---
ticker: "KRFCI"
title: "South Korea Financial Conditions Index"
unit: "z"
frequency: "Daily"
source: "Hatzius, Hooper, Mishkin, Schoenholtz, and Watson (2010); Adrian, Boyarchenko, and Giannone (2019)"
release: "Updated Daily"
category: "Financial Indicators"
country: "KR"
language: "en"
canonical: "https://kred.dev/en/series/KRFCI"
license: "https://creativecommons.org/licenses/by-nc-nd/4.0/"
latest_value: -1.34
latest_date: "2026-09-08"
first_date: "2006-09-25"
observations_total: 5204
observations_shown: 120
---

# South Korea Financial Conditions Index

## Overview

Bundles cross-market stress into one gauge of tightness, where higher readings mean costlier funding.

## Key Figures

|  | Value | Date |
|---|---|---|
| Latest | -1.34 | 2026-09-08 |
| Change from previous | -1.15 | 2026-09-07 |
| Change over one year | -0.24 | 2025-09-08 |
| Highest on record | 10.76 | 2008-12-09 |
| Lowest on record | -5.84 | 2021-12-31 |
| Period covered | 2006-09-25 – 2026-09-08 |  |
| Observations | 5204 |  |

## Recent observations

| Date | Value | Change |
|---|---|---|
| 2026-03-25 | 0.09 | -0.15 |
| 2026-03-26 | 0.12 | +0.03 |
| 2026-03-27 | 0.33 | +0.21 |
| 2026-03-30 | 0.37 | +0.04 |
| 2026-03-31 | 0.42 | +0.05 |
| 2026-04-01 | -0.16 | -0.58 |
| 2026-04-02 | 0.21 | +0.38 |
| 2026-04-03 | 0.03 | -0.19 |
| 2026-04-06 | 0.10 | +0.08 |
| 2026-04-07 | -0.44 | -0.55 |
| 2026-04-08 | -0.13 | +0.32 |
| 2026-04-09 | 0.09 | +0.22 |
| 2026-04-10 | -0.25 | -0.34 |
| 2026-04-13 | -0.25 | -0.01 |
| 2026-04-14 | -0.16 | +0.10 |
| 2026-04-15 | -0.08 | +0.08 |
| 2026-04-16 | -0.08 | 0.00 |
| 2026-04-17 | -0.32 | -0.23 |
| 2026-04-20 | -0.45 | -0.13 |
| 2026-04-21 | -0.36 | +0.08 |
| 2026-04-22 | -0.34 | +0.02 |
| 2026-04-23 | -0.05 | +0.29 |
| 2026-04-24 | -0.33 | -0.28 |
| 2026-04-27 | -0.41 | -0.08 |
| 2026-04-28 | -0.27 | +0.15 |
| 2026-04-29 | -0.20 | +0.07 |
| 2026-04-30 | -0.16 | +0.04 |
| 2026-05-01 | -0.15 | +0.01 |
| 2026-05-04 | -0.74 | -0.59 |
| 2026-05-05 | -0.79 | -0.05 |
| 2026-05-06 | -0.76 | +0.03 |
| 2026-05-07 | -0.20 | +0.57 |
| 2026-05-08 | -0.24 | -0.05 |
| 2026-05-11 | -0.13 | +0.11 |
| 2026-05-12 | 0.11 | +0.24 |
| 2026-05-13 | -0.19 | -0.30 |
| 2026-05-14 | -0.12 | +0.07 |
| 2026-05-15 | -0.08 | +0.04 |
| 2026-05-18 | -0.01 | +0.06 |
| 2026-05-19 | -0.06 | -0.04 |
| 2026-05-20 | -0.09 | -0.03 |
| 2026-05-21 | -0.21 | -0.12 |
| 2026-05-22 | -0.42 | -0.21 |
| 2026-05-25 | -0.43 | -0.01 |
| 2026-05-26 | -0.31 | +0.12 |
| 2026-05-27 | -0.34 | -0.03 |
| 2026-05-28 | -0.38 | -0.04 |
| 2026-05-29 | -0.05 | +0.33 |
| 2026-06-01 | -0.28 | -0.23 |
| 2026-06-02 | -0.38 | -0.10 |
| 2026-06-03 | -0.37 | +0.02 |
| 2026-06-04 | -0.33 | +0.04 |
| 2026-06-05 | 0.17 | +0.50 |
| 2026-06-08 | 0.08 | -0.09 |
| 2026-06-09 | -0.51 | -0.60 |
| 2026-06-10 | -0.65 | -0.14 |
| 2026-06-11 | 0.08 | +0.73 |
| 2026-06-12 | -0.21 | -0.29 |
| 2026-06-15 | -0.17 | +0.05 |
| 2026-06-16 | -0.30 | -0.13 |
| 2026-06-17 | -0.05 | +0.24 |
| 2026-06-18 | -0.20 | -0.14 |
| 2026-06-19 | -0.36 | -0.16 |
| 2026-06-22 | -0.29 | +0.07 |
| 2026-06-23 | -0.08 | +0.21 |
| 2026-06-24 | -0.10 | -0.03 |
| 2026-06-25 | -0.11 | 0.00 |
| 2026-06-26 | -0.15 | -0.05 |
| 2026-06-29 | -0.19 | -0.03 |
| 2026-06-30 | 0.16 | +0.35 |
| 2026-07-01 | -0.49 | -0.65 |
| 2026-07-02 | -0.91 | -0.42 |
| 2026-07-03 | -0.35 | +0.56 |
| 2026-07-06 | -0.28 | +0.07 |
| 2026-07-07 | -0.53 | -0.26 |
| 2026-07-08 | -0.54 | 0.00 |
| 2026-07-09 | -0.18 | +0.36 |
| 2026-07-10 | -0.34 | -0.16 |
| 2026-07-13 | -0.23 | +0.11 |
| 2026-07-14 | -0.34 | -0.10 |
| 2026-07-15 | -0.07 | +0.27 |
| 2026-07-16 | -0.27 | -0.20 |
| 2026-07-17 | -0.16 | +0.11 |
| 2026-07-20 | 0.17 | +0.32 |
| 2026-07-21 | -0.09 | -0.26 |
| 2026-07-22 | -0.08 | +0.01 |
| 2026-07-23 | -0.04 | +0.04 |
| 2026-07-24 | 0.04 | +0.08 |
| 2026-07-27 | 0.09 | +0.06 |
| 2026-07-28 | -0.02 | -0.11 |
| 2026-07-29 | 0.51 | +0.52 |
| 2026-07-30 | 0.27 | -0.24 |
| 2026-07-31 | -0.02 | -0.29 |
| 2026-08-03 | -0.34 | -0.32 |
| 2026-08-04 | -0.64 | -0.30 |
| 2026-08-05 | -0.76 | -0.12 |
| 2026-08-06 | -0.23 | +0.52 |
| 2026-08-07 | 0.03 | +0.27 |
| 2026-08-10 | -0.26 | -0.29 |
| 2026-08-11 | -0.29 | -0.03 |
| 2026-08-12 | -0.42 | -0.13 |
| 2026-08-13 | -0.38 | +0.04 |
| 2026-08-14 | -0.13 | +0.26 |
| 2026-08-17 | -0.08 | +0.05 |
| 2026-08-18 | -0.00 | +0.07 |
| 2026-08-19 | -0.14 | -0.14 |
| 2026-08-20 | -0.07 | +0.07 |
| 2026-08-21 | -0.10 | -0.03 |
| 2026-08-24 | -0.23 | -0.13 |
| 2026-08-25 | -0.18 | +0.04 |
| 2026-08-26 | -0.23 | -0.05 |
| 2026-08-27 | -0.42 | -0.19 |
| 2026-08-28 | -0.33 | +0.09 |
| 2026-08-31 | -0.67 | -0.34 |
| 2026-09-01 | -0.52 | +0.16 |
| 2026-09-02 | -0.19 | +0.32 |
| 2026-09-03 | 0.01 | +0.20 |
| 2026-09-04 | 0.02 | +0.02 |
| 2026-09-07 | -0.19 | -0.21 |
| 2026-09-08 | -1.34 | -1.15 |

