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nfci_technical_report

RecentChangesMadetotheNFCIandANFCI

February6,2013

ThisdocumentservesasbackgroundinformationregardingrecentchangesmadetotheChicagoFed’sNationalFinancialConditionsIndex(NFCI).Basedonourcontinuale ortstoevaluatetheappropriatemixofvariablesintheNFCIandtheavailabilityofseveralnewdatasources,wehaveimplementedthefollowingchangesbeginningwiththeFebruary6,2013,releaseoftheindex.

VariableComposition

Fivevariables,shownintable1,havebeenaddedtotheindexandtwovariables,shownintable2,weresubstitutedforotherdatathatwereeitherdiscontinuedornolongeravailabletous,makingatotalof105 nancialindicators.

Table1:FivevariablesaddedtotheNFCI

Name

BankofAmerica/MerrillLynchHomeEquityABS/MBSyieldspreadCMEEurodollar/CBOTT-NoteFuturesMarketDepthCMEE-miniS&PFuturesMarketDepth

COMEXGold/NYMEXWTIFuturesMarketDepthTrade-weightedUSDollarValueIndex

Transformationlevellevellevellevel

log-di erence

Frequencyweeklyweeklyweeklyweeklymonthly

Table2:TwovariablessubstitutedintheNFCI

Name

BankofAmerica/MerrillLynch3-5yearAAACMBSOASspreadNCREIFCommercialRealEstateTransactions-BasedPriceIndex

Transformationlevel

log-di erence

Frequencyweeklyquarterly

http://www.wenkuxiazai.com/digitalassets/others/research/data/nfci/nfcilist.pdf.

ConstructionofFuturesMarketDepthMeasures

ThreeofthenewNFCImeasuresstemfromourcalculationsbasedondataprovidedbytheChicagoMer-cantileExchange(CME).Usingdatafromtheorderbooksoffuturescontracts,theCMEhasdesignedaliquiditymeasurecalled“PriceImpact,”whichjointlyre ectsthebid-askspread(width),theabilityofthemarkettoabsorblargertrades(depth),andthepricedeteriorationduetotheseblocktrades(resiliency).

Foragivenfuturescontract,thismeasureiscalculatedaccordingtothefollowinglogic.Supposeanordertopurchaseqcontractsisplacedinthemarketattimet.Theorderwillbe lled,totheextentpossible,attheaskpricepask.Theresidualamount,q qask,willbe lledtothemaximumextentpossibleatstepwiseincreasingprices,pask+ε,pask+2ε,etc.(whereεistheticksize),untiltheearlierofacomplete lloranexhaustionofalllimitordersexistingabovepask.

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