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financial conditions index

Estimating a time-varying financial conditions index for South Africa?

Alain Kabundi and Asi Mbelu
This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying factor loadings proposed by Koop and Korobilis (2014)...
Nov 2017
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