## Definition

A daily index of Korean financial-market tightness, built as the first principal component (PC1) of five standardized variables. The panel comprises the one-year KRW–USD cross-currency basis, the call − KOFR spread, the AA− three-year corporate credit spread over KTB, the VIX, and the ACM ten-year term premium.

For each standardized input $z_{i,t}$ and its PC1 loading $v_i$, the index is given by the additive combination:

$$\text{KRFCI}_t = \sum_{i=1}^{5} z_{i,t}\, v_i$$

The sign is fixed so that the VIX loading is positive, and higher values therefore indicate tighter financial conditions. The panel deliberately excludes the Wu-Xia shadow rate and loads financial stress alone.

The index is published in two variants, the headline KRFCI and an orthogonalized variant $\text{KRFCI}^{\perp}$ that strips out the share of financial tightness the contemporaneous macro state already explains. The latter enters the Growth-at-Risk gauges in this catalog as a regressor.

## Methodology

**(1) Panel construction.** Each of the five inputs is standardized to form the panel $Z \in \mathbb{R}^{T \times 5}$. A short forward-fill of up to five business days bridges non-trading gaps, after which any row with a missing input is dropped.

**(2) Principal component extraction.** The first principal component is extracted from the standardized panel, and the loadings are refit on the full sample at every pipeline run. The index is descriptive of where financial conditions sit today rather than a real-time expanding-window estimator. The component is oriented so that the VIX loading is positive, which fixes the sign on a consistent basis without an arbitrary choice about which other variable to lock down. The five additive contributions $z_{i,t}\,v_i$ are persisted alongside the score, so the decomposition can be recovered at any time.

