The OFR Financial Stress Index

Risks

卷:7

PhillipJ. Monin¹ 

[1] Office of Financial Research, 717 14th St NW, Washington, DC 20005, USA;

关键词: financial stress index;    financial stability;    financial crises;   

DOI  :  10.3390/risks7010025

来源: DOAJ

【 摘 要 】

We introduce a financial stress index that was developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. The index employs a novel and flexible methodology using daily data from global financial markets. Analysis for the 2000⁻2018 time period is presented. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we found that the OFR FSI performs well in identifying systemic financial stress. In addition, we find that the OFR FSI leads the Chicago Fed National Activity Index in a Granger causality analysis, suggesting that increases in financial stress help predict decreases in economic activity.

【 授权许可】

Unknown