New: Markets Added and Updates Will Be Daily
As of April 19, 2013, the CFSI now offers daily updates and has been expanded to include two new sectors: real estate markets and securitization markets. The weighting method has been updated to reflect these markets. The CFSI tracks stress in six types of markets: credit markets, equity markets, foreign exchange markets, funding 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).
Interpreting the CFSI
The CFSI provides a continuous measure of stress. To interpret the continuum, we first divide it into four levels, which we call grades. The four grades are
- Grade 1: Low stress period
- Grade 2: Normal stress period
- Grade 3: Moderate stress period
- Grade 4: Significant stress period
The CFSI can also provide information about which markets are contributing to increasing system stress by decomposing the CFSI into series for each of the component markets. Each market series can be further decomposed into the time series of the individual indicators that go into each market measure. Analysis of these subseries can provide further insight into the factors of stress.
