The idea
The financial-conditions index we plot is the Federal Reserve's FCI‑G (baseline, 3‑year lookback), which the Board publishes monthly, about three weeks after the month ends. To show where financial conditions stand today, we extend it to a daily frequency. The recipe is deliberately simple: we keep the Fed's published weights unchanged and only change the data — feeding in daily, publicly available market series and evaluating the index the same way the Fed does.
How it is built
FCI‑G is a weighted sum of the past three years of changes in seven financial variables — the federal funds rate, the 10‑year Treasury yield, the 30‑year mortgage rate, the BBB corporate bond yield, the stock market, house prices, and the broad dollar. The weights are dynamic multipliers from the Fed's models that translate each change into its effect on next‑year GDP growth; we take them directly from the Fed's published replication code. Each variable contributes its own term, so the index is the sum of seven component contributions (the decomposition shown on the chart).
For each day and each of the seven components, we recompute its contribution using trailing three‑month windows ending on that day, and add them up. We then anchor the series to the official numbers: it equals each released monthly value exactly, and only the dates after the latest release — the dotted segment — are a forecast.
This daily reconstruction tracks the official series very closely: standing at the end of a month with only the data available then, it recovers the print the Fed releases weeks later.
Beyond the latest available day, we carry the last value forward unchanged (a random walk) to the quarter‑end — the flat tail of the dotted line — so it lines up with the FCI* forecast and the summary boxes.
Data
The daily inputs are all public: the effective federal funds rate, the Gürkaynak–Sack–Wright 10‑year yield, the ICE BofA BBB corporate yield, the FT Wilshire 5000 total‑market index, the broad dollar index, the Optimal Blue 30‑year mortgage rate, and the Zillow home value index (held between its monthly updates). The series refreshes every weekday after the U.S. market close.
A few caveats
Six of the seven inputs reproduce the official index almost exactly. The exceptions are minor:
Mortgage rate. The Fed uses the Optimal Blue conforming rate adjusted for the average points and fees paid by prime borrowers — an effective rate that is not published. We use the public note‑rate index instead.
BBB corporate yield. The Fed's ICE BofA BBB index is publicly available only for the last three years. Recent dates use that actual series; earlier years are approximated with Moody's Baa corporate yield.
10‑year yield. Our reference series (the Gürkaynak–Sack–Wright yield curve) posts with a few days' lag, so the most recent days are filled in with the daily 10‑year Treasury yield.
The gap
The FCI gap (FCI minus FCI*) is extended with the daily FCI nowcast, holding FCI* constant. FCI* is the slow‑moving neutral level, so holding it fixed over the short nowcast horizon is a mild assumption; it updates when the quarterly FCI* estimation re‑runs.