The OFR Financial Stress Index

41 Pages Posted: 1 Nov 2017

See all articles by Phillip Monin

Phillip Monin

Government of the United States of America, Department of the Treasury, Office of Financial Research

Date Written: October 25, 2017

Abstract

We introduce a financial stress index developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we find 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.

Keywords: financial stress, financial stress index, financial system stability, systemic risk

JEL Classification: G01, G10, C22, C52, E32, E44, E66

Suggested Citation

Monin, Phillip, The OFR Financial Stress Index (October 25, 2017). OFR 17-04. Available at SSRN: https://ssrn.com/abstract=3062143 or http://dx.doi.org/10.2139/ssrn.3062143

Phillip Monin (Contact Author)

Government of the United States of America, Department of the Treasury, Office of Financial Research ( email )

717 14th St NW
Washington, DC 20005
United States

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