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 standardized. 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.

Check out the non-technical summary of the paper on SUERF.