The OFR Financial Stress Index

Phillip Monin ()
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Phillip Monin: Office of Financial Research

No 17-04, Working Papers from Office of Financial Research, US Department of the Treasury

Abstract: We introduce a financial stress index developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we find 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.

Keywords: Financial Stress Index (FSI); Office of Financial Research (OFR); Systemic Stress (search for similar items in EconPapers)
Pages: 55 pages
Date: 2017-10-25
New Economics Papers: this item is included in nep-cba
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:ofr:wpaper:17-04

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