financial stress index

The Cleveland Financial Stress Index (CFSI) 
http://www.clevelandfed.org/research/data/financial_stress_index/cfsi.cfm
NFCI, KCFSI, STLFSI, CFSI

Components of the CFSI - Summary
Equity Markets
Funding Markets
Credit Markets
Foreign Exchange Markets
Real Estate Markets
Securitization Markets



St. Louis Fed Financial Stress Index (STLFSI) 
http://research.stlouisfed.org/fred2/graph/?g=kAV
NFCI, KCFSI, STLFSI

Chicago Fed National Financial Conditions Index (NFCI) 
http://chicagofed.org/webpages/research/data/index.cfm

http://chicagofed.org/webpages/research/data/nfci/background.cfm

Risk, Credit, Leverage

Kansas City Financial Stress Index (KCFSI)
http://www.kc.frb.org/research/indicatorsdata/kcfsi/
http://www.kc.frb.org/publicat/research/indicatorsdata/KCFSI/kcfsi.june.2013.pdf

Increased Uncertainty of the Fundamental values of Assets
Increased Uncertainty of the Investor Behavior
Increased Asymmetry of Information
Flight to Quality
Flight to Liquidity


Bloomberg Financial Conditions Index (BFCIUS)
http://www.bloomberg.com/quote/BFCIUS:IND



-------------
references

http://nimanthamanamperi.weebly.com/uploads/1/2/5/7/12572805/paper_2.pdf

http://chicagofed.org/digital_assets/publications/economic_perspectives/2011/1qtr2011_part2_brave_butters.pdf

http://www.kansascityfed.com/Publicat/EconRev/PDF/09q2hakkio_keeton.pdf

http://www.kansascityfed.org/Publicat/EconRev/PDF/10q2Davig_Hakkio.pdf

http://www.clevelandfed.org/research/workpaper/2012/wp1237.pdf






CITI Financial Conditions Index  (CITI_FCI)
Goldman Sachs Financial Conditions Index  (GS_FCI)
OECD Financial Conditions Index
The International Monetary Fund (IMF) Advanced Country Financial Stress Index (AE_FSI)

------------
variables


Total Repo Market volume
2-year Interest rate Swap/Treasury Yield Spread
1-month Nonfinancial commercial paper A2P2/AA credit spread
3-month TED Spread (LIBOR-Treasury)

Merrill Lynch High Yield/Moody's Baa corporate bond yield spread
Citigroup Global Markets ABS/5-year Treasury yield spread
CBOE S&P 500 Volatility Index (VIX)
Bond Market Association Municipal Swap/20-year Treasury yield spread
MIT Center for Real Estate Transactions-Based Commercial Property Price Index

30-year Jumbo/Conforming fixed rate mortgage spread
Conditions Credit Derivatives Research Counterparty Risk Index
Total Assets of Funding Corporations/Nominal GDP
Senior Loan Officer Opinion Survey: Tightening Standards on Small C&I Loans
Commercial Bank C&I Loans/Total Assets



TED Spread
2 Year SWAP Spread
Off the run/on the run 10 year treasury spread
Aaa / 10 Year Treasury Spread
Baa/Aaa Spread
High yield Bond / Baa Spread
Consumer ABS/5-year Treasury Spread
Correlation between returns on stocks and Treasury Bonds:
Implied Volatility of overall stock prices (VIX)
Idiosyncratic volatility of bank stock prices
Cross section dispersion of bank stock returns


Market Segment Variables
Interest Rates
   The effective federal funds rate
   Two year treasury interest rate
   Ten  year treasury interest rate
   Thirty year treasury interest rate
   Baa rated corporate interest rate
   Merrill Lynch High Yield corporate master II Index
   Merrill Lynch Asset Backed Master BBB-rated interest rate category
Yield Spreads
   The Yield curve ( 10 Year treasury minus 3 months treasury)
   Merrill Lynch High Yield Corporate Master II Index minus 10 year treasury
   Corporate Baa rated bond minus 10 year treasury
   3 Month treasury Eurodollar (TED) Spread
   3 Months commercial paper minus 3 months Treasury Bill
   3 Months London Interbank Offering Rate-Overnight Index Swap Spread
Exchange & Inflationary Pressures
   J.P. Morgan Emerging Markets Bond Index
   Chicago Board Operations Exchange Market Volatility Index (VIX)
   Merrill Lynch 1 Month Bond Market Volatility Index
   10 Year nominal treasury yield minus 10 year Treasury security yield
   Vanguard Financials exchange traded Fund
   Table 4: The Variable Composition of STLFSI


         Table 5: The Variable Composition of CFSI
Market  Variables
Interbank Market
   Financial Beta
   Bank Bond Spread
   Interbank Liquidity Spread
   Interbank Cost of Borrowing
Stock Market
   Stock Market Crashes
Foreign Exchange Market
   Weighted Dollar Crashes
Credit Market
   Covered Interest Spread
   Corporate Bond Spread
   Liquidity Spread
   90 Day Commercial Paper Treasury Bill Spread
   Treasury Yield Curve



--------------
update

https://www.clevelandfed.org/en/our-research/indicators-and-data/cleveland-financial-stress-index/interactive-chart.aspx

https://www.clevelandfed.org/en/our-research/indicators-and-data/cleveland-financial-stress-index/components-of-the-cfsi.aspx#