文章基本信息

标题：Composing a High-Frequency Financial Conditions Index and The Implications for Economic Activity
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作者：Abdullah Kazdal ; Halil İbrahim Korkmaz ; Muhammed Hasan Yilmaz 等
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2022
卷号：22
期号：4
页码：769-779
语种：English
出版社：Elsevier B.V.
摘要：In this study, we construct an index using high-frequency data related to financial markets and intermediation services in Turkey, called the High-Frequency Financial Conditions Index, employing alternative statistical techniques for the period from 2006 to 2020. We also analyze the informative nature of the indices constructed with respect to the course of economic activity. Additionally, we perform a detailed empirical analysis of the relationship between financial conditions and growth tendencies. The results of the time-series analysis show that the series constructed are quite informative for monitoring economic activity. In this context, probit model estimations indicate that the index constructed can be used as an early indicator to predict “loss of momentum” episodes in economic growth, taking the lead-lag relationship into consideration. When a similar methodology is applied to emerging market economies, indices exhibit a high level of comovements with growth indicators. Panel vector autoregression estimation shows that, after country-specific characteristics are controlled for, a shock to financial conditions facilitates a significant response in the growth rates of emerging market economies. In terms of policy making, the indices can contribute to a better understanding of the financial outlook and its interaction with economic activity.