Financial Stress Index Data

Update: this package is available on CRAN.

The R package stressr provides convenient access to the financial stress index and components data provided by the Federal Reserve Bank of Cleveland. The package provides data download functions and some representative plots along the same categories as provided by the bank. See the FRB's terms of use regarding these data.

As a simple example of gathering data and drawing simple plots consider the R code

require(stressr)
require(lattice)
idx <- getStressIndex()
stressIndexChart(idx,"2007/")

Several examples of plots are shown by category below. For details on each query and more example plots, please see the package vignette.

Index Report

Summary Report

Securitization Markets

Real Estate Markets

Funding Markets

Foreign Exchange Markets

Equitiy Markets

Credit Markets

Index Components

References

• See Cleveland FRB for more details.