Weights α estimated jointly with VAR coefficients. Norm constraint: Σ α²ᵢ = 1. MVC = Marginal Variance Contribution.
Variable
α (point est.)
Rel. weight
MVC
BibTeX
@techreport{bletzinger2026fci,
author = {Bletzinger, Tilman and Martorana, Giulia and Mistak, Jakub},
title = {Looser, tighter, clearer: a new Financial Conditions
Index for the euro area},
institution = {European Central Bank},
series = {Working Paper Series},
number = {3193},
year = {2026},
url = {https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp3193~9db57822d4.en.pdf}
}