FCI DATA
NEW We have updated the database to February 2024!
The database contains the three sets of Financial Conditions Indices (FCIs) constructed in Arrigoni, Bobasu, Venditti (2022):
EW-FCI: Equal Weights FCI (ew_fci in the database)
PCA-FCI: Principal Component Analysis FCI (pca_fci in the database)
TVP-FCI: Time-Varying Parameters FCI (tvp_fci in the database)
Indices are standardised. For each index type, aggregate measures are also available: global, advanced economies, emerging markets, euro area. Aggregate indices are weighted averages of country level FCIs with GDP PPP shares as weights. The excel file contains a more detailed description of all the variables.
Time: January 1995 - February 2024
Countries: Australia, Brazil, Canada, China, France, Germany, India, Italy, Japan, Mexico, New Zealand, Norway, Russia, South Korea, Sweden, Turkey, United Kingdom, United States.
Wish to know more but you don't have enough time to read the paper? Check out the non-technical summary of the paper on SUERF.
DATA
You can download the latest version of the dataset here below:
Alternatives if the access via Google Drive does not work: Github, Dropbox, or email me at arrigons@tcd.ie
CITATION
When using this data please cite as:
Arrigoni, Simone and Bobasu, Alina and Venditti, Fabrizio, 2022: “Measuring financial conditions using equal weights combination”, IMF Economic Review, 70: 668–697.
