Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Cleveland
Working Papers (Old Series)
Financial stress index: a lens for supervising the financial system
Timothy Bianco
Dieter Gramlich
Mikhail V. Oet
Stephen J. Ong
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.


Download Full text
Cite this item
Timothy Bianco & Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, Financial stress index: a lens for supervising the financial system, Federal Reserve Bank of Cleveland, Working Papers (Old Series) 1237, 2012.
More from this series
JEL Classification:
Subject headings:
Keywords: Financial markets ; Time-series analysis ; Interest rates ; Business cycles ; Econometric models
For corrections, contact 4D Library ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal