Fed paper models financial stress index

federal reserve

A new US Federal Reserve paper by Mark Carlson, Kurt Lewis and William Nelson, published in January, explains the various steps required when constructing a financial stress index. A stress index differs from other indexes in that it incorporates the co-movement and volatility of financial series as well as the levels of the series.

The authors first distinguish between the role of a financial stress index and that of a financial conditions index. They also aim to identify the characteristics of

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