The Financial Stress Index: Identification of Systemic Risk Conditions

Mikhail Oet, John M. Dooley and Stephen J. Ong
Additional contact information
John M. Dooley: Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
Stephen J. Ong: Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA

Risks, 2015, vol. 3, issue 3, 1-25

Abstract: 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.

Keywords: financial stress; systemic conditions; crisis identification; financial system stability; systemic risk; early warning system (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://www.mdpi.com/2227-9091/3/3/420/pdf (application/pdf)
https://www.mdpi.com/2227-9091/3/3/420/ (text/html)

Related works:
Working Paper: The financial stress index: identification of systemic risk conditions (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:3:y:2015:i:3:p:420-444:d:55870

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().