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|z 9781484330968
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|a Kongsamut, Piyabha.
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|a Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices :
|b The Case of France /
|c Piyabha Kongsamut, Christian Mumssen, Anne-Charlotte Paret, Thierry Tressel.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2017.
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|a 1 online resource (36 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Mumssen, Christian.
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|a Paret, Anne-Charlotte.
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|a Tressel, Thierry.
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|a IMF Working Papers; Working Paper ;
|v No. 2017/269
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2017/269/001.2017.issue-269-en.xml
|z IMF e-Library
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