Research Framework
The DLI Liquidity Score synthesizes structural data from the Federal Reserve system and capital markets through a four-stage quantitative pipeline:
Direct integration with FRED, US Treasury Fiscal Data, and NY Fed Markets APIs — automated ingestion with cross-frequency alignment
The headline spine — net liquidity (Fed balance sheet − TGA − ON RRP) — is measured as a smoothed 6-month-equivalent flow; the credit and market-risk context tiers use rolling 5-year tightness percentiles. Indicator pages also show 10-year median/MAD z-scores for magnitude context
The 10 tracked indicators are grouped into 4 transmission tiers shown on the Liquidity Map: Policy/Reserves, Funding/Plumbing, Credit/Intermediation, Risk/Price. The headline is driven by the first two — the net-liquidity flow (Policy) and an acute funding-stress override (Funding: the SOFR-IORB spread and SRF usage). The credit and market-risk tiers are shown as context and do not feed the headline directly.
The net-liquidity flow maps to an impulse (loose when liquidity expands, tight when it drains); the acute funding-stress override is combined via a noisy-OR and EWMA-smoothed, yielding an absolute 0-100 headline. Below 33 is loose (risk-on); above 67 is tight (risk-off). The score is an absolute level — not a percentile — so it means the same thing across cycles. Important: the DLI is a dollar-liquidity stance gauge over weeks to months, not a market-stress or crisis detector.
The site tracks 12 indicators; 10 core ones form 4 tiers with group weights Policy/Reserves 65%, Funding/Plumbing 10%, Credit/Intermediation 5%, Risk/Price 20%. DLI remains one single headline score for the policy-and-plumbing stance over weeks to months. The policy tier scores Fed balance sheet, TGA, and a conditional ON RRP depletion-transition signal; ON RRP participates only when the balance has recently fallen sharply toward a low-buffer state, and exits the daily group average once a depleted balance has stabilized.
ネット流動性とM2は参考用です。DLIは基礎となる政策レバー（FRBバランスシート、TGA、条件付きON RRP枯渇移行シグナル）を直接スコア化します。
| Tier | Weight | Indicator | Tightening Signal |
|---|---|---|---|
| 政策 / 準備金 | 65% | FRB 総資産 | ↓ Falling = Tighter liquidity |
| TGA 残高 | ↑ Rising = Tighter liquidity | ||
| ON RRP 残高 | Conditional depletion signal: active only on recent sharp drawdowns | ||
| 資金調達 / 配管 | 10% | SOFR-IORB | ↑ Rising = Tighter liquidity |
| SRF 利用額 | ↑ Rising = Tighter liquidity | ||
| 信用 / 仲介 | 5% | 現金バッファー | ↓ Falling = Tighter liquidity |
| HY スプレッド | ↑ Rising = Tighter liquidity | ||
| リスク / 価格 | 20% | VIX 指数 | ↑ Rising = Tighter liquidity |
| ドル指数 | ↑ Rising = Tighter liquidity | ||
| 10Y 実質利回り | ↑ Rising = Tighter liquidity |
The DLI Score uses fixed absolute thresholds on the 0-100 scale to classify liquidity: below 33 is loose, 33–67 neutral, above 67 tight. An absolute score (rather than a rolling percentile) keeps the meaning consistent across macro cycles.
| Score | Liquidity Condition | Risk Bias (Secondary) | Interpretation |
|---|---|---|---|
| < 33 | Loose | Risk-seeking tilt | Loose liquidity — generally favorable for risk assets |
| 33 – 67 | Neutral | Balanced | Conditions in the mid-range — watch marginal shifts and drivers |
| > 67 | Tight | Defensive tilt | Significantly tight liquidity — risk assets face strong headwinds |
Liquidity indicators carry 1-7 days of release lag, and the indicators themselves move daily. A regime label at t therefore does not constrain asset performance at t+20 — by then the DLI itself has moved into a different state.
Current State
DLI tells you whether dollar liquidity right now is loose, neutral, or tight. That is what it is built for.
Coincident Correlation (≤10d)
If DLI tracks real liquidity, it shows up as coincident correlation within ~10 days. Beyond that horizon, the indicators themselves have drifted.
No Forward Prediction
We deliberately do not show "average 20 / 60-day forward returns under each regime" — those numbers mix unrelated states and produce spurious signals.
Central-bank financial-conditions / liquidity indices (Chicago Fed NFCI, ECB CISS, etc.) are validated contemporaneously, not by forward returns. The DLI is the same kind of object — a policy-and-plumbing-driven coincident *stance* index — so the right test is coincident correlation (the asset view shows the 1 / 5 / 10 / 20-day decay), not forward backtests. To be clear: the DLI is not equivalent to a market-stress or crisis index — it measures how loose or tight the liquidity stance is, not the acute-stress events themselves.
This site is for informational and educational purposes only. It does not constitute financial advice. All data comes from public sources; we do not guarantee completeness or timeliness. Investment decisions should be based on personal research and professional consultation.