Description
Fetch and plot financial stress index and component data.
Description
Forms queries to submit to the Cleveland Federal Reserve Bank web site's financial stress index data site. Provides query functions for both the composite stress index and the components data. By default the download includes daily time series data starting September 25, 1991. The functions return a class of either type easing or cfsi which contain a list of items related to the query and its graphical presentation. The list includes the time series data as an xts object. The package provides four lattice time series plots to render the time series data in a manner similar to the bank's own presentation.
README.md
Financial Stress Index Data
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.