The OFR Financial Stress Index
The OFR Financial Stress Index
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OFR 财务压力指数
DOI：
10.2139/ssrn.3062143
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Phillip J. Monin
中科院分区：
文献类型：
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作者：
Phillip J. Monin
我们介绍了由金融研究办公室（OFR FSI）开发的金融压力指数，并详细介绍了其目的，构建，解释和在金融市场监测中的使用。该指数采用了一种新颖而灵活的方法，使用全球金融市场的每日数据。对2000-2018年的时间段进行了分析。使用逻辑回归框架和政府干预金融体系的日期作为压力事件的代理，我们发现，OFR FSI在识别系统性金融压力方面表现良好。此外，我们发现，OFR FSI导致芝加哥联邦储备银行全国活动指数在格兰杰因果关系分析，表明金融压力的增加有助于预测经济活动的减少。
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.