Add other financial variables to the dataset

VFCI / vfciBusinessCycles

Research project exploring the relationship between financial conditions and business cycles.

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Add other financial variables to the dataset #18

Open matdehaven opened 11 months ago

matdehaven commented 11 months ago

[x] credit to gdp
[x] GZ spread

matdehaven commented 11 months ago

[x] NFCI
[x] GSFCI

fernando-duarte commented 11 months ago

[x] Chicago Fed Adjusted National Financial Conditions Index (ANFCI)
[x] New BoG index (introduced here, but couldn't find official data page that would update over time)
[x] https://www.sydneyludvigson.com/macro-and-financial-uncertainty-indexes
[x] TED spread, constructed in ./code/clean-data-raw/vfci_data.R, found in variables$tedr. The series became discontinued in 2022 due to phasing out of LIBOR, so if we wanted to extend series, not sure what to do. Maybe use SOFR instead of LIBOR (but would have to splice the LIBOR and SOFR time series so that there is no jump when we start using SOFR, or something of that sort).

matdehaven commented 3 months ago

[ ] Index from the BIS for a financial cycle?
[ ] Component 1: Credit
[ ] Component 2: House Prices
[ ] Component 3: Stock prices

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3302305

BIS uses these three components to capture the "financial cycle" and we think they make an index for it.

matdehaven commented 1 month ago

Added the Excess Bond Premium as well, since it came with the GZ spread data.

matdehaven commented 1 month ago

I cannot find the BIS financial cycle index data. I suspect it was never released since it was a working paper.

matdehaven commented 1 month ago

For the GSFCI I am using the data available in the macro_dynamics repository. This isn't ideal, because we can't get new updates and it doesn't have documentation. I think the data is published through Bloomberg, which we will hopefully have access to soon.