Cleveland Financial Stress Index: A Tool for Monitoring Financial Stability

New: Component Level Data Now Available

Historical data for each of the 16 components of the CFSI are now available for download.  Both the CFSI and its component datasets are posted daily to this webpage at 3 pm ET.

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).

Chart.
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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 grade thresholds are dynamic and move slowly over time. The four grades are

Grade Description Range
Grade 1Low stress period CFSI < -0.733
Grade 2Normal stress period -0.733 ≥ CFSI < 0.544
Grade 3Moderate stress period 0.544 ≥ CFSI < 1.82
Grade 4Significant stress period CFSI ≥ 1.82

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.