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This paper develops a financial stress measure for the United States, the Cleveland Financial Stress Index (CFSI). 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We propose factor-based out-of-sample forecast models for the financial stress index and its 4 sub-indices developed by the Bank of Korea. We... financial stressforecastingindiceskoreafactor https://alfred.stlouisfed.org/series?seid=LQTYSD678FRBCLE Contributions to the Cleveland Financial Stress Index: Liquidity Spread (DISCONTINUED) | ALFRED |... 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