文章基本信息

标题：Assessing and Combining Financial Conditions Indexes
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作者：Sirio Aramonte ; Samuel Rosen ; John W. Schindler 等
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2017
出版社：IJCB Publications Fulfillment
摘要：We evaluate the short-horizon predictive ability of financial conditions indexes for stock returns and macroeconomic variables. We find reliable predictability only when the sample includes the 2008 financial crisis, and we argue that this result is driven by tailoring the indexes to the crisis and by nonsynchronous trading. In addition, we suggest a simple procedure for aggregating the various indexes into a single proxy for financial conditions, which can help to reduce the uncertainty faced by policymakers when monitoring financial conditions