Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France
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Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France
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Author : Ms.Piyabha Kongsamut
language : en
Publisher: International Monetary Fund
Release Date : 2017-12-01
Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France written by Ms.Piyabha Kongsamut and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-01 with Business & Economics categories.
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
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Author : Piyabha Kongsamut
language : en
Publisher:
Release Date : 2017
Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices written by Piyabha Kongsamut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
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 ould have significantly improved forecasts during and after the global financial crisis.
France
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Author : International Monetary Fund. European Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2017-09-21
France written by International Monetary Fund. European Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-21 with Business & Economics categories.
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 1.8 percent in 2018. Growth is primarily driven by buoyant corporate investment, a rebound in residential construction, and solid consumer demand. Net exports, by contrast, have been a drag on growth, and France’s external position is assessed to be weaker than implied by economic fundamentals. Private sector job creation has begun to accelerate moderately and the unemployment rate has begun to recede moderately from its 10 percent post-crisis mark. Medium-term prospects will critically depend on the implementation of the reform agenda.
Seychelles
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Author : International Monetary Fund. African Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-02
Seychelles written by International Monetary Fund. African Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-02 with Business & Economics categories.
Selected Issues
Mauritius
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Author : International Monetary Fund. African Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2019-04-29
Mauritius written by International Monetary Fund. African Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-29 with Business & Economics categories.
Selected Issue
Mauritius
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Author : International Monetary Fund. African Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2019-04-29
Mauritius written by International Monetary Fund. African Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-29 with Business & Economics categories.
This Selected Issues paper develops a Financial Conditions Index (FCI) for Mauritius—an instrument to gauge the operational state of the financial sector and predict real economy activity. The evolution of Mauritius’ financial services sector has been supported by a vibrant offshore corporate sector. Given the strong macro-financial linkages, it is imperative to closely monitor domestic financial developments. Financial developments are broader than monetary developments depicting money supply and interest rates. The FCI is a robust predictor of real GDP growth in Mauritius. The FCI can also help inform macroprudential policy decisions. Decisions on setting the countercyclical capital buffer of Basel III could be informed by analyzing developments in the FCI. As historically Mauritius has not experienced drastic swings in financial credit, testing the constructed FCIs for predicting boom-bust episodes is difficult. Nevertheless, the FCI signaled lax financial conditions in 2009 and again in 2012 that likely contributed to accelerated credit growth in 2012–2013 and a subsequent acceleration in nonperforming loans during 2014–2016.
Growth At Risk Concept And Application In Imf Country Surveillance
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Author : Mr.Ananthakrishnan Prasad
language : en
Publisher: International Monetary Fund
Release Date : 2019-02-21
Growth At Risk Concept And Application In Imf Country Surveillance written by Mr.Ananthakrishnan Prasad and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-21 with Business & Economics categories.
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 entire distribution of future GDP growth (in contrast to point forecasts), quantify macrofinancial risks in terms of growth, and monitor the evolution of risks to economic activity over time. By using GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive action. This paper offers practical guidance on how to conduct GaR analysis and draws lessons from country case studies. It also discusses an Excel-based GaR tool developed to support the IMF’s bilateral surveillance efforts.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-05 with Business & Economics categories.
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
A Small Quarterly Multi Country Projection Model With Financial Real Linkages And Oil Prices
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Author :
language : en
Publisher:
Release Date : 2008
A Small Quarterly Multi Country Projection Model With Financial Real Linkages And Oil Prices written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Economic forecasting categories.
This is the third of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small quarterly projection model of the US, Euro Area, and Japanese economies that incorporates oil prices and allows us to trace out the effects of shocks to oil prices. The model is estimated with Bayesian techniques. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.
Singapore
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-15
Singapore written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-15 with Business & Economics categories.
This Financial System Stability Assessment paper on Singapore highlights the attractiveness of Singapore as a financial center is underpinned by strong economic fundamentals, sound economic policies, and a sophisticated financial oversight framework. The financial system is exposed to global and regional macrofinancial shocks through significant trade and financial channels but appears resilient even under adverse scenarios. However, banks’ US dollar liquidity is vulnerable to stress conditions. Fintech developments so far have focused on partnerships with existing financial institutions and do not appear to contribute significantly to systemic risk. Singapore authorities should continue to enhance its strong oversight of the financial system. Strengthening the framework for resolution and safety nets, namely by devoting more resources to the Monetary Authority of Singapore (MAS)’ Resolution Unit; and enhancing the oversight of MAS Electronic Payments System by ensuring more staffing resources are two other important areas for action.