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Revamping the Kansas City Financial Stress Index Using the Treasury Repo Rate

Thomas Cook and Taeyoung Doh

Macro Bulletin, 2018, issue October 24, 2018, 1-2

Abstract: The Kansas City Financial Stress Index (KCFSI) uses the London Interbank Offered Rate (LIBOR) to measure money market borrowing conditions. But regulatory changes in the United Kingdom will eliminate LIBOR by 2021. We construct a revised financial stress index with a variable that measures the cost of borrowing collateralized by Treasury securities (the Treasury repo rate) instead of LIBOR. {{p}} This revised measure of the KCFSI is highly correlated with the current KCFSI, suggesting the Treasury repo rate can replace LIBOR.

Keywords: Treasury repo rate; Kansas City Financial Stress Index (search for similar items in EconPapers)
JEL-codes: E40 E43 (search for similar items in EconPapers)
Date: 2018
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