The Financial Stress Index: Identification of Systemic Risk Conditions

Risks

Mikhail V. Oet⁴  John M. Dooley¹  Stephen J. Ong²  Andrea Consiglio³ 

[1] Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA; E-Mail:;Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA; E-Mail:;id="af1-risks-03-00420">1Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, U;Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA

关键词: financial stress;    systemic conditions;    crisis identification;    financial system stability;    systemic risk;    early warning system;   

DOI  :  10.3390/risks3030420

来源: mdpi

【 摘 要 】

This paper develops a financial stress measure for the United States, the Cleveland Financial Stress Index (CFSI). The index is based on publicly available data describing a six-market partition of the financial system comprising credit, funding, real estate, securitization, foreign exchange, and equity markets. This paper improves upon existing stress measures by objectively selecting between several index weighting methodologies across a variety of monitoring frequencies through comparison against a volatility-based benchmark series. The resulting measure facilitates the decomposition of stress to identify disruptions in specific markets and provides insight into historical stress regimes.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland.