Macro Risk Monitor · 1/4
The Macro Risk Landscape
Key points
- Real-economy and social risks can be high while financial indicators stay calm. Watching prices alone misses that state.
- This series reads the present on three axes: macro pressure (GRCS), financial fragility (FFI) and financial stress (FCO).
- The five major risks do not move alone. They spread through five chains, so we also measure the strength of the chains each month.
- This is a measurement of real-economy, social and supply-chain risk. It does not predict financial crises.
Contents
Why financial indicators are not enough
In June 2007, the US HY OAS was about 2.4% and the VIX about 16. FCO, which measures market strain, comes to 5.7 when computed retroactively under today's rules. That is about as low as the 5.3 of September 2026. Yet FFI, which measures financial fragility, stood at a high 80.
In March 2020, by contrast, market strain surged while the objective macro pressure measure sat in the bottom 4% of its full history. Market indicators and real-economy risks can move separately.
So, apart from price moves, we score the state of climate and food, fiscal conditions, energy, geopolitics and employment under the same rules every month, and publish the results.
Three axes
GRCS: macro pressure
Global Rolling Crisis Score. Combines the level and coupling of the five major risks. 85.70 in September 2026.
FFI: financial fragility
Financial Fragility Index. Measures weaknesses that build up in calm times. 71.45 in September 2026.
FCO: financial stress
Financial Contagion Overlay. Measures the strain occurring now. 5.34 in September 2026.
The combination of the three sets the regime. September 2026 combines high macro pressure, high fragility and low financial stress, which is "Compound Macro Stress / Latent Fragility". As supporting measures we also track chain strength (SCI), country-level social unrest (SURI) and regional conflict (RCEI). The Risk Measurement Model gives the definitions.
Five risks and five chains
The five major risks affect one another. Energy disruption reaches public finances through inflation and interest rates. Less fiscal room leads to subsidy cuts, and those lead to social unrest.
| Chain | Origin | Middle | Landing | Note |
|---|---|---|---|---|
| Chain 1 | Fertilizer prices (t−6), temperature anomaly, drought area (t−3) | FAO real index (t−3), yield revisions in major producers (t−2) | Food Gap in low-income countries (t), protest counts (t+3) | Backed by 30 years of data |
| Chain 2 | Chokepoint traffic (t−3) | Brent, TTF (t−1), core CPI (t) | 30-year yield (t), interest/revenue (t+6) | Check volumes as well as prices |
| Chain 3 | 30-year yield, EM spreads (t−6) | Interest/revenue (t−3), IMF programs (t−1) | Subsidy cut cases (t), SURI (t+3) | L=4 with actual subsidy cuts |
| Chain 4 | FAO, fuel prices (t−3) | SURI, instability (t−1) | FX (t), import prices (t+3) | Countries with a 15%+ FX fall and high food prices |
| Chain 5 | AI-attributed layoffs (t−6) | Entry-level job postings (t−3) | Youth wages (t), spending and voting (t+6) | Appears last |
t is the current month and the numbers are months. The stages match the diagram. Lags are guides, not estimates. Apart from Chain 1 they are structural reasoning.
Three layers of transmission
No single number shows transmission to finance. We check three layers separately.
| Layer | What it shows | Main indicators |
|---|---|---|
| Prices | How markets are pricing risk | HY OAS, VIX, EM spreads, dollar, term premium, 30-year yield |
| Credit and leverage | How easy borrowing is and how indebted borrowers are | NFCI credit and leverage, bank lending standards |
| Plumbing | Whether the flow of funds itself works | SOFR−IORB, Fed lending, STLFSI4, NFCI composite |
What we measure and what we do not
In a full test of 356 months run in September 2026, the objective macro pressure measure was related to consumer sentiment and inflation, but no relation to later financial stress could be confirmed. Model Validation gives the details.
We therefore position this series as a measure of real-economy, social and supply-chain risk. It cannot be used to predict financial crises or to time trades. We also publish our prediction record.
Next page 2/4 The Risk Measurement Model →