Читать книгу The Foreign Exchange Matrix - Barbara Rockefeller - Страница 38

Global banking powerhouse Goldman Sachs has had its Financial Stress Index (GSFSI) in place since the collapse of Lehman Brothers in September 2008.

“Goldman’s FSI consists of four equally weighted variables: the spread between the London interbank offered rate (LIBOR) and the overnight index swap (that is, the spread between the bank funding rate and the market’s perception of future official rates); the spread between the United States government’s repo rate (the discounted rate at which a central bank repurchases government securities from commercial banks to manage the level of money supply) and the mortgage repo rate; the amount of commercial paper issuance; and the ratio of money market funds to the value of equity market capitalisation in the US, a measure of risk aversion,” explains Jim O’Neill, former head of global economic research at Goldman Sachs, now Chairman at Goldman Sachs Asset Management.