Un Indicador de Condiciones Financieras para la República Dominicana

Jiménez Polanco, Miguel A. and Ramírez de León, Francisco A. (2016): Un Indicador de Condiciones Financieras para la República Dominicana. Published in: Documento de Trabajo Banco Central de la República Dominicana No. 2016-02 (1 December 2016)

Abstract

We estimate a Financial Conditions Index (FCI) for the Dominican Republic (DR) for the sample 2003 – January 2016 using the principal component analysis methodology and the Hatzius et al. (2010) approach. The estimated FCI captures the periods of financial stress of the Dominican economy in the analyzed sample, i.e. the banking crisis of 2003-2004 and the great financial crisis of 2007-2009. Additionally, to prove our FCI could be used as a tool of analysis and detections of financial conditions for policy makers, we make a special effort in discussing the indicator’s robustness.

• Item Type: MPRA Paper
• English Title: A Financial Condition Index for the Dominican Republic
• Language: Spanish
• Keywords: Financial Condition Indexes, Principal Components Analysis, Dominican Republic.
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E47 - Forecasting and Simulation: Models and Applications; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply ; Credit ; Money Multipliers; G - Financial Economics > G0 - General > G01 - Financial Crises; G - Financial Economics > G1 - General Financial Markets > G10 - General

References

Armendáriz, T., Ramírez, C. (2015). Estimación de un Índice de Condiciones Financieras para México, Banco de México, Documentos de Investigación No. 2015-17.

Duarte, A. y Guillen, O. (2015). A Financial Condition Index for the Brazilian Economy, (DRAFT), Central Bank of Brazil.

Hatzius, J., Hooper, P., Mishkin, F. S., Schoenholtz, K. L., Watson, M. (2010). Financial Conditions Indexes: A Fresh Look After the Financial Crisis, National Bureau of Economic Research, NBER Working Paper Series, working paper 16150.

Gómez, E., Murcia, A., Zamudio, N. (2011). Financial Condition Index: Early and Leading Indicator for Colombia? Reporte de Estabilidad Financiera, Banco de la República.

Mishkin, F. S., (1996) The Channels of Monetary Transmitions: Lessons for Monetary Policy, National Bureau of Economic Research, NBER Working Paper Series, Working Paper 5464.

Wacker K., Lodge, D., Nicoleti, G., (2014) Measuring Financial Conditions in Major Non-Euro Area Economies, European Central Bank, Working Paper Series No. 1743.