Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257862 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 1 [Article No.:] 24 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-10
Publisher: 
MDPI, Basel
Abstract: 
We introduce a financial stress index that was developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. The index employs a novel and flexible methodology using daily data from global financial markets. Analysis for the 2000-2018 time period is presented. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we found that the OFR FSI performs well in identifying systemic financial stress. In addition, we find that the OFR FSI leads the Chicago Fed National Activity Index in a Granger causality analysis, suggesting that increases in financial stress help predict decreases in economic activity.
Subjects: 
risk management
construction projects
projects success
contractor&#x2019
s perspective
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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