Mengerian Stress Index
Composite Z-weighted diagnostic for substitute-layer integrity. Per Forum #12: paper-physical premium (PPP), repo haircut dispersion (RHD), FX cross-currency basis (CCB), and ETF NAV deviation (ENV). OTROFF is named in the framework spec but not yet in the live composite.
Mengerian Stress Index
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Source articles
Forum #12 — The Mengerian Stress Index Dashboard →Methodology
The Mengerian Stress Index (MSI) is a composite Z-weighted diagnostic of substitute-layer integrity — the degree to which paper claims, derivative wrappers, and funding-market substitutes continue to trade at par with the underlying goods they reference. The full construction is published in Forum #12.
The composite combines five normalized components: the Paper-Physical Premium (PPP), the Repo Haircut Dispersion (RHD), the FX Cross-Currency Basis (CCB), the on/off-the-run 10-year Treasury spread (OTROFF), and ETF NAV Deviation (ENV). Each is Z-scored against its baseline and the composite is the framework-weighted aggregate of those Z-scores. ENV is specified but not yet live pending a NAV data source; the weights are re-normalized across the active components so the composite scale stays comparable.
Data Sources
- PPP component
- COMEX paper market vs. physical-market dealer quotes (gold, silver)
- RHD component
- NY Fed Tri-Party Repo median haircuts by collateral group
- CCB component
- CME currency futures (EUR, GBP, JPY, CHF) vs. ESTR / SONIA / TONA / SARON vs. SOFR
- OTROFF component
- On/off-the-run 10Y Treasury spread from Treasury EOD per-CUSIP prices
- ENV component
- End-of-day NAV deviation across LQD, HYG, MBB, EMB, BKLN, GOVT (control), TLT
- Update cadence
- Composite recomputed every 30 minutes during U.S. market hours; OTROFF daily after the Treasury EOD file posts
- Historical retention
- Daily composite and component readings retained continuously since instrument launch
How to Interpret
The MSI is read by regime, not by absolute level. A composite Z-score near zero indicates substitute-layer integrity at long-run norms. Sustained elevation above +1 standard deviation in any single component is a localized stress signal — useful for identifying which leg of the substitute architecture is under pressure.
Sustained elevation in two or more components simultaneously is the framework's primary aggregate stress warning — the configuration that has historically preceded substitute-layer ruptures rather than priced-in repricings. The composite is designed to surface the cross-domain coincidence that single-market indicators miss.
How to Cite
Researchers, journalists, and analysts citing this instrument are welcome to use the formats below. Replace [date of retrieval] with the date you retrieved the reading.
Prose
New Austrian Economics, Mengerian Stress Index, retrieved [date of retrieval], https://newaustrianeconomics.com/toolkit/mengerian-stress-index
Academic (APA)
New Austrian Economics. (2026). Mengerian Stress Index [Data analysis tool]. Retrieved [date of retrieval] from https://newaustrianeconomics.com/toolkit/mengerian-stress-index
One-liner
per the Mengerian Stress Index at newaustrianeconomics.com