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The Transition to Alternative Reference Rates in the OFR Financial Stress Index

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  • Jeremy Bejarano

Abstract

The OFR Financial Stress Index (OFR FSI or FSI) is a daily market-based snapshot of stress in global financial markets. Originally, the OFR FSI was constructed from 33 financial market variables that are correlated with some form of financial stress. Seven of these variables are based on LIBOR or other ceasing and/or already-ceased benchmark interest rates. As such, these seven variables are now obsolete. However, since its inception, the OFR FSI was intended to allow for the periodic replacement of obsolete variables as the need arises (Working Paper no. 23-07).

Suggested Citation

  • Jeremy Bejarano, 2023. "The Transition to Alternative Reference Rates in the OFR Financial Stress Index," Working Papers 23-07, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:wpaper:23-07
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    References listed on IDEAS

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    1. Jan Hatzius & Peter Hooper & Frederic S. Mishkin & Kermit L. Schoenholtz & Mark W. Watson, 2010. "Financial Conditions Indexes: A Fresh Look after the Financial Crisis," NBER Working Papers 16150, National Bureau of Economic Research, Inc.
    2. Marta Bańbura & Michele Modugno, 2014. "Maximum Likelihood Estimation Of Factor Models On Datasets With Arbitrary Pattern Of Missing Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 133-160, January.
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