A financial conditions index for South Africa
Gumata, Nombulelo.
A financial conditions index for South Africa [electronic resource] / prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. - [Washington, D.C.] : International Monetary Fund, ©2012. - 1 online resource (20 pages) : charts. - IMF working paper ; WP/12/196 . - IMF working paper ; WP/12/196. .
Title from PDF title page (IMF Web site, viewed Aug. 2, 2012). "African Department." "August 2012."
Includes bibliographical references (page 16).
"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"--Page [1].
9781475555639 1475555636
Finance--South Africa.
Finance.
BUSINESS & ECONOMICS / Economics / General
South Africa.
Electronic books.
Statistics.
HG3881.5.I58 / W67 No. 12/196eb HG187.5.S6 / G86 2012eb online
330.968
A financial conditions index for South Africa [electronic resource] / prepared by Nombulelo Gumata, Nir Klein, and Eliphas Ndou. - [Washington, D.C.] : International Monetary Fund, ©2012. - 1 online resource (20 pages) : charts. - IMF working paper ; WP/12/196 . - IMF working paper ; WP/12/196. .
Title from PDF title page (IMF Web site, viewed Aug. 2, 2012). "African Department." "August 2012."
Includes bibliographical references (page 16).
"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"--Page [1].
9781475555639 1475555636
Finance--South Africa.
Finance.
BUSINESS & ECONOMICS / Economics / General
South Africa.
Electronic books.
Statistics.
HG3881.5.I58 / W67 No. 12/196eb HG187.5.S6 / G86 2012eb online
330.968