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Revamping the Kansas City Financial Stress Index Using the Treasury Repo Rate

Author

Listed:
  • Thomas R. Cook
  • Taeyoung Doh

Abstract

The Kansas City Financial Stress Index (KCFSI) uses the London Interbank Offered Rate (LIBOR) to measure money market borrowing conditions. But regulatory changes in the United Kingdom will eliminate LIBOR by 2021. We construct a revised financial stress index with a variable that measures the cost of borrowing collateralized by Treasury securities (the Treasury repo rate) instead of LIBOR. {{p}} This revised measure of the KCFSI is highly correlated with the current KCFSI, suggesting the Treasury repo rate can replace LIBOR.

Suggested Citation

  • Thomas R. Cook & Taeyoung Doh, 2018. "Revamping the Kansas City Financial Stress Index Using the Treasury Repo Rate," Macro Bulletin, Federal Reserve Bank of Kansas City, issue October 2, pages 1-2, October.
    • Handle: RePEc:fip:fedkmb:00069
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    File URL: https://www.kansascityfed.org/documents/313/Revamping_the_Kansas_City_Financial_Stress_Index_Using_the_Treasury_Repo_Rate2332981E-.pdf
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    Cited by:

    1. Haddou, Samira, 2022. "International financial stress spillovers to bank lending: Do internal characteristics matter?," International Review of Financial Analysis, Elsevier, vol. 83(C).

    More about this item

    Keywords

    Treasury repo rate; Kansas City Financial Stress Index;

    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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