Carlson, Mark A.; Lewis, Kurt F.; Nelson, William R. - Federal Reserve Board (Board of Governors of the … - 2012
This paper describes the construction of a financial stress index. This 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. Our index also … stress exists. In addition to describing the construction of our financial stress index, we spend some time discussing issues …