E-mail alert  |  Contact  
Search:       Go  
Background  |   Sponsoring institutions  |   Editorial board   |   Advisory board   |   Associate editors
Call for papers  |   Submission guidelines  |   Editorial process
Current issue  |   Past issues  |  
February 2017 issue
List of authors
 
Aramonte, Rosen, Schindler
Eijffinger, Mahieu, Raes
Bluedorn, Bowdler, Koch
Takahashi
Pekarski
Ehrmann, Pfaifar, Santoro
Karaca, Tugan
Boeckx, Dossche, Peersman
IJCB Home   Read the journal   Past issue
Past issues
2017
 
September
June
March
February
2016
 
December
September
June
March
2015
 
December
September
June
March
January
2014
 
December
September
June
March
2013
 
December
September
June
March
January
2012
 
December
September
June
March
January
2011
 
December
September
June
March
2010
 
December
September
June
March
2009
 
December
September
June
March
2008
 
December
September
June
March
2007
 
December
September
June
March
2006
 
December
September
June
March
2005
 
December
September
May

Assessing and Combining Financial Conditions Indexes

by Sirio Aramontea, Samuel Rosenb and John W. Schindlera

Abstract

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.

JEL Codes: E32, G01, G17.

 
Full article (PDF, 52 pages, 2189 kb)


a Federal Reserve Board
b University of North Carolina at Chapel Hill, Kenan-Flagler Business School