Using policy intervention to identify financial stress

Mark Carlson, Kurt Lewis () and William R. Nelson

No 2012-02, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper describes the construction of a financial stress index. This stress index differs from other indexes in that it incorporates the co-movement and volatility of financial series as well as the levels of the series. Our index also uses past experience more than others to guide the assessment about which characteristics of the data suggest financial stress exists. In addition to describing the construction of our financial stress index, we spend some time discussing issues relevant to the general construction of stress indexes.

Keywords: Financial markets; Financial institutions; Indexation (Economics) (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (22)

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Related works:
Journal Article: USING POLICY INTERVENTION TO IDENTIFY FINANCIAL STRESS (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2012-02

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