Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for forecasting economic activity and have good revision properties

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for forecasting economic activity and have good revision properties

Aggregate financial conditions indices (FCIs) are constructed to fulfil two aims: (i) The FCIs should resemble non-model-based composite indices in that their composition is adequately invariant for concatenation during regular updates; (ii) the concatenated FCIs should outperform financial...