Macro Risk Monitor: August 2026 Final (MR-2026-08)
How to read this. This report uses data as of September 15, 2026. FCO is v2.1 from this issue. Following the full-sample test run during this issue, we changed the model's stated purpose to measuring real-economy, social and supply-chain risk.
An interpretation in the original draft that read the perception gap as room for a market fall or as urgency was withdrawn after that test and is not shown.
Conclusions of this report
- The judgmental comparison across eras clearly passed March 2022. GRCS4 is 87.01, 3.16 above the 83.85 of March 2022. July had passed it by a narrow 0.46, and the difference widened in August. The main cause is the prolonged Hormuz blockade: ③ rose from 87.6 to 91.0 and ④ from 88.4 to 90.4. The objective proxy-GRCS is only 65.1 (53.4th percentile), mid-range and below the 84.9 of March 2022.
- Financial stress fell. FCO fell from 4.36 to 3.27. HY OAS of 2.63% is the lowest of the year to date and VIX of 14.92 the lowest of the year. SOFR−IORB is +3bp and net tightening of bank lending standards is 0.0%.
- Social unrest deepened. Countries with SURI ≥ 60 rose from 9 to 10, and those at 75 or more from 2 to 5. Pakistan (76.35), Lebanon (76.35) and Ethiopia (75.05) joined Sudan (90.80) and Nigeria (80.75). The last three are near the threshold and may not stay there (P-14).
- The AI and labor risk was revised down for the first time in 2026. M fell from 3.1 to 2.8 and Level from 59.0 to 54.8. AI-attributed job cuts were 3,462, or 6.5% of the total, the lowest since December 2025. AI fell from first place, held for five months since March, to fourth; Restructuring ranked first.
- Two predictions were hits: P-08 and P-10. The average Brier score is 0.3025, worse than the coin-flip value of 0.25.
Contents
Where we stand
| Index | What it measures | This month | Prior month | Change | Band |
|---|---|---|---|---|---|
| GRCS5 | Compound macro pressure (five risks) | 83.44 | 81.57 | +1.87 | Severe |
| GRCS4 | For comparison across eras (excludes ⑤ AI) | 87.01 | 84.31 | +2.70 | Severe |
| FFI | Financial fragility (weakness built up in calm times) | 71.10 | 70.80 | +0.30 | High |
| FCO | Financial stress (tension occurring now) | 3.27 | 4.36 | −1.09 | Low |
| SCI | Strength of the chains | 78.80 | 77.20 | +1.60 | — |
| SURI≥60 | Countries with social unrest risk of 60 or more (of 20) | 10 | 9 | +1 | — |
| RCEI | Regional conflict escalation | 77.85 | 77.55 | +0.30 | Severe |
Bands are thresholds set for each index. See The Risk Measurement Model for definitions.
Macro pressure rose and financial stress fell. The distance between them is the largest of 2026 so far. We do not read this distance as room for finance to catch up with macro; the full-sample test gives no basis for that reading.
Regime reading
The regime for August is Compound Macro Stress / Latent Fragility. This reading has held since April, 5 months in a row.
| Month | GRCS5 | FFI | FCO | Regime |
|---|---|---|---|---|
| Jan | 49.91 | 66.10 | 4.89 | Normal |
| Feb | 55.70 | 66.25 | 7.51 | Elevated Macro Stress |
| Mar | 70.29 | 67.10 | 14.04 | Elevated Macro Stress |
| Apr | 75.98 | 68.45 | 4.77 | Compound Macro Stress / Latent Fragility |
| May | 78.99 | 69.50 | 3.58 | Compound Macro Stress / Latent Fragility |
| Jun | 80.27 | 69.90 | 4.32 | Compound Macro Stress / Latent Fragility |
| Jul | 81.57 | 70.80 | 4.36 | Compound Macro Stress / Latent Fragility |
| Aug | 83.44 | 71.10 | 3.27 | Compound Macro Stress / Latent Fragility |
The five major risks
| Risk | M | L | Level | Change | D |
|---|---|---|---|---|---|
| ① Climate, food, water | 4.0 | 4.5 | 83.0 | +3.4 | +1 |
| ② Sovereign, fiscal | 3.6 | 3.9 | 73.8 | +2.0 | +1 |
| ③ Energy, shipping | 4.4 | 4.9 | 91.0 | +3.4 | +1 |
| ④ Politics, geopolitics | 4.4 | 4.8 | 90.4 | +2.0 | 0 |
| ⑤ AI, labor | 2.8 | 2.6 | 54.8 | −4.2 | −1 |
M is the level this month and L is the degree of linkage (each 1-5). Level = (0.7M + 0.3L) × 20. D is direction (−2 to +2) and is not part of the score.
