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Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France
Ms.Piyabha KongsamutMr.Christian MumssenAnne-Charlotte ParetMr.Thierry Tressel
出版International Monetary Fund, 2017-12-02
主題Business & Economics / Finance / GeneralBusiness & Economics / Money & Monetary PolicyBusiness & Economics / Economics / Macroeconomics
ISBN14843317539781484331750
URLhttp://books.google.com.hk/books?id=rDkYEAAAQBAJ&hl=&source=gbs_api
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註釋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.