The first chart shows the index history back to January 1999, unsurprisingly the index drops during recessions due to the generally pro-cyclical nature of monetary policy (rates rise during boom times, and drop during recessions). It is also worth noting that we modeled four alternative GDP weighting methods (static weight from 2010, a static long term average, monthly phasing of annual data, and a moving average of the monthly phased annual data); while there were no considerable differences between the series, the fourth method makes most intuitive sense as it allows the expression of structural changes but without being too abrupt (which may cause noise).
No doubt there are further uses for the index, and other interesting correlations to examine; particularly through transforming the index data e.g. annual percentage change, periods of rising vs falling rates, etc. The data is available for you to use (please cite us as the source), please do let us know if you find any interesting links with the index.
Also stay tuned for more releases; we are presently working on building out history for the emerging market index, and have plans to expand the history for the developed market even further back (which may help provide more robust findings for use in forecasting and strategy).
Access the index data here: GMPRI-DM Data