UID:
almafu_9958059015602883
Format:
1 online resource (21 p.)
ISBN:
1-4755-9631-6
,
1-4755-3071-4
Series Statement:
IMF Working Papers
Content:
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 financial variables. Their recent dynamics suggest that following a strong recovery in late-2009 and 2010, reflecting in part domestic factors such as systematic reductions in the policy rate, the rebound in real economic activity, and a benign inflationary environment, the financial conditions have deteriorated in recent months, though not as sharply as in end-2008. Given their relatively high predictive power regarding GDP growth, a further deterioration may imply that economic activity is likely to slow in the period ahead.
Note:
Description based upon print version of record.
,
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
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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
Additional Edition:
ISBN 1-4755-0545-0
Language:
English
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