The OFR Financial Stress Index
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. Anal...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-02-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/7/1/25 |
| _version_ | 1819229250093318144 |
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| author | Phillip J. Monin |
| author_facet | Phillip J. Monin |
| author_sort | Phillip J. Monin |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-23T11:10:11Z |
| format | Article |
| id | doaj.art-3e0767b9701d4867b33a5e9179da367e |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-23T11:10:11Z |
| publishDate | 2019-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-3e0767b9701d4867b33a5e9179da367e2022-12-21T17:49:22ZengMDPI AGRisks2227-90912019-02-01712510.3390/risks7010025risks7010025The OFR Financial Stress IndexPhillip J. Monin0Office of Financial Research, 717 14th St NW, Washington, DC 20005, USAWe 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.https://www.mdpi.com/2227-9091/7/1/25financial stress indexfinancial stabilityfinancial crises |
| spellingShingle | Phillip J. Monin The OFR Financial Stress Index Risks financial stress index financial stability financial crises |
| title | The OFR Financial Stress Index |
| title_full | The OFR Financial Stress Index |
| title_fullStr | The OFR Financial Stress Index |
| title_full_unstemmed | The OFR Financial Stress Index |
| title_short | The OFR Financial Stress Index |
| title_sort | ofr financial stress index |
| topic | financial stress index financial stability financial crises |
| url | https://www.mdpi.com/2227-9091/7/1/25 |
| work_keys_str_mv | AT phillipjmonin theofrfinancialstressindex AT phillipjmonin ofrfinancialstressindex |