Open matdehaven opened 11 months ago
./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).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.
Added the Excess Bond Premium as well, since it came with the GZ spread data.
I cannot find the BIS financial cycle index data. I suspect it was never released since it was a working paper.
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.