Home > Releases > Cleveland Financial Stress Index > Cleveland Financial Stress Index
7Day  Updated: May 6, 2016
Observation:
20160505: 1.47 (+ more)Updated: May 6, 2016
20160505:  1.47  
20160504:  1.44  
20160503:  1.41  
20160502:  1.40  
20160501:  1.41 
Units:
Zscore,Not Seasonally Adjusted
Frequency:
Daily,7Day
The CFSI is designed to track distress in the US financial system on a continuous basis giving the financialsystem 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 (zscores).
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
Cleveland Financial Stress Index
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Use the assigned data series variables (a, b, c, etc.) together with operators (+, , *, /, ^, etc.), parentheses {(,)}, and constants (1, 1.5, 2, etc.) to create your own formula (e.g., 1/a, ab, (a+b)/2, (a/(a+b+c))*100). As noted above, you may add other data series to this line before entering a formula.
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The CFSI is designed to track distress in the US financial system on a continuous basis giving the financialsystem 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 (zscores).
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
Cleveland Financial Stress Index
Customize data:
Write a custom formula to transform one or more series or combine two or more series.
You can begin by adding a series to combine with your existing series.
Now create a custom formula to combine or transform the series.
Need help? []
For example, invert an exchange rate by using formula 1/a, where “a” refers to the first FRED data series added to this line. Or calculate the spread between 2 interest rates, a and b, by using the formula a  b.
Use the assigned data series variables (a, b, c, etc.) together with operators (+, , *, /, ^, etc.), parentheses {(,)}, and constants (1, 1.5, 2, etc.) to create your own formula (e.g., 1/a, ab, (a+b)/2, (a/(a+b+c))*100). As noted above, you may add other data series to this line before entering a formula.
Finally, you can change the units of your new series.
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Title  Release Dates  


Cleveland Financial Stress Index  20140217  20160506 
Source  


Federal Reserve Bank of Cleveland  20140217  20160506 
Release  


Cleveland Financial Stress Index  20140217  20160506 
Units  


Zscore  20140217  20160506 
Frequency  


Daily, 7Day  20140217  20160506 
Seasonal Adjustment  


Not Seasonally Adjusted  20140217  20160506 
Notes  


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 financialsystem 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 (zscores). 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 
20140217  20160506 
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