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Risks 2019, 7(1), 25;

The OFR Financial Stress Index

Office of Financial Research, 717 14th St NW, Washington, DC 20005, USA
Received: 28 January 2019 / Revised: 21 February 2019 / Accepted: 21 February 2019 / Published: 26 February 2019
(This article belongs to the Special Issue Financial Risks and Regulation)
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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. View Full-Text
Keywords: financial stress index; financial stability; financial crises financial stress index; financial stability; financial crises

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Monin, P.J. The OFR Financial Stress Index. Risks 2019, 7, 25.

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