NOTES
| Title | Release Dates | |
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|
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| Contributions to the Cleveland Financial Stress Index: Corporate Bond Spread | 2014-02-17 | 2016-05-05 |
| Contributions to the Cleveland Financial Stress Index: Corporate Bond Spread (DISCONTINUED) | 2016-05-06 | 2016-05-06 |
| Source | ||
|
|
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| Federal Reserve Bank of Cleveland | 2014-02-17 | 2016-05-06 |
| Release | ||
|
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||
| Cleveland Financial Stress Index | 2014-02-17 | 2016-05-06 |
| Units | ||
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| Units of Stress | 2014-02-17 | 2016-05-06 |
| Frequency | ||
|
|
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| Daily | 2014-02-17 | 2016-05-06 |
| Seasonal Adjustment | ||
|
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| Not Seasonally Adjusted | 2014-02-17 | 2016-05-06 |
| Notes | ||
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|
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 corporate bond spread to the CFSI. This spread measures the difference between the 10-Year Moody's Aaa-rated corporate bond yield and 10-Year US Treasury yield, which captures medium- to long-term corporate risk for all sectors. This is a useful stress indicator because when the likelihood of losses increases, firms have trouble financing debt and may be less able to obtain liquidity, which implies greater stress. |
2014-02-17 | 2016-05-05 |
|
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. This chart shows the contribution of the corporate bond spread to the CFSI. This spread measures the difference between the 10-Year Moody's Aaa-rated corporate bond yield and 10-Year US Treasury yield, which captures medium- to long-term corporate risk for all sectors. This is a useful stress indicator because when the likelihood of losses increases, firms have trouble financing debt and may be less able to obtain liquidity, which implies greater stress. |
2016-05-06 | 2016-05-06 |
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