The FLight-to-safetY index, or FLY, measures variations in the demand for safe assets and flight-to-safety episodes at a global level. It is a news-based index, constructed by measuring coverage of safe-assets-related topics in the Financial Times and The Wall Street Journal. 

I created two versions of the index. The simple version is obtained by searching for mentions of a small set of hand-picked relevant bigrams. The full version is produced by searching for mentions of a full library of 100 bigrams, whose relevance to safe-assets discussions is inferred from their use in academic research. 

More details about the methodology can be found in the paper Safety Switches: The Macroeconomic Consequences of Time-Varying Asset Safety.

Wordcloud summarizing the relative importance of the bigrams in the full safe- assets library

Simple FLY index and Full FLY index comparison, with highlighted relevant events