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Sevim Kösem on Muck Rack

Sevim Kösem

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Articles

Targeted financial conditions indices and growth-at-risk

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By Fernando Eguren-Martin, Andrej Sokol, Sevim Kösem, Guido Maia
| Bank of England
Staff Working Paper No. 1,084 By Fernando Eguren-Martin, Sevim Kösem, Guido Maia and Andrej Sokol We propose a novel approach to extract factors from large data sets that maximise covariation with the quantiles of a target distribution of interest. From the data underlying the Chicago Fed’s National Financial Conditions Index, we build targeted financial conditions indices for the quantiles of future US GDP growth.
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