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Contributions to the Cleveland Financial Stress Index: Treasury Yield Curve Spread (DISCONTINUED) (TYCSD678FRBCLE)


2016-05-05: 2.22  
Updated: May 6, 2016


Units of Stress,
Not Seasonally Adjusted


1Y | 5Y | 10Y | Max


Source: Federal Reserve Bank of Cleveland  

Release: Cleveland Financial Stress Index  

Units:  Units of Stress, Not Seasonally Adjusted

Frequency:  Daily


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.

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.

This chart shows the contribution of the Treasury yield curve spread to the CFSI. The spread is a useful predictor of recessions and real economic activity. It is calculated as the difference between the 3-Month and 10-Year US Treasury yields. The spread captures the combination of long-term uncertainty and short-term liquidity needed at the outset of- and during-recessionary times.

Suggested Citation:

Federal Reserve Bank of Cleveland, Contributions to the Cleveland Financial Stress Index: Treasury Yield Curve Spread (DISCONTINUED) [TYCSD678FRBCLE], retrieved from FRED, Federal Reserve Bank of St. Louis;, February 26, 2021.


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