Читать книгу The Foreign Exchange Matrix - Barbara Rockefeller - Страница 36

In March 2012, the Cleveland Federal Reserve announced the creation of its own monthly financial stress index, which looks at 11 variables that are slightly different to those measured by the other Fed indexes. The CFSI is constructed using daily data from components that reflect credit, equity, foreign exchange and interbank markets. The Cleveland Fed offers four grades of stress:

 Grade 1: below normal stress with the index in a range of less than or equal to -0.50

 Grade 2: normal stress with the index in a range of -0.50 to 0.59

 Grade 3: moderate stress with the index in a range of between 0.59; and 1.68

 Grade 4: significant stress, with the index above 1.68

In the fall of 1998, at the peak of the Long-Term Capital Management crisis, the CFSI “neared a value of 2.0,” a level that was not seen again until the start of the subprime mortgage crisis. The Cleveland Fed noted that the CFSI “climbed into the ‘significant stress period’ grade in late 2007 and remained there throughout the middle of 2009.”

While the CFSI has not moved back into this ‘significant stress period’, it rose throughout 2011 and remained in ‘moderate stress’ territory in early 2012 before falling into ‘normal stress’ mode later in the year.