Financial Markets
Gilchrist and Zakrajšek (2012) Excess Bond Premium is an economic indicator that measures the difference between the actual yield on a corporate bond and the yield that would be expected based on the bond’s credit risk. Developed as a way to capture the risk sentiment in financial markets, EBP (latest updates) reflects the additional compensation investors demand for holding riskier assets beyond what credit risk alone would justify. High EBP levels indicate increased risk aversion or market stress, while low levels suggest a more stable financial environment. Policymakers and economists use EBP to monitor financial stability, track credit market conditions, and assess the effectiveness of monetary policy in influencing risk-taking behavior.
The Chicago Fed’s National Financial Conditions Index (NFCI) provides a comprehensive weekly update on U.S. financial conditions in money markets, debt and equity markets, and the traditional and “shadow” banking systems. Because U.S. economic and financial conditions tend to be highly correlated, we also present an alternative index, the adjusted NFCI (ANFCI). This index isolates a component of financial conditions uncorrelated with economic conditions to provide an update on financial conditions relative to current economic conditions.
OFR Financial Stress Index is a daily market-based snapshot of stress in global financial markets. It is constructed from 33 financial market variables, such as yield spreads, valuation measures, and interest rates. The OFR FSI is positive when stress levels are above average, and negative when stress levels are below average. The OFR FSI incorporates five categories of indicators: credit, equity valuation, funding, safe assets and volatility. The FSI shows stress contributions by three regions: United States, other advanced economies, and emerging markets.
Households and Demand Side
PENN STATE/ACY Alternative Inflation Index is constructed by replacing the rental price of both tenant- and owner-occupied housing with our new Marginal Rent Index (MRI) introduced by Ambrose, Coulson, and Yoshida (2022).
The University of Michigan Survey of Consumers reports Index of Consumer Sentiment and Expected Changes in Inflation Rates. The former is a consumer confidence index. The index is normalized to have a value of 100 in the first quarter of 1966. Each month at least 500 telephone interviews are conducted of a contiguous United States sample.
S&P CoreLogic Case-Shiller Home Price Indices are the leading measures of U.S. residential real estate prices, tracking changes in the value of residential real estate nationally. Data is available at FRED.
the Cass Freight Index® has been a trusted measure of the North American freight market. The monthly data and the Cass Transportation Index Report provide valuable insight into freight trends as they relate to other economic and supply chain indicators and the overall economy.
Firms and Supply Side
The Chicago Fed National Activity Index (CFNAI) is a monthly index designed to gauge overall economic activity and related inflationary pressure.
The Atlanta Fed GDPNow Forecasting provides a “nowcast” of the official estimate prior to its release by estimating GDP growth using a methodology similar to the one used by the U.S. Bureau of Economic Analysis. It applies standard dynamic factor models (DFMs) and several machine learning (ML) algorithms.
Nowcasting the Output Gap are calculated following the approach described in Berger, Morley, and Wong (2023, Journal of Econometrics) using a model that includes the U-2 unemployment rate instead of the unemployment rate, as in Berger, Boll, Morley, and Wong (2022, Oxford Open Economics).
The Kansas Fed Labor Market Conditions Indicators are two monthly measures of labor market conditions based on 24 labor market variables. One indicator measures the level of activity in labor markets and the other indicator measures momentum in labor markets.
The Employment Cost Index (ECI) is a measure of the change in the cost of labor, independent of the influence of employment shifts among occupations and industry categories. The total compensation series includes changes in wages and salaries and in employer costs for employee benefits. The ECI calculates indexes of total compensation, wages and salaries, and benefits separately for all civilian workers in the United States, for private industry workers, and for workers in state and local government.
Information authority and Expectations
Survey of Professional Forecasters is the oldest quarterly survey of macroeconomic forecasts in the United States. The survey began in 1968 and was conducted by the American Statistical Association and the National Bureau of Economic Research. The Federal Reserve Bank of Philadelphia took over the survey in 1990.
Philadelphia Fed’s Tealbook (formerly Greenbook) Data Set contains the projections from the Tealbooks (formerly Greenbooks) of the Federal Reserve Board of Governors. The Tealbook/Greenbook is produced before each meeting of the Federal Open Market Committee. Using an assumption about monetary policy, the Research staff at the Board of Governors prepares projections about how the economy will fare in the future. These projections are made available to the public after a lag of five years.
Government and Economic Policies
Divisia Monetary Aggregates Divisia monetary aggregates, developed by economist François Divisia in the 1920s and later refined by American economist William Barnett, are economic indicators that measure the money supply in an economy based on the weighted sum of various financial assets. By accounting for differences in liquidity and transactional ease, Divisia aggregates provide a more accurate representation of the monetary base than traditional simple-sum aggregates. Barnett introduced a user-cost approach in the 1980s, making the methodology more applicable to contemporary monetary policy analysis. Divisia monetary aggregates are widely used by economists and policymakers to assess monetary policy effectiveness, financial stability, and economic growth, offering a more nuanced understanding of the money supply and its impact on economic activity.
Economic Policy Uncertainty To measure policy-related economic uncertainty, we construct an index from three types of underlying components. The first and most flexible component quantifies newspaper coverage of policy-related economic uncertainty. This newspaper-based approach is also used for the majority of other country- and topic-specific indexes hosted on this site. For the United States, the newspaper-based component is an index of search results from 10 large newspapers. They also utilize data from two other sources: the number of federal tax code provisions set to expire and disagreement among economic forecasters.
