Financial Conditions Indexes: A Fresh Look after the Financial Crisis
By J. Hatzius, P. Hooper, Frederic S. Mishkin, Kermit L. Schoenholtz, Mark W. Watson. 2010
389 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/aaa0d8bb6762bd54261eab868bb67ad3438413b8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Dimitris Korobilis
- Gary Koop
- Tuomas A. Peltonen
- Benjamin Klaus
- Thibaut Duprey
- Craig S. Hakkio
- Dániel Holló
- Dieter Gramlich
In Finance
- Tuomas A. Peltonen
- Benjamin Klaus
- Thibaut Duprey
- Dimitris Korobilis
- Craig S. Hakkio
- Dániel Holló
- Dieter Gramlich
- Mikhail V. Oet
Citations in the corpus
- A new index of financial conditions (2014, positive): “…factor methods based on: i) a single FAVAR using all of the financial variables so that the factor has a similar interpretation to that used by other researchers such as Hatzius et al (2010); ii) a single TVP-FAVAR version of i); and iii) dynamic model averaging of the FA-TVP-VARs using α = 0.95.”
- The Financial Cycle and Macroeconomics: What Have We Learnt? (2014, neutral): “17 Building on the work of Wicksell (1898), such distortions played a key role in the work of economists such as von Mises (1912) and Hayek (1933). 18 Some analyses do consider contracts set in nominal terms (eg, Diamond and Rajan (2006)).”
- Comparing the forecasting ability of financial conditions indices: The case of South Africa (2018, neutral): “In this regard, the reader is referred to Koop and Korobilis (2014), Alessandri and Mumtaz (2014) and Thompson, Van Eyden and Gupta”
- CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, positive): “…paper therefore also relates to the general literature examining empirically the real impacts of financial stress (e.g., Hakkio and Keeton 2009, Cardarelli, Elekdag and Lall (2011), Hatzius et al. 2010, Li and St-Amant 2010, Mallick and Sousa 2011, Carlson, King and Lewis 2011, and van Roye 2011).”
- Financial Stress and Economic Dynamics: The Transmission of Crises (2015, neutral): “(2009) and Hatzius et al. (2010). 14 The on-the-run premium is the di¤erence in yield between just-issued Treasury bonds and the identical bond from the previous auction, corrected for the di¤erence in term to maturity.”
- What Is the Effect of Financial Stress on Economic Activity (2010, background): “Of course, there exists a large literature that broadly addresses the impact of financial conditions on economic activity – as just a few recent examples, see Guichard and Turner (2008), Gilchrist, Yankov and Zakrajsek (2009), and Hatzius et al (2010).”
- The Real Consequences of Financial Stress (2013, background): “See also Illing and Lui (2006) and Hatzius et al. (2010) GER ESP FRA Figure 4 plots the FSI and (scaled) IP series, starting December 1980, for the four large euro area countries Germany, Spain, France and Italy as well as Great Britain and the U.S.”
- The Financial Stress Index: Identification of Systemic Risk Conditions (2011, positive): “Finally, we ask three surveillance and policy questions: how can a CFSI measure be usefully 8 By contrast, Hatzius et al. (2010) and Brave and Butters (2011) seek to monitor and forecast economic activity and to develop financial…”
- Dating systemic financial stress episodes in the EU countries (2017, methodology): “Due to the parsimonious nature of our dataset, corrections like in Hatzius et al. (2010) using principal components techniques are not feasible.”