Financial stress index: a lens for supervising the financial system

Timothy Bianco, Dieter Gramlich, Mikhail Oet and Stephen J. Ong

No 12-37, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: This paper develops a new financial stress measure (Cleveland Financial Stress Index, CFSI) that considers the supervisory objective of identifying risks to the stability of the financial system. The index provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The construction methodology uses daily public market data collected from different sectors of financial markets. A unique feature of the index is that it employs a dynamic weighting method that captures the changing relative importance of the different sectors of the financial system. This study shows how the index can be applied to monitoring and analyzing financial system conditions.

Keywords: Financial markets; time series analysis; Interest rates; Business cycles; Econometric models (search for similar items in EconPapers)
Date: 2012-12-26
New Economics Papers: this item is included in nep-ban, nep-cba and nep-fmk
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:1237

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DOI: 10.26509/frbc-wp-201237

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