A New Index of Financial Conditions

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Koop, Gary and Korobilis, Dimitris (2013) A New Index of Financial Conditions. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

We use factor augmented vector autoregressive models with time-varying coefficient to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial variables entering into the FCI to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of financial variables.

ORCID iDs

Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X and Korobilis, Dimitris;
  • Item type:Monograph(Discussion paper)
    ID code:68106
    Dates:
    Date
    Event
    12 March 2013
    Published
    Notes:Published as a paper within the Discussion Papers in Economics, No. 13-07 (2013)
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:29 May 2019 11:49
    Last modified:30 Nov 2024 13:55
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/68106
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