**(3) Orthogonalized variant.** $\text{KRFCI}^{\perp}$ regresses each standardized input on $(g_t^{\text{YoY}}, \pi_t^{\text{YoY}})$, with the regressors lagged sixty calendar days to approximate GDP and CPI publication availability. The residuals are re-standardized, and the first principal component is extracted again under the same sign convention. This follows the procedure that Adrian, Boyarchenko, and Giannone (2019) set out for feeding an FCI into a conditional-distribution model, where the FCI must carry only the part that is incremental over the current macro state so that its coefficient in the downstream regression does not absorb growth autocorrelation. What Growth-at-Risk consumes is $\text{KRFCI}^{\perp}$, and the headline for reading financial conditions is KRFCI.

## Applications in Economics

The index's construction adapts to the Korean market the financial-conditions-index lineage that was consolidated in the United States (Hatzius et al. 2010). It replaces the U.S. funding spreads with the won's structural dollar-funding signal in the cross-currency basis and with the unsecured–secured overnight spread in call − KOFR, so that the panel covers external dollar-funding stress, domestic money-market segmentation, intermediation-channel credit risk, global risk appetite, and the long-end duration premium.

The cross-currency basis carries the largest negative loading, and that single fact captures the central feature of Korean financial conditions, namely that KRW funding-stress episodes are dollar-funding episodes. The October–December 2008 readings dominate the entire sample and exceeded $+10$ standard deviations at the peak, because the post-Lehman dollar-funding collapse hit Korea with a violence the 2011 European bank stress and the March 2020 dollar dash never matched (Baba and Shim 2010).

The index reads in two ways. Read as a stress thermometer it dates Korea's stress episodes correctly. Read as a level it is calibrated to the 2008 episode, so a $+3$ reading in 2020 is not 30 % as bad as Lehman but a top-three-percent event by KRFCI's standardization. The contributions panel shows which sub-component is driving a current move.

Excluding the Wu-Xia shadow rate has a downstream payoff. Shadow rates point to the policy stance alone and do not measure the tightness of financial conditions layered on top of it. A composite that loads policy stance and financial stress together mixes two conceptually different objects, and the policy easing of 2020 would mechanically loosen such a panel even while corporate credit and the basis were tightening. KRFCI moves with the stress component alone, and the policy stance is read separately through the shadow short rate.

## Applications in Financial Markets

KRFCI is the headline gauge an asset-allocation or risk owner reads to judge whether Korean financial conditions are tight. Overlaid on the ACM ten-year term premium or the call − KOFR spread, it reveals which sub-component is driving a current move. Only the orthogonalized variant $\text{KRFCI}^{\perp}$ actually enters the Growth-at-Risk regression, while the headline KRFCI is used to read financial conditions themselves.

The limitation to keep in mind for asset allocation is that the standardization is full-sample and refit every run, so a direct comparison of levels across different periods is only approximate. The contributions decomposition is more stable to that re-estimation than the level itself, so cross-period comparison is better drawn from contributions than from levels.

In stress regimes, cross-asset correlation tilts move with the index in the expected direction, KRW-credit and KOSPI co-movement being one example (Hatzius et al. 2010). The credit-spread contribution is the most-watched sub-signal in the KRW corporate funding market.

## Statistical Tests

Over 5139 observations from 2006-09-25 to 2026-06-09, the unit-root reading of the financial conditions index is ambiguous, since the Dickey and Fuller (1979) and Phillips and Perron (1988) tests reject a unit root at p = 0.0229 and p = 0.001 while the Kwiatkowski et al. (1992) test also rejects stationarity at p < 0.01, the near-unit-root disagreement of a persistent bounded signal, so no clean order is assigned. On the level the first-order autocorrelation is 0.987 with an implied half-life of about 52.7 observations, a descriptive persistence summary and not an integration claim, the Ljung and Box (1978) portmanteau on the level rejects white noise at lags 10 and 20, Q = 48148.70 and Q = 93447.20 at p = 0.000 and p = 0.000, and the Bai and Perron (1998) procedure, by the Bai and Perron (2003) algorithm, finds 5 breaks in the mean at 2009-09-07, 2012-08-22, 2015-10-05, 2020-02-25, 2023-04-24 (Andrews 1993; Perron 1989).

This signal, the financial conditions index, has no daily seasonal period, so the seasonal-unit-root and seasonal-stationarity machinery of Hylleberg et al. (1990) and Canova and Hansen (1995) is deliberately not run (Beaulieu and Miron 1992; Ghysels and Osborn 2001).

## Frequently Asked Questions

### What goes into the financial conditions index?

By standardising a cross-currency basis, unsecured against secured overnight spreads, a corporate credit spread, equity volatility and a long-maturity term premium, then extracting the first principal component. Higher readings mean tighter conditions.

### How should the level of the financial conditions index be read?

It is the principal component of standardised inputs and therefore dimensionless, measuring distance from its own sample mean in standard deviations. Only relative position and direction are interpretable, not the absolute value.

### Does a tightening financial conditions index mean bad news?

Not on its own. Tightening can come from market stress or from a deliberate policy stance. The index reports how tight conditions are and does not identify why.