GSFCI - What does GSFCI stand for? The Free Dictionary
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Although the Goldman Sachs index emphasizes investment grade (IG) spreads, there is a focus on the HY market for two reasons: First, it poses a greater risk for a financial conditions dislocation and is more highly correlated with other stressed areas such as leveraged loans; and second, the HY market has grown substantially since 2000, suggesting the GSFCI is understating the true extent that financial conditions have tightened during recent quarters.
All four components of the GSFCI indicate a significant tightening of financial conditions has already occurred.
APPENDIX A Start Dates for Full Series Index Start Date (Month/Year) CFSI 1/1994 BFCI 1/1994 CLNFCI 6/1994 GSFCI
1/2000 ANFCI 1/1979 NFCI 1/1979 STLFSI 12/1993 IMFFSI 12/1980 KCFSI 2/1990 APPENDIX B Lag Lengths for Forecasts * Dependent variable Index IP GDP Wilshire CFSI 2 2 1 BFCI 2 2 1 CLNFCI 1 2 1 GSFCI
2 2 2 ANFCI 3 2 1 NFCI 3 2 2 STLFSI 2 2 1 IMFFSI 3 3 1 KCFSI 4 2 1 * Industrial production (IP) and Wilshire lag lengths are months; GDP lag lengths are quarters.