Board of Governors of the Federal Reserve System

Figure 1. Aggregate Demeaned FSS Indexes

This figure shows the demeaned FSS indexes for the Federal Reserve Board, all other advanced economies, emerging market economies, and the IMF. Each individual FSS index is demeaned using the entire sample of recorded FSR publications (for example, starting in 1999 for Sweden). Advanced economies are composed of the following countries: Australia, Canada, Denmark, Estonia, Hong Kong, Spain, Sweden, Switzerland, and the United Kingdom. Emerging market economies are composed of the following countries: Brazil, Chile, Hungary, Indonesia, Poland, South Africa, and Turkey. The shaded blue area corresponds to the first quarter of 2020. The X axis ranges from 2018H1 to 2020H2. The Y axis ranges from -0.75 to 1.5.

• The solid black line represents the Federal Reserve Board’s financial stability sentiment index.
• The dot-dashed red line reflects the financial stability sentiment index for Advanced Economies.
• The green dotted line charts the IMF’s financial stability sentiment index in its Global Financial Stability Reports.
• The blue dashed line follows the financial stability sentiment index for Emerging Market Economies.

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Figure 2. Word Clouds for Sentiment Words for the FRB and the IMF

This figure shows word clouds for FSRs in the second half of 2019 and the first half of 2020 for the Federal Reserve Board and the International Monetary Fund. They only includes positive (in blue) and negative (in red) words in the financial stability dictionary. The red words are located on the left and the blue words are located on the right. The relative size of the words indicates the incidence of that word.

Figure 2a. Word Clouds for Sentiment Words for the FRB’s FSR

Left Panel: FRB 2019

Blue large words: stable and effective

Blue medium words: resilient, grow, solid, positive, and improve

Blue small words: stabilized, preventing, improved, improvements, absorb, able, calm, adequately, benefit, and mitigate

Red large words: volatility, vulnerabilities, illiquidity, recession, and losses

Red medium words: adverse, declines, negative, vulnerable, downturn, riskier, spill, fragile, stresses, slowdown, weaken, distress, excessive, deteriorated, disrupt, difficult, poor, problems, concerns, challenges, expose, and concern

Red small words: severely, strains, impairing, poorly, unexpectedly, prolonged, downgrades, spillovers, disturbances, negatively, unrest, disruptive, unable, erosion, undermine, fragility, deterioration, forced, suffered, volatile, impair, weakening, failure, hinder, unstable, threat, illiquid, challenging, inability, instability, weaker, defaults, insolvent, weakened, exposing, difficulties, vulnerability, threaten, downgraded, damaging, spilled, downward, adversely, losing, escalation, disruptions, fragilities, repercussions, delinquencies, and lagged

Right panel: FRB 2020

Blue large words: improved, able, recovery, absorb, improvement, and grew

Blue medium words: stabilize, row, smooth, and success

Blue small words: rebound, stable, sound, calm, improving, mitigating, absorbed, mitigated, and mitigating

Red large words: strains, vulnerabilities, volatility, declines, losses, defaults, downward, and disruptions

Red medium words: deterioration, vulnerable, deteriorated, downgrades, prolonged, adverse, weakened, slowdown, negative, severely, stresses, poses, riskier, downgraded, worsen, and deteriorate

Red small words: impaired, volatile, fragile, deteriorating, strained, difficulties, concern, vulnerability, downturn, delinquencies, concerns, challenges, illiquidity, disturbances, strain, exposed, depressed, contracted, fragilities, turmoil, weaknesses, plummeted, dropped, distress, adversely, plunged, poor, weaker, slowdowns, distressed, contracting, severity, weaken, impede, exposing, unstable, fail, drying, illiquid, contraction, recession, weakening, protracted, impair, delays, forced, failure, spill, sluggish, slump, disrupt, repercussions, deficits, and exacerbated

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Figure 2b. Word Clouds for Sentiment Words for the IMF’s GFSR

This figure shows word clouds for the International Monetary Fund’s GFSR in 2019 and 2020. The words are shown in the color blue for positive and red for negative in the financial stability dictionary. The relative size of the words (small, medium, and large) indicates the incidence of that word.

