Constructing a Financial Condition Index for a Small-Open Economy: The Case of Malta
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather D., 2014.
"Building a financial conditions index for the euro area and selected euro area countries: What does it tell us about the crisis?,"
Economic Modelling, Elsevier, vol. 38(C), pages 392-403.
- Eleni Angelopoulou & Hiona Balfoussia & Heather D. Gibson, 2012. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Papers 147, Bank of Greece.
- Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather, 2013. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Paper Series 1541, European Central Bank.
- Bank for International Settlements, 2005. "Investigating the relationship between the financial and real economy," BIS Papers, Bank for International Settlements, number 22, October –.
- Bokan, N. & Gerali, A. & Gomes, S. & Jacquinot, P. & Pisani, M., 2018.
"EAGLE-FLI: A macroeconomic model of banking and financial interdependence in the euro area,"
Economic Modelling, Elsevier, vol. 69(C), pages 249-280.
- Jacquinot, Pascal & Pisani, Massimiliano & Gomes, Sandra & Bokan, Nikola & Gerali, Andrea, 2016. "EAGLE-FLI. A macroeconomic model of banking and financial interdependence in the euro area," Working Paper Series 1923, European Central Bank.
- Sandra Gomes & Nikola Bokan & Andrea Gerali & Massimiliano Pisani & Pascal Jacquinot, 2016. "EAGLE-FLI: A macroeconomic model of banking and financial interdependence in the euro area," EcoMod2016 9431, EcoMod.
- Sandra Gomes & N. Bokan, 2016. "EAGLE-FLI - A macroeconomic model of banking and financial interdependence in the euro area," Working Papers w201610, Banco de Portugal, Economics and Research Department.
- Nikola Bokan & Andrea Gerali & Sandra Gomes & Pascal Jacquinot & Massimiliano Pisani, 2016. "EAGLE-FLI. A macroeconomic model of banking and financial interdependence in the euro area," Temi di discussione (Economic working papers) 1064, Bank of Italy, Economic Research and International Relations Area.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008. "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series 944, European Central Bank.
- Stéphanie Guichard & David Haugh & David Turner, 2009. "Quantifying the Effect of Financial Conditions in the Euro Area, Japan, United Kingdom and United States," OECD Economics Department Working Papers 677, OECD Publishing.
- repec:srs:journl:jasf:v:7:y:2016:i:1:p:5-13 is not listed on IDEAS
- Diego Nicolas Moccero & Matthieu Darracq Pariès & Laurent Maurin, 2014. "Financial Conditions Index and Identification of Credit Supply Shocks for the Euro Area," International Finance, Wiley Blackwell, vol. 17(3), pages 297-321, December.
- Miss Nombulelo Gumata & Mr Nir Klein & Mr Eliphas Ndou, 2012.
"A Financial Conditions Index for South Africa,"
Working Papers
5119, South African Reserve Bank.
- Mr. Nombulelo Gumata & Mr. Eliphas Ndou & Nir Klein, 2012. "A Financial Conditions Index for South Africa," IMF Working Papers 2012/196, International Monetary Fund.
- Mr. Andrew J Swiston, 2008. "A U.S. Financial Conditions Index: Putting Credit Where Credit is Due," IMF Working Papers 2008/161, International Monetary Fund.
- Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999.
"The financial accelerator in a quantitative business cycle framework,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393,
Elsevier.
- Bernanke, B. & Gertler, M. & Gilchrist, S., 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," Working Papers 98-03, C.V. Starr Center for Applied Economics, New York University.
- Ben Bernanke & Mark Gertler & Simon Gilchrist, 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," NBER Working Papers 6455, National Bureau of Economic Research, Inc.
- Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
- repec:ecb:ecbwps:20111426 is not listed on IDEAS
- Céline Gauthier & Christopher Graham & Ying Liu, 2004. "Financial Conditions Indexes for Canada," Staff Working Papers 04-22, Bank of Canada.
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010.
"Credit and Banking in a DSGE Model of the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 107-141, September.
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and Banking in a DSGE Model of the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 107-141, September.
- Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and banking in a DSGE model of the euro area," Temi di discussione (Economic working papers) 740, Bank of Italy, Economic Research and International Relations Area.
- Mayes, David G. & Viren , Matti, 2002.
"Financial Conditions Indexes,"
Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 55(4), pages 521-550.
- Mayes, David & Virén, Matti, 2001. "Financial conditions indexes," Bank of Finland Research Discussion Papers 17/2001, Bank of Finland.
