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英文文献：Forecasting Financial Stress Indices in Korea: A Factor Model Approach-预测韩国金融压力指数:一种因子模型方法
英文文献作者：Hyeongwoo Kim,Wen Shi,Hyun Hak Kim
英文文献摘要：
We propose factor-based out-of-sample forecast models for Korea's financial stress index and its 4 sub-indices that are developed by the Bank of Korea. We extract latent common factors by employing the method of the principal components for a panel of 198 monthly frequency macroeconomic data after differencing them. We augment an autoregressive-type model of the financial stress index with estimated common factors to formulate out-of-sample forecasts of the index. Our models overall outperform both the stationary and the nonstationary benchmark models in forecasting the financial stress indices for up to 12-month forecast horizons. The first common factor that represents not only financial market but also real activity variables seems to play a dominantly important role in predicting the vulnerability in the financial markets in Korea.
我们为韩国银行开发的韩国金融压力指数及其4个子指数提出了基于因子的样本外预测模型。采用主成分法对198个月频次的宏观经济数据进行差分后提取潜在公约数。我们增加了一个自回归型的金融压力指数模型与估计的共同因素，以制定该指数的样本外预测。我们的模型在预测12个月的金融压力指数方面，总体上胜过平稳和非平稳基准模型。第一个共同因素，不仅代表金融市场，但也真实的活动变量似乎在预测韩国金融市场的脆弱性发挥了主要的重要作用。
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