Left Panel: IMF 2019

Blue large words: mitigate, enhanced, stabilizing, and improved

Blue medium words: rebound good, benefit profitable, and better

Blue small words: strengthened, resolve, smooth, resilient, rallied, calm, contained, mitigating, favorable, recovery, improvements, opportunity, improvement, solid, benign, effective, alleviated, and absorb

Red large words: vulnerabilities, illiquid, adverse, downside, losses, declines, riskier, weaker, concerns, weakening, volatility, negative, exposed, downturn, and susceptible

Red medium words: slowdown, spillovers, vulnerability, concern, exacerbate, distress, excessive, difficult, misalignments, insufficient, escalating, weakened, and vulnerable

Red small words: constrain, deterioration, challenges, overvalued, strains, prolonged, weaknesses, weaken, deteriorate, exacerbating, illiquidity, unable, overindebted, fragility, challenging, tension, worse, strained, fragilities, worst, contagion, mispricing, challenge, depressed, defaults, aggravated, impairments, severity, worrisome, deteriorations, posing, spillover, distressed, and spilling

Right Panel: IMF 2020

Blue large words: mitigate, recovery, absorb, better, positive, effective, and enhanced

Blue medium words: improved, stabilize, stable, able, and enhance

Blue small words: stabilized, good, sound, optimism, gained, benign, preventing, improving, mitigating, rebound, mitigated, strengthened, enabling, improvement, and improve

Red large words: losses, vulnerabilities, declines, volatility, disruptions, deterioration, weaker, slowdown, worse, vulnerable, strains, forced, distress, and excessive

Red medium words: volatile, challenges, concerns, downgrades, defaults, downward, downside, challenge, weakening, deteriorated, challenging, constrained, exposed, exacerbated, prolonged, negative, and riskier

Red small words: failure, strain, expose, struggling, illiquidity, difficult, worst, fragilities, deteriorate, recession, downgraded, impair, nonperforming, difficulties, fear, plummeted, deep, exacerbating, confronting, plunge, contraction, repercussions, plummeting, contagion, weakened, worsened, misalignments, distressed, fragile, destabilizing, danger, impairments, problems, worries, underperformed, downgrade, deficits, hurt, bad, weaken, fears, adverse, questions, shrinking, disruption, deteriorating, and undermine

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Figure 3. Change in FSS Indexes and Financial Vulnerabilities

The scatterplot shows the change in FSS indexes on the y-axis and the December 2019 LPS score on the x-axis. The LPS score is measured every month and is a composite of various indicators, such as the credit-to-gdp gap and asset valuations measures. Chile, Estonia, and Hungary are omitted from the scatterplot, as LPS scores are not available for these countries. The blue line represents the line derived from a simple regression setting against LPS score. Each dot is an observation for a single country. The X axis ranges from 0 to 0.9, and the Y axis ranges from -2 to 2 percentage points.

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Figure 4. Change in FSS Indexes and GDP Growth in 2020

The figure plots the change in FSS indexes on the y-axis and GDP growth (in percent) on the x-axis. The data for GDP comes from the OECD. Updated GDP data is not available for Hong Kong. The blue line represents the line derived from a simple regression setting against GDP Growth in 2020 Q1. Each dot is an observation for a single country. The X axis ranges from -6 percent to 4 percent, and the Y axis ranges from -2 to 2 percentage points.

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Figure 5. Change in FSS Indexes and Cases per Million

The figure plots the change in FSS indexes on the y-axis and the number of coronavirus cases per million inhabitants at the date of the publication of each country’s FSR on the x-axis. The data for coronavirus cases comes from Our World In Data, a project of the Global Change Data Lab. The blue line represents the line derived from a simple regression setting against coronavirus cases per million in the country. Each dot is an observation for a single country. The X-axis ranges from 0 to 5000 cases per million. The Y-axis ranges for -2 to 2 percentage points

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Figure 6. Change in FSS Indexes and FSR Pandemic Index

This figure plots the change in FSS indexes on the y-axis and the FSR pandemic indexes on the x-axis for all countries in our sample. The blue line reflects the line derived from a simple regression setting against the pandemic index. Each dot is an observation for a single country. The X-axis ranges from 0.3 to 1.6 percentage points. The y-axis ranges from -2 to 2 percentage points.

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Figure 7. Pandemic Index Comparison between FSRs and Thomson Reuters News

This figure plots the FSR pandemic index on the y-axis and the 2020Q1 news pandemic index on the x-axis for all countries in our sample. The blue line represents the line derived from a simple regression setting against the 2020Q1 news pandemic index. Each dot is an observation for a single country. The X-axis ranges from 0.8 to 2.1 percentage points and the Y axis ranges from 0.3 to 1.6 percentage points.

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