A Financial Conditions Index for Vietnam

Journal of Development and Integration, Vol. 21 No. 31 (2015)

Posted: 10 Mar 2021

See all articles by Dat Chi Le

Dat Chi Le

Univesity of Economics, Ho Chi Minh City - School of Finance

Nam Tran

University of Economics Ho Chi Minh City

Date Written: March 1, 2015

Abstract

This study aims to construct a financial conditions index (FCI) characterizing Vietnam’s financial environment, which captures channels of monetary policy transmission and real economic activity in Vietnam. The indicator is estimated via the factor analysis approach using four financial variables including growth of stock market, appreciation of the real effective exchange rate, spread of lending rates over policy rates, and growth of bank credit to private sector. In-sample and out-of-sample tests demonstrate the forecasting efficiency of the FCI for the real GDP growth in Vietnam.

Keywords: financial conditions index, factor analysis, economic growth

Suggested Citation

Le, Dat Chi and Tran, Nam, A Financial Conditions Index for Vietnam (March 1, 2015). Journal of Development and Integration, Vol. 21 No. 31 (2015), Available at SSRN: https://ssrn.com/abstract=3223550

Dat Chi Le

Univesity of Economics, Ho Chi Minh City - School of Finance ( email )

279 Nguyen Tri Phuong, District 10
Ho Chi Minh
Vietnam

Nam Tran (Contact Author)

University of Economics Ho Chi Minh City ( email )

279 Nguyen Tri Phuong Street, Ward 5, District 10
Ho Chi Minh City, 700000
Vietnam

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
180
PlumX Metrics