Why the scores moved
- ① Climate, food, water: The global temperature anomaly was 0.85°C, the warmest August on record. All five FAO commodity groups rose. We raised M from 3.8 to 4.0.
- ② Sovereign, fiscal: The 30-year Treasury averaged 5.22% and the term premium of 0.88% was the highest of the year to date. We raised M from 3.5 to 3.6.
- ③ Energy, shipping: Brent rose 9.0% and European gas 16.9%. Hormuz transits were about 5 per day, about 95% below prewar levels. We raised M from 4.2 to 4.4.
- ④ Politics, geopolitics: The blockade reached day 197 by mid-September and the regional war has settled in. No new front opened. We raised M from 4.3 to 4.4.
- ⑤ AI, labor: The share of job cuts attributed to AI fell to 6.5%, the lowest since December 2025, and its rank fell from first to fourth. We lowered M from 3.1 to 2.8.
FAO cites concern over input supplies from the closure of Hormuz as one factor behind higher cereal prices. The Cereal Index of 116.3 is the highest since May 2024.
Main real-economy indicators
| Indicator | Prior month | This month |
|---|---|---|
| Global temperature anomaly (°C) | 0.67 | 0.85 |
| FAO Food Price Index | 130.8 | 133.3 |
| FAO Cereal Price Index | 113.8 | 116.3 |
| Brent crude ($) | 83.4 | 90.9 |
| European gas ($/MMBtu) | 18.06 | 21.11 |
| Hormuz transits (per day, press estimates) | 15 | 5 |
| Share of job cuts attributed to AI (%) | 33 | 6.5 |
Brent and European gas are World Bank monthly averages. FAO values are as published when each report was prepared; later revisions are in the revision record.
Three-layer check of financial contagion
No layer shows contagion. In the price layer, HY OAS and VIX both fell, the dollar weakened and EM spreads narrowed. In the credit and leverage layer, net tightening of bank lending standards is 0.0%. In the plumbing layer, SOFR−IORB is +3bp and Fed lending peaked at $5.7 billion in the month.
| Layer | Indicator | Prior month | This month |
|---|---|---|---|
| Price layer | US HY OAS (%, month-end) | 2.85 | 2.63 |
| Price layer | EM spread proxy (bp) | 299 | 290 |
| Price layer | VIX (month-end) | 15.99 | 14.92 |
| Price layer | STLFSI4 | −0.73 | −0.81 |
| Price layer | 30-year Treasury (%, monthly average) | 5.10 | 5.22 |
| Price layer | 10-year term premium (%) | 0.87 | 0.88 |
| Price layer | Dollar index proxy | 119.70 | 118.57 |
| Credit and leverage layer | NFCI overall | −0.53 | −0.55 |
| Credit and leverage layer | NFCI credit | −0.04 | −0.06 |
| Credit and leverage layer | NFCI leverage | 0.16 | 0.10 |
| Credit and leverage layer | NFCI nonfinancial leverage | −0.52 | −0.49 |
| Credit and leverage layer | Bank lending standards (net tightening %) | 0.0 (July survey) | 0.0 (July survey) |
| Plumbing layer | SOFR−IORB (bp) | +1 | +3 |
| Plumbing layer | Monthly peak in Fed lending ($ billion) | 7.8 | 5.7 |
STLFSI4 and the NFCI series have an average of 0; negative readings are looser than average. The EM spread and the dollar index are proxy series.
Breakdown of FCO v2.1
| Component | Weight | Source value | Score |
|---|---|---|---|
| Credit (HY OAS) | 0.25 | 2.63% | 3.04 |
| Volatility (VIX) | 0.20 | 14.92 | 6.53 |
| Funding (SOFR−IORB) | 0.15 | +3 bp | 4.00 |
| Banks (lending standards) | 0.15 | Expert judgment | 4.00 |
| Liquidity | 0.10 | Expert judgment | 0.00 |
| Intervention use (Fed lending) | 0.15 | 5.7 | 0.00 |
| FCO | 1.00 | — | 3.27 |
From this issue FCO is v2.1 with six components. It adds use of Fed lending through a log transform, with $10 billion or less at 0 and $450 billion at 100, to capture stress that market prices do not show. Under the older v2.0 August was 3.95. We lowered funding and banks from 5 to 4.
