The Resource A financial conditions index for South Africa, Nombulelo Gumata, Nir Klein, and Eliphas Ndou, (electronic resource)

A financial conditions index for South Africa, Nombulelo Gumata, Nir Klein, and Eliphas Ndou, (electronic resource)

Label
A financial conditions index for South Africa
Title
A financial conditions index for South Africa
Statement of responsibility
Nombulelo Gumata, Nir Klein, and Eliphas Ndou
Creator
Contributor
Subject
Genre
Language
eng
Summary
The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and domestic financial indicators. The alternative estimated FCIs, which share a similar trajectory over time, seem to have a powerful predictive information for the near-term GDP growth (up to four quarters), and they outperform the South African Reserve Bank's (SARB) leading indicator as well as individual
Member of
Cataloging source
MiAaPQ
http://library.link/vocab/creatorName
Gumata, Nombulelo
Illustrations
illustrations
Index
no index present
LC call number
HC905
LC item number
.G86 2012
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Klein, Nir
  • Ndou, Eliphas
Series statement
IMF working paper
Series volume
12/196
http://library.link/vocab/subjectName
  • Economic indicators
  • Finance
Label
A financial conditions index for South Africa, Nombulelo Gumata, Nir Klein, and Eliphas Ndou, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Contents
  • Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; Figures; 1. Factor Loadings; IV. The Estimated Financial Conditions Indices: A Comparison; 2. The Estimated Financial Conditions Indices (FCIs); V. Evaluation of the Financial Conditions Indices; 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4
  • 4. The Predictive Power of the Indices, 2008q1-2011q44. Demeaned GDP Growth and the Alternative FCIs; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; 5. Static Forecast, 2008q1-2011q4; 5. Forecast Results under Three Scenarios; 6. Dynamic Forecast, 2012q1-2012q4; VII. Conclusion; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; 3A. Financial Conditions Indicators
Dimensions
unknown
Extent
1 online resource (21 p.)
Form of item
online
Isbn
9781475530711
Specific material designation
remote
System control number
  • (CKB)2670000000278810
  • (EBL)1606906
  • (MiAaPQ)EBC1606906
  • (EXLCZ)992670000000278810
Label
A financial conditions index for South Africa, Nombulelo Gumata, Nir Klein, and Eliphas Ndou, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Contents
  • Cover; Contents; I. Introduction; II. Principal Component Approach (PCA); III. Extracting the Common Factor by a Kalman Filter; Figures; 1. Factor Loadings; IV. The Estimated Financial Conditions Indices: A Comparison; 2. The Estimated Financial Conditions Indices (FCIs); V. Evaluation of the Financial Conditions Indices; 3. The Estimated Financial Conditions Indices (FCIs) Scaled by the Sample's Standard Deviations; Tables; 1. Granger Causality Tests of Alternative FCIs and GDP; 2. The Explanatory Power of the Indices; 3. Comparison of SSR for 1, 2, and 4 Quarters Ahead, 1999q1-2011q4
  • 4. The Predictive Power of the Indices, 2008q1-2011q44. Demeaned GDP Growth and the Alternative FCIs; VI. What Can the Financial Conditions Index Tell About the Near-Term GDP Growth?; 5. Static Forecast, 2008q1-2011q4; 5. Forecast Results under Three Scenarios; 6. Dynamic Forecast, 2012q1-2012q4; VII. Conclusion; Appendix Figures; 1A. Calculated Common Factors Under the Principal Component Approach; 2A. The Estimated Financial Conditions Indicies by PCA; Appendix Tables; 1A. Correlation Matrix; 2A. Descriptive Statistics; 3A. Financial Conditions Indicators
Dimensions
unknown
Extent
1 online resource (21 p.)
Form of item
online
Isbn
9781475530711
Specific material designation
remote
System control number
  • (CKB)2670000000278810
  • (EBL)1606906
  • (MiAaPQ)EBC1606906
  • (EXLCZ)992670000000278810

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