The OFR Financial Stress Index
Office of Financial Research, 717 14th St NW, Washington, DC 20005, USA
Risks 2019, 7(1), 25; https://doi.org/10.3390/risks7010025
Submission received: 28 January 2019
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Revised: 21 February 2019
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Accepted: 21 February 2019
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Published: 26 February 2019
(This article belongs to the Special Issue Financial Risks and Regulation)
Abstract
We introduce a financial stress index that was developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. The index employs a novel and flexible methodology using daily data from global financial markets. Analysis for the 2000–2018 time period is presented. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we found that the OFR FSI performs well in identifying systemic financial stress. In addition, we find that the OFR FSI leads the Chicago Fed National Activity Index in a Granger causality analysis, suggesting that increases in financial stress help predict decreases in economic activity.
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MDPI and ACS Style
Monin, P.J. The OFR Financial Stress Index. Risks 2019, 7, 25. https://doi.org/10.3390/risks7010025
AMA Style
Monin PJ. The OFR Financial Stress Index. Risks. 2019; 7(1):25. https://doi.org/10.3390/risks7010025
Chicago/Turabian StyleMonin, Phillip J. 2019. "The OFR Financial Stress Index" Risks 7, no. 1: 25. https://doi.org/10.3390/risks7010025
APA StyleMonin, P. J. (2019). The OFR Financial Stress Index. Risks, 7(1), 25. https://doi.org/10.3390/risks7010025
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