Breakdown of FFI
| Component | Weight | Prior month | This month |
|---|---|---|---|
| Leverage and credit quality | 0.20 | 73 | 73 |
| Maturity wall | 0.15 | 66 | 67 |
| Valuation and spread compression | 0.20 | 77 | 79 |
| Opaque assets | 0.20 | 73 | 73 |
| Bank lending standards and balance sheets | 0.10 | 58 | 57 |
| External vulnerability (EM) | 0.15 | 70 | 69 |
| FFI | 1.00 | 70.80 | 71.10 |
FFI rose from 70.8 to 71.1. The maturity wall rose from 66 to 67 and valuation from 77 to 79 on spread compression. Banks fell from 58 to 57 and external from 70 to 69.
Social unrest and regional conflict
Countries with SURI ≥ 60 rose from 9 to 10, with Tunisia joining at 60.00. Five countries are at 75 or more. This month's scoring added 2 to household stress in all 20 countries and a further 1 in 10 countries. The simple average rose from 61.25 to 62.67 and the population-weighted figure from 61.88 to 63.34.
RCEI moved from 77.55 to 77.85. Escalation speed fell from 75 to 72, while fragility and food, energy and water rose. The spread of effects is advancing more than combat intensity.
| Country | Household | Protest | Government | Conflict | SURI | Change | Main factors |
|---|---|---|---|---|---|---|---|
| Sudan | 97 | 73 | 95 | 98 | 90.80 | +1.45 | Civil war and famine risk; conflict is the main cause of the food crisis |
| Nigeria | 88 | 75 | 71 | 85 | 80.75 | +2.00 | Fuel subsidy cuts, a weak currency and elections; a priority country for monitoring |
| Pakistan | 81 | 72 | 72 | 78 | 76.35 | +1.55 | Food, electricity and external debt; a large population |
| Lebanon | 83 | 62 | 86 | 73 | 76.35 | +2.35 | Currency and public finances have already broken down |
| Ethiopia | 83 | 56 | 75 | 85 | 75.05 | +1.30 | Conflict and drought combined |
| Myanmar | 77 | 45 | 85 | 95 | 74.20 | +0.70 | Continuing civil war; armed conflict is the main channel rather than protest |
| Egypt | 85 | 57 | 70 | 47 | 67.40 | +2.35 | Bread and fuel subsidies act as a political stabilizer tied directly to public finances |
| Bolivia | 74 | 82 | 71 | 30 | 66.60 | +1.40 | Protests against fuel subsidy cuts have spread nationwide |
| Kenya | 73 | 77 | 56 | 35 | 63.00 | +1.75 | Fuel price protests with fatalities; protest mobilization stands out |
| Tunisia | 75 | 59 | 65 | 30 | 60.00 | +1.30 | Food import dependence and fragile public finances |
| Bangladesh | 71 | 61 | 58 | 40 | 59.70 | +1.30 | Food and energy imports; unstable politics |
| Peru | 64 | 74 | 61 | 30 | 59.10 | +1.40 | Calmed for now by a fuel subsidy, but public finances have worsened |
| Türkiye | 72 | 46 | 48 | 45 | 55.30 | +0.95 | Chronic high inflation |
| Argentina | 70 | 63 | 55 | 20 | 55.25 | +0.95 | Austerity and falling real incomes |
| Zambia | 73 | 45 | 60 | 25 | 53.80 | +1.05 | Debt restructuring in progress and drought |
| Sri Lanka | 68 | 56 | 55 | 25 | 53.80 | +1.30 | Risk of a repeat of the 2022 crisis |
| Ghana | 68 | 49 | 52 | 25 | 51.45 | +1.30 | Cost-of-living pressure after debt restructuring |
| Philippines | 58 | 41 | 39 | 40 | 46.35 | +1.50 | Rice prices have become a political issue |
| Morocco | 61 | 46 | 40 | 25 | 45.85 | +1.30 | Lower farm output due to drought |
| Indonesia | 54 | 43 | 33 | 30 | 42.25 | +1.15 | Growing fiscal burden of subsidies |
SURI by country is a set of model estimates based on public information. It is not an official assessment or rating of any country. SURI = 0.35 Household Stress + 0.25 Protest Mobilization + 0.20 Government Fragility + 0.20 Conflict Transmission.
