Herculano, M. C. (2022) A monthly financial conditions index for New Zealand. Discussion Paper. Reserve Bank of New Zealand.
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Publisher's URL: https://www.rbnz.govt.nz/hub/-/media/project/sites/rbnz/files/publications/discussion-papers/2022/dp2022-01.pdf
Abstract
This paper develops a Financial Conditions Index for New Zealand (NZFCI) at the monthly frequency. The NZFCI summarises information from 73 relevant financial and macroeconomic variables. The index is constructed using a novel methodology that addresses the incompleteness of a high-frequency data-set; combining a mixed-frequency Bayesian dynamic factor model with probabilistic principal component techniques that resolve the challenges posed by missing data points.
| Item Type: | Research Reports or Papers (Discussion Paper) |
|---|---|
| Status: | Published |
| Glasgow Author(s) Enlighten ID: | Colburn Herculano, Mr Miguel |
| Authors: | Herculano, M. C. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Publisher: | Reserve Bank of New Zealand |
| Related URLs: |
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