Testing the out-of-sample forecasting ability of a financial conditions index for South Africa

dc.contributor.authorThompson, Kirsten L.
dc.contributor.authorVan Eyden, Renee
dc.contributor.authorGupta, Rangan
dc.date.accessioned2015-07-16T09:14:31Z
dc.date.available2015-07-16T09:14:31Z
dc.date.issued2015-06
dc.description.abstractThe importance of financial instability for the world economy has been severely demonstrated since the 2007–8 global financial crisis, highlighting the need for a better understanding of financial conditions. We consider a financial conditions index (FCI) for South Africa that is constructed from sixteen financial variables and test whether the FCI does better than its individual financial components in forecasting the key macroeconomic variables of output growth, inflation, and interest rates. Two sets of out-of-sample forecasts are obtained—one from a benchmark autoregressive (AR) model and one from a nested autoregressive distributed lag (ARDL) model that includes one financial variable at a time. This concept of forecast encompassing is used to examine the out-of-sample forecasting ability of these financial variables as well as of the FCI, while also controlling for data mining.en_ZA
dc.description.embargo2016-12-31en_ZA
dc.description.librarianhb2015en_ZA
dc.description.urihttp://www.tandfonline.com/loi/mree20en_ZA
dc.identifier.citationKirsten Thompson, Reneé van Eyden & Rangan Gupta (2015) Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa, Emerging Markets Finance and Trade, 51:3, 486-501, DOI: 10.1080/1540496X.2015.1025664en_ZA
dc.identifier.issn1540-496X (print)
dc.identifier.issn1558-0938 (online)
dc.identifier.other10.1080/1540496X.2015.1025664
dc.identifier.urihttp://hdl.handle.net/2263/49066
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© Taylor & Francis Group, LLC. This is an electronic version of an article published in Emerging Markets Finance & Trade,, vol. 51, no. 3, pp. 486-501, 2015. doi : 10.1080/1540496X.2015.1025664. Emerging Markets Finance & Trade,is available online at : http://www.tandfonline.com/loi/mree20en_ZA
dc.subjectData miningen_ZA
dc.subjectFinancial conditions indexen_ZA
dc.subjectForecast encompassingen_ZA
dc.titleTesting the out-of-sample forecasting ability of a financial conditions index for South Africaen_ZA
dc.typePostprint Articleen_ZA

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