We introduce a financial stress index developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. Using a logistic regression framework and dates of government intervention in the financial system as a...

This paper outlines a model of conceptual change in indexing languages. Findings from this modeling effort point to three ways meaning and relationships are established and then change in an indexing language. These ways: structural, terminological, and textual point to ways indexing language...

The literature abounds with arguments regarding the relevance of reliable measurement of home prices. The correct measurement of home price growth is very important due to decisions taken by various economic agents and the impact of these decisions on the current situation in the domestic...

We highlight differences in the way multiplicative DEA is being applied and draw attention to the fact that a units-invariant (i.e. scale-invariant) form is available. Moreover, this model avoids the ‘zero weight problem' in DEA (where criteria are effectively ignored)

Japanization is defined as a combinations of the following economic conditions: (1) the actual growth rate is lower than the potential growth rate for an extended period; (2) the natural real interest rate is below zero and also below the actual real interest rate; (3) the nominal (policy)...

This paper implements a liquidity measure, “Liquidity Mismatch Index (LMI),” to gauge the mismatch between the market liquidity of assets and the funding liquidity of liabilities. We construct the LMIs for 2882 bank holding companies during 2002-2014 and investigate the time-series and...

We develop an approach to measuring the cost of living for CES preferences that treats demand shocks as taste shocks that are equivalent to price shocks. In the presence of relative taste shocks, the Sato-Vartia price index is upward biased because an increase in the relative consumer taste for...

An aggregable family of multidimensional concentration indices is characterized, in order to be consistent with a property of exogenous risk factors, i.e. health risks for which agents are not responsible for. The family of concentration indices (or achievement indices by duality) lies in the...