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 …

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 …

This investigation seeks to construct financial conditions indices (FCIs) by the partial least
squares (PLS) method with the aims (i) that the FCIs should outperform interest rate, which is …

In this paper, we assess the merits of financial condition indices (FCIs) constructed using
equal weights averaging versus alternatives that use data reduction techniques, like …

Financial conditions indices (FCIs) have been developed to summarise financial conditions
and also supplement more traditional macroeconomic forecasting. They capture market …

Abstract Machine learning (ML) techniques are used to construct a financial conditions index
(FCI). The components of the ML-FCI are selected based on their ability to predict the …

Financial conditions indices (FCIs) aim to summarise the state of financial markets. In
principle they differ from the related monetary conditions indices by being composed of real …

Abstract We construct a Financial Conditions Index (FCI) for the United States using a
dataset that features many missing observations. The novel combination of probabilistic …

A financial conditions index (FCI) is designed to summarise the state of financial markets.
Two are constructed with UK data. The first is the first principal component of a set of …

Ways of extracting financial condition indices (FCI) are explored and alternative FCIs
external to the Chinese economy are constructed to model their predictive content. The …