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Federal Reserve Bank of Kansas City
Macro Bulletin
Revamping the Kansas City Financial Stress Index Using the Treasury Repo Rate
Thomas R. Cook
Taeyoung Doh
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.

This revised measure of the KCFSI is highly correlated with the current KCFSI, suggesting the Treasury repo rate can replace LIBOR.


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Thomas R. Cook & Taeyoung Doh, "Revamping the Kansas City Financial Stress Index Using the Treasury Repo Rate" , Federal Reserve Bank of Kansas City, Macro Bulletin, pages 1-2, number 00069, Oct 24 2018.
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Keywords: Kansas City Financial Stress Index; Treasury repo rate
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