| Month | SURI ≥ 60 | SURI ≥ 75 | Simple average | Population-weighted | GDP-weighted | Maximum | Data |
|---|---|---|---|---|---|---|---|
| Jan | 6 | 1 | 53.15 | 53.38 | 47.80 | 83.20 | Country-level data |
| Jul | 9 | 2 | 61.25 | 61.88 | 55.21 | 89.35 | Country-level data |
| Aug | 10 | 5 | 62.67 | 63.34 | 56.52 | 90.80 | Country-level data |
| Component | Prior month | This month |
|---|---|---|
| Combat intensity | 85 | 85 |
| Escalation speed | 75 | 72 |
| State fragility | 65 | 67 |
| Food, energy, water | 75 | 79 |
| Refugees, cross-border | 82 | 83 |
| RCEI | 77.55 | 77.85 |
Strength of the chains
SCI rose from 77.2 to 78.8. Chain 2 rose from 4.8 to 4.9 and Chain 1 from 4.0 to 4.2.
| Chain | Prior month | This month | Change |
|---|---|---|---|
| Chain 1 Climate → farms → food → households → protests | 4.0 | 4.2 | +0.2 |
| Chain 2 Geopolitics → energy → inflation → rates → fiscal | 4.8 | 4.9 | +0.1 |
| Chain 3 High rates → fiscal room → subsidy cuts → unrest | 3.8 | 3.9 | +0.1 |
| Chain 4 Food, fuel → instability → FX → imported inflation | 4.0 | 4.0 | 0.0 |
| Chain 5 AI → hiring → youth income → spending, politics | 2.7 | 2.7 | 0.0 |
| SCI (average of chains × 20) | 77.2 | 78.8 | +1.6 |
Judgmental and objective compared
Judgmental GRCS4 rose, but objective proxy-GRCS fell from 67.2 to 65.1. The gap of +21.9 is beyond the ±15 threshold. The judgmental score weighs the continuing blockade and the objective score looks only at price levels, so the gap reflects both. In response we introduced a rule against ratcheting L from the next issue.
| Month | GRCS4 (judgmental) | proxy-GRCS (objective) | Historical percentile | Gap |
|---|---|---|---|---|
| Jan | 50.77 | 60.7 | 42.5 | −9.9 |
| Feb | 57.07 | 56.8 | 34.1 | +0.2 |
| Mar | 73.15 | 74.1 | 81.6 | −0.9 |
| Apr | 79.14 | 76.0 | 88.0 | +3.2 |
| May | 82.01 | 74.8 | 84.4 | +7.2 |
| Jun | 83.23 | 66.3 | 55.6 | +17.0 |
| Jul | 84.31 | 67.2 | 57.5 | +17.2 |
| Aug | 87.01 | 65.1 | 53.4 | +21.9 |
Prediction log
Each prediction is recorded with the probability at issue and judged when due. This issue added P-11 to P-15.
| ID | Prediction | Probability | Deadline | Status | Issued |
|---|---|---|---|---|---|
| P-01 | Protests over the cost of living or fuel with fatalities occur in at least three countries with SURI ≥ 60 | 0.65 | End-Nov 2026 | Open | MR-2026-07 |
| P-02 | The FAO Food Price Index reaches 135 or higher | 0.35 | End-Nov 2026 | Open | MR-2026-07 |
| P-03 | US HY OAS widens to 4.00% or more at a month-end | 0.20 | End-Nov 2026 | Open | MR-2026-07 |
| P-04 | FCO rises to 30 or higher (judged on v2.1 from September 2026) | 0.15 | End-Nov 2026 | Open | MR-2026-07 |
| P-05 | At least five countries introduce or expand food or fuel subsidies | 0.75 | End-Feb 2027 | Open | MR-2026-07 |
| P-06 | Germany, France, Italy, Spain or the UK announces an emergency climate-related fiscal measure of at least 0.2% of GDP | 0.55 | End-Dec 2026 | Open | MR-2026-07 |
| P-07 | At least five countries newly introduce food export restrictions (IFPRI) | 0.40 | End-Feb 2027 | Open | MR-2026-07 |
| P-08 | GRCS4 exceeds 85 | 0.45 | End-Dec 2026 | Hit Aug | MR-2026-07 |
| P-09 | A currency crisis (over 20% fall against the dollar in three months) occurs in at least two emerging economies | 0.40 | End-Jul 2027 | Open | MR-2026-07 |
| P-10 | European natural gas exceeds a monthly average of $20/MMBtu (World Bank) | 0.45 | End-Dec 2026 | Hit Aug | MR-2026-07 |
| P-11 | The FAO Food Price Index reaches 136.0 or higher | 0.45 | End-Jan 2027 | Open | MR-2026-08 |
| P-12 | US HY OAS widens to 3.50% or more at a month-end | 0.30 | End-Feb 2027 | Open | MR-2026-08 |
| P-13 | Tanker transits through the Strait of Hormuz recover to a monthly average of 20 per day or more | 0.25 | End-Feb 2027 | Open | MR-2026-08 |
| P-14 | At least four countries have SURI ≥ 75 for three months in a row | 0.50 | End-Dec 2026 | Open. Month 1 | MR-2026-08 |
| P-15 | European natural gas exceeds a monthly average of $25.0/MMBtu (World Bank) | 0.40 | End-Feb 2027 | Open | MR-2026-08 |
2 predictions have been judged, and all were hits. The average Brier score is 0.3025, worse than the coin-flip value of 0.25. A hit still scores badly when the stated probability was low. Misses are not counted until their deadlines arrive, so the hit rate at this point looks better than the true skill.
What to watch next month
In August only condition ③ of the five was met. Chain 1 is at 4.2.
| Condition | This month | Status |
|---|---|---|
| ① FFI stays above 75 | 71.10 | Not met |
| ② FCO rises two months in a row and exceeds 30 | 3.27 | Not met |
| ③ GRCS4 exceeds 85 | 87.01 | Met |
| ④ SURI ≥ 60 exceeds 12 countries | 10 | Not met |
| ⑤ Chain 1 reaches 4.5 | 4.2 | Not met |
If two or more are met at once, we consider a regime change.
Data revision record
- The FAO Food Price Index for July 2026 was revised from 131.1 to 130.8.
- FCO moved from v2.0 to v2.1 and past episodes were recalculated: June 2007 from 5 to 5.7, October 2008 from 100 to 95.6, February 2011 from 22 to 12.4, March 2020 from 78 to 62.1 and March 2022 from 35 to 21.2.
- Six indicators were added: term premium, EM spread proxy, dollar index proxy, SOFR−IORB, bank lending standards and commercial real estate delinquency.
- August proxy-GRCS was first 63.9 and is 65.1 under the unified IMF calculation.
Sources and limits
Limits of this report
- The full-sample test, an appendix to this issue, concluded that the model raises real-economy, social and supply-chain risk, with no evidence on financial crises. See Model Validation.
- We have not obtained real FAO indexes, cereal stock ratios, the number of countries with export restrictions, the Food Gap, Rhine water levels or the OFR financial stress index.
- Hormuz transits are estimates from press reports. The EM spread and the dollar index are proxy series.
- Copernicus C3S (global temperature anomaly)
- FAO (Food Price Index)
- World Bank Pink Sheet (grains, fertilizer, Brent, European gas)
- UNCTAD and press reports (Hormuz transit estimates)
- FRED: 30-year Treasury yield, DGS30
- FRED: 10-year term premium, THREEFYTP10
- FRED: EM spread proxy, BAMLEMHBHYCRPIOAS
- FRED: dollar index proxy, DTWEXBGS
- FRED: US HY OAS, BAMLH0A0HYM2
- FRED: VIX, VIXCLS
- FRED: SOFR (spread to IORB calculated)
- FRED: bank lending standards, DRTSCILM
- FRED: STLFSI4
- FRED: Chicago Fed NFCI and subindexes
- FRED: Fed lending, WLCFLL
- Challenger, Gray & Christmas (job cuts by reason)
- ACLED (protest and battle events, for confirmation)
- IPC (acute food insecurity, for confirmation)
- Caldara & Iacoviello (GPR, Geopolitical Risk Index)
- IMF (PFOODINDEXM, POILBREUSDM)