FSI2: Re-Createion of the St. Louis Federal Board of Governors...

In AndreMikulec/econModel: Meaningful Social and Economic Data from ALFRED and elsewhere

Description

Uses a precedure (e.g. Principal Components) to create the "stress index" Financial Stress Index Version 2

Usage

FSI2(x, TrainDates, ...)

Arguments

TrainDates	List of (or vector of) pairs of vectors of begin and end date-time ranges. Required (if not all of the ValidationData is to be used).
TrainData	xts object. Required.

Value

Index.

References

St. Louis Fed Financial Stress Index (STLFSI2) https://fred.stlouisfed.org/series/STLFSI2

author(s)?, Table 1: Data Used to Construct STLFSI https://fredblog.stlouisfed.org/wp-content/uploads/2020/03/FSI2.pdf

Kevin Kliesen and Michael McCracken, The St. Louis Fed’s Financial Stress Index, Version 2.0, March 26, 2020 https://fredblog.stlouisfed.org/2020/03/the-st-louis-feds-financial-stress-index-version-2-0/

List of Data Series Used to Construct the St. Louis Fed Financial Stress Index (STLFSI) https://www.stlouisfed.org/~/media/Files/PDFs/STLFSI-Key.pdf?la=en

list of the components that are used to construct the STLFSI https://www.stlouisfed.org/news-releases/st-louis-fed-financial-stress-index/stlfsi-key

St. Louis Fed Financial Stress Index (DISCONTINUED) (STLFSI) https://fred.stlouisfed.org/series/STLFSI

author(s)?, National Economic Trends, Appendix, January 2010 https://files.stlouisfed.org/files/htdocs/publications/net/NETJan2010Appendix.pdf

author(s)?, The LIBOR-OIS Spread as a Summary Indicator, MonetaryTrends, November 2008 https://files.stlouisfed.org/files/htdocs/publications/mt/20081101/cover.pdf

Kevin L. Kliesen and Douglas C. Smith, Measuring Financial Market Stress, Economic SYNOPSES, 2010 Number 2, Posted on January 15, 2010 https://files.stlouisfed.org/files/htdocs/publications/es/10/ES1002.pdf

AndreMikulec/econModel documentation built on June 30, 2021, 9:48 a.m.