- William English & Kostas Tsatsaronis & Edda Zoli, 2005. "Assessing the predictive power of measures of financial conditions for macroeconomic variables," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 228-52, Bank for International Settlements.
- Ms. Carolina Osorio-Buitron & Ms. Filiz D Unsal & Ms. Runchana Pongsaparn, 2011. "A Quantitative Assessment of Financial Conditions in Asia," IMF Working Papers 2011/170, International Monetary Fund.
- repec:zbw:bofrdp:2001_017 is not listed on IDEAS
- Brian MICALLEF & Noel RAPA & Tiziana GAUCI, 2016. "The Role of Asymmetries and Banking Sector Indicators in the Interest Rate Pass Through in Malta," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 7(1), pages 5-13.
- Charles Freedman, 1995. "The role of monetary conditions and the monetary conditions index in the conduct of policy [speech]," Bank of Canada Review, Bank of Canada, vol. 1995(Autumn), pages 53-59.
- Stéphanie Guichard & David Turner, 2008. "Quantifying the Effect of Financial Conditions on US Activity," OECD Economics Department Working Papers 635, OECD Publishing.
- Mr. Jonathan F Manning & Maral Shamloo, 2015. "A Financial Conditions Index for Greece," IMF Working Papers 2015/220, International Monetary Fund.
- Konstantinos Tsatsaronis, 2005. "Investigating the relationship between the financial and real economy," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 1-4, Bank for International Settlements.
- Jan Hatzius & Peter Hooper & Frederic S. Mishkin & Kermit L. Schoenholtz & Mark W. Watson, 2010. "Financial Conditions Indexes: A Fresh Look after the Financial Crisis," NBER Working Papers 16150, National Bureau of Economic Research, Inc.
- Nicoletti, Giulio & Wacker, Konstantin M. & Lodge, David, 2014. "Measuring financial conditions in major non-euro area economies," Working Paper Series 1743, European Central Bank.
- Owen Grech & Noel Rapa, 2016. "STREAM: A structural macro-econometric model of the Maltese economy," CBM Working Papers WP/01/2016, Central Bank of Malta.
- Darracq Pariès, Matthieu & Maurin, Laurent & Moccero, Diego, 2014. "Financial conditions index and credit supply shocks for the euro area," Working Paper Series 1644, European Central Bank.
- Goodhart, Charles, 2001. "What Weight Should Be Given to Asset Prices in the Measurement of Inflation?," Economic Journal, Royal Economic Society, vol. 111(472), pages 335-356, June.
- Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
- Brian Micallef, "undated". "Estimating a credit gap for non-financial corporations in Malta," CBM Working Papers WP/04/2015, Central Bank of Malta.
- Goodhart, Charles & Hofmann, Boris, 2000. "Financial Variables and the Conduct of Monetary Policy," Working Paper Series 112, Sveriges Riksbank (Central Bank of Sweden).
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- Timothy S. Fuerst & Charles T. Carlstrom, 1998. "Agency costs and business cycles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 12(3), pages 583-597.
- Giang Ho & Miss Yinqiu Lu, 2013. "A Financial Conditions Index for Poland," IMF Working Papers 2013/252, International Monetary Fund.
- Frank Smets & Raf Wouters, 2003.
"An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,"
Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
- Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research 35, National Bank of Belgium.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hakan Kara & Pinar Ozlu & Deren Unalmis, 2015.
"Turkiye icin Finansal Kosullar Endeksi,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 15(3), pages 41-73.
- Hakan Kara & Pinar Ozlu & Deren Unalmis, 2015. "Turkiye icin Finansal Kosullar Endeksi," Working Papers 1513, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Margarita Debuque-Gonzales & Maria Socorro Gochoco-Bautista, 2017. "Financial Conditions Indexes and Monetary Policy in Asia," Asian Economic Papers, MIT Press, vol. 16(2), pages 83-117, Summer.
- Wang, Bo & Li, Haoran, 2021. "Downside risk, financial conditions and systemic risk in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
- Arrigoni, Simone & Bobasu, Alina & Venditti, Fabrizio, 2020.
"The simpler the better: measuring financial conditions for monetary policy and financial stability,"
Working Paper Series
2451, European Central Bank.
- Arrigoni, Simone & Bobasu, Alina & Venditti, Fabrizio, 2021. "The simpler, the better: Measuring financial conditions for monetary policy and financial stability," EIB Working Papers 2021/10, European Investment Bank (EIB).
- Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
- Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.
- Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather D., 2014.
"Building a financial conditions index for the euro area and selected euro area countries: What does it tell us about the crisis?,"
Economic Modelling, Elsevier, vol. 38(C), pages 392-403.
- Eleni Angelopoulou & Hiona Balfoussia & Heather D. Gibson, 2012. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Papers 147, Bank of Greece.
- Angelopoulou, Eleni & Balfoussia, Hiona & Gibson, Heather, 2013. "Building a financial conditions index for the euro area and selected euro area countries: what does it tell us about the crisis?," Working Paper Series 1541, European Central Bank.
- Kapetanios, George & Price, Simon & Young, Garry, 2018.
"A UK financial conditions index using targeted data reduction: Forecasting and structural identification,"
Econometrics and Statistics, Elsevier, vol. 7(C), pages 1-17.
- Kapetanios, George & Price, Simon & Young, Garry, 2017. "A UK financial conditions index using targeted data reduction: forecasting and structural identification," Bank of England working papers 699, Bank of England.
- George Kapetanios & Simon Price & Garry Young, 2017. "A UK financial conditions index using targeted data reduction: forecasting and structural identification," CAMA Working Papers 2017-58, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kapetanios, G & Price, SG & Young, G, 2017. "A UK financial conditions index using targeted data reduction: forecasting and structural identification," Essex Finance Centre Working Papers 20328, University of Essex, Essex Business School.
- Umit Bulut, 2016. "Do Financial Conditions have a Predictive Power on Inflation in Turkey?," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 621-628.
- Manamani SAHOO, 2017. "Financial conditions index (FCI), inflation and growth: Some evidence," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(612), A), pages 147-172, Autumn.
- Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.
- Esteban Gómez & Andrés Murcia & Nancy Zamundio, 2011.
"Financial Conditions Index: Early and Leading Indicator for Colombia,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 174-220, December.
- Esteban Gómez & Andrés Murcia & Nancy Zamudio, 2011. "Financial Conditions Index: Early and Leading Indicator for Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(66), pages 174-220, December.
- Esteban Gómez & Andrés Murcia Pabón & Nancy Zamudio Gómez, 2011. "Financial Conditions Index: Early and Leading Indicator for Colombia?," Temas de Estabilidad Financiera 055, Banco de la Republica de Colombia.
- Mr. Nicolas Arregui & Mr. Selim A Elekdag & Mr. Gaston Gelos & Romain Lafarguette & Dulani Seneviratne, 2018. "Can Countries Manage Their Financial Conditions Amid Globalization?," IMF Working Papers 2018/015, International Monetary Fund.
- Zabavnik, Darja & Verbič, Miroslav, 2021. "Relationship between the financial and the real economy: A bibliometric analysis," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 55-75.
- repec:zbw:bofrdp:2016_016 is not listed on IDEAS
- Rémy Charleroy & Michael A. Stemmer, 2014.
"An Emerging Market Financial Conditions Index: A VAR Approach,"
Documents de travail du Centre d'Economie de la Sorbonne
14068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Post-Print halshs-01110688, HAL.
- Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01110688, HAL.
- Esteban Prieto & Sandra Eickmeier & Massimiliano Marcellino, 2016.
"Time Variation in Macro‐Financial Linkages,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1215-1233, November.
- Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
- Marcellino, Massimiliano & Eickmeier, Sandra & Prieto, Esteban, 2013. "Time Variation in Macro-Financial Linkages," CEPR Discussion Papers 9436, C.E.P.R. Discussion Papers.
- Akira Kohsaka & Jun-ichi Shinkai, 2014. "East Asian Financial Cycles: Asian vs. Global Financial Crises," OSIPP Discussion Paper 14E008, Osaka School of International Public Policy, Osaka University.
- Darracq Pariès, Matthieu & Jacquinot, Pascal & Papadopoulou, Niki, 2016. "Parsing financial fragmentation in the euro area: a multi-country DSGE perspective," Working Paper Series 1891, European Central Bank.
- Jeevan Kumar Khundrakpam & Rajesh Kavediya & Jessica M. Anthony, 2017. "Estimating Financial Conditions Index for India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 61-89, April.
- Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
More about this item
Keywords
financial conditions index; PCA; short-term forecastingJournal: Research in Applied Economics;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mth:raee88:v:10:y:2018:i:3:p:89-105. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Technical Support Office (email available below). General contact details of provider: http://www.macrothink.org/journal/index.php/rae .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.