02245cas a2200265 a 4500 AALejournalIMF012058 230101c9999 xx r poo 0 0eng d 5.00 USD 9781475505450 1018-5941 BD-DhAAL BD-DhAAL Gumata, Nombulelo. A Financial Conditions Index for South Africa / Nombulelo Gumata, Eliphas Ndou, Nir Klein. Washington, D.C. : International Monetary Fund, 2012. 1 online resource (20 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and domestic financial indicators. The alternative estimated FCIs, which share a similar trajectory over time, seem to have a powerful predictive information for the near-term GDP growth (up to four quarters), and they outperform the South African Reserve Bank's (SARB) leading indicator as well as individual financial variables. Their recent dynamics suggest that following a strong recovery in late-2009 and 2010, reflecting in part domestic factors such as systematic reductions in the policy rate, the rebound in real economic activity, and a benign inflationary environment, the financial conditions have deteriorated in recent months, though not as sharply as in end-2008. Given their relatively high predictive power regarding GDP growth, a further deterioration may imply that economic activity is likely to slow in the period ahead. Mode of access: Internet Klein, Nir. Ndou, Eliphas. IMF Working Papers; Working Paper ; No. 2012/196 Full text available on IMF http://elibrary.imf.org/view/journals/001/2012/196/001.2012.issue-196-en.xml IMF e-Library