or read book Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France written by Ms.Piyabha Kongsamut and published by International Monetary Fund. This book was released on 2017-12-02 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively. We rely on a VAR approach to estimate the weights of the financial components of each FCI, including equity market returns (which turn out having a relatively strong weight across all FCIs), private sector risk premiums, long-term interest rates, and banks’ credit standards. We find that the tailored FCIs are useful as leading indicators of GDP, investment, and exports, and as a contemporaneous indicator of private consumption. Credit volumes turn out to be lagging indicators of growth. The indices inform us on macro-financial linkages in France and are used to improve the accuracy of quarterly forecasting models and high-frequency “nowcast” models. We show that FCI-augmented models could have significantly improved forecasts during and after the global financial crisis.

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France Related Books

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France
Language: en
Pages: 36
Authors: Ms.Piyabha Kongsamut
Categories: Business & Economics
Type: BOOK - Published: 2017-12-02 - Publisher: International Monetary Fund

GET EBOOK

How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this q
France
Language: en
Pages: 64
Authors: International Monetary Fund. European Dept.
Categories: Business & Economics
Type: BOOK - Published: 2017-09-21 - Publisher: International Monetary Fund

GET EBOOK

This 2017 Article IV Consultation highlights that the economic recovery is picking up in France, with real GDP growth projected to reach 1.6 percent in 2017 and
Mauritius
Language: en
Pages: 41
Authors: International Monetary Fund. African Dept.
Categories: Business & Economics
Type: BOOK - Published: 2019-04-29 - Publisher: International Monetary Fund

GET EBOOK

This Selected Issues paper develops a Financial Conditions Index (FCI) for Mauritius—an instrument to gauge the operational state of the financial sector and
Seychelles
Language: en
Pages: 34
Authors: International Monetary Fund. African Dept.
Categories: Business & Economics
Type: BOOK - Published: 2019-07-02 - Publisher: International Monetary Fund

GET EBOOK

Selected Issues
Growth at Risk: Concept and Application in IMF Country Surveillance
Language: en
Pages: 39
Authors: Mr.Ananthakrishnan Prasad
Categories: Business & Economics
Type: BOOK - Published: 2019-02-21 - Publisher: International Monetary Fund

GET EBOOK

The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its main strength is its ability to assess the