FRED Graph

Source: Federal Reserve Bank of Cleveland  

Release: Cleveland Financial Stress Index  

Units:  Z-score, Not Seasonally Adjusted

Frequency:  Daily, 7-Day

Notes:

In May of 2016, the source discovered errors in the calculation of the CFSI and began a detailed review of the index and its underlying model. Following that review, the source decided to discontinue the CFSI. https://www.clevelandfed.org/en/our-research/indicators-and-data/cleveland-financial-stress-index.aspx

The source has posted to their website a message regarding this release: Cleveland Financial Stress Index under review and a revised index expected in the fourth quarter of 2016. A thorough review of the index is being conducted to both simplify the index and enhance its robustness, while also taking into consideration changes in financial markets and institutions. This review and the revisions to the CFSI are expected to be completed sometime during the fourth quarter of this year, and additional details will be made available at that time. Thank you for your patience while we improve the CFSI.

The CFSI is designed to track distress in the US financial system on a continuous basis giving the financial-system supervisors the ability to monitor stressful episodes as they are building in the economy. Such early detection is important because financial stress can quickly be amplified when stress is occurring in more than one market. The CFSI tracks stress in six types of markets: credit markets, equity markets, foreign exchange markets, funding markets (interbank markets), real estate markets, and securitization markets. The CFSI is a coincident indicator of systemic stress, where a high value of CFSI indicates high systemic financial stress. Units of CFSI are expressed as standardized differences from the mean (z-scores).

The CFSI data for weekends and holidays is extrapolated.

To interpret the stress continuum, CFSI is first divided it into four levels or grades. The grade thresholds are dynamic and move slowly over time. The four grades are:

Grade Description Range
Grade 1 Low stress period CFSI < -0.733
Grade 2 Normal stress period -0.733 ≥ CFSI < 0.544
Grade 3 Moderate stress period 0.544 ≥ CFSI < 1.82
Grade 4 Significant stress period CFSI ≥ 1.82

Source: S&P Dow Jones Indices LLC  

Release: Standard & Poors  

Units:  Index, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

The observations for the S&P 500 represent the daily index value at market close. The market typically closes at 4 PM ET, except for holidays when it sometimes closes early.

The Federal Reserve Bank of St. Louis and S&P Dow Jones Indices LLC have reached a new agreement on the use of Standard & Poors and Dow Jones Averages series in FRED. FRED and its associated services will include 10 years of daily history for Standard & Poors and Dow Jones Averages series.

The S&P 500 is regarded as a gauge of the large cap U.S. equities market. The index includes 500 leading companies in leading industries of the U.S. economy, which are publicly held on either the NYSE or NASDAQ, and covers 75% of U.S. equities. Since this is a price index and not a total return index, the S&P 500 index here does not contain dividends.

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