Results 11 to 20 of about 563,232 (262)
The Financial Stress Index: Identification of Systemic Risk Conditions [PDF]
Risks, 2015 This paper develops a financial stress measure for the United States, the Cleveland Financial Stress Index (CFSI). The index is based on publicly available data describing a six-market partition of the financial system comprising credit, funding, real ...
Mikhail V. Oet +2 more
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A Tourism Financial Conditions Index for Tourism Finance [PDF]
Challenges, 2017 The paper uses monthly data on tourism related factors from April 2005–June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI)
Chia-Lin Chang +2 more
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The financial stability index – An insight into the financial and economic conditions of Romania
Theoretical and Applied Economics, 2017 The goal of this paper is to quantify the index of financial stability linking it with macroeconomic indicators for Romanian economy. The index is intended to analyze the relationships between the main indicators of the banking sector and the most ...
Claudiu Mihail MANOLESCU +1 more
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A new index of financial conditions [PDF]
European Economic Review, 2013 We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models׳ parameters allows for the weights attached to each financial variable in the index to
Koop, Gary, Korobilis, Dimitris
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Financial Conditions Indexes [PDF]
SSRN Electronic Journal, 2002 This paper provides an exposition of the nature, means of estimation and uses of Financial Conditions Indexes (FCIs) and their relationship to the more common Monetary Conditions Indexes (MCIs) that are used by market analysts, international organisations and central banks.
Mayes, David, Virén, Matti
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Financial fairness and conditional indexation [PDF]
Scandinavian Actuarial Journal, 2016 Collective pension contracts can generate advantages for their participants by implementing forms of risk sharing. To ensure the continuity of a collective scheme, it has to be monitored whether the contracts offered to participants are financially fair in terms of their market value.
Torsten Kleinow, Johannes M. Schumacher
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Assessing and Combining Financial Conditions Indexes [PDF]
Finance and Economics Discussion Series, 2013 We evaluate the short horizon predictive ability of financial conditions indexes for stock returns and macroeconomic variables. We find reliable predictability only when the sample includes the 2008 financial crisis, and we argue that this result is driven by tailoring the indexes to the crisis and by non-synchronous trading.
Sirio Aramonte +2 more
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Modeling the Dynamic Financial Condition Index (FCI) and Assessing Its Effectiveness in Predicting Iran’s Stock Returns [PDF]
Journal of Asset Management and Financing, 2022 This paper used a factor-augmented vector autoregressive model with time-varying coefficients to construct a financial conditions index. Time variation in the model’s parameters allowed the weights to be attached to each variable in the index to evolve ...
Seyed Aziz Arman +2 more
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Heliyon, 2023 As financial conditions become more complex and variable, capturing economic patterns becomes harder. The Financial Conditions Index (FCI) has gained traction as a tool to assess the performance of financial markets in nations or regions.
Jiahui Li, Hongming Li, Yuanying Jiang
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Stress Test the financial health of the Vietnam commercial bank during the Covid-19 pandemic
Ho Chi Minh City Open University Journal of Science - Economics and Business Administration, 2022 The Covid-19 pandemic has had an impact on many aspects of the economy, including commercial banking. The effect of the pandemic on the bank’s operation through three main channels, when the pandemic happens, many enterprises have to stop production and ...
Nguyen Quoc Anh, Tang My Sang
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