St. Louis Fed Financial Stress Index ticks up to -0.32 from previous week's -0.39

June 27, 2013

St. Louis Fed Financial Stress Index Chart

For the week ending June 21, 2013, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.32, as seen in the chart above. The STLFSI thus continues to signal below-average levels of financial market stress. Still, the STLFSI has risen noticeably (that is, become less negative) since the week ending May 10, 2013. Although the STLFSI has risen to its highest level in about 10 months, the index remains well below its recent peak registered in early October 2011.

weekly change

As seen in the chart above, 9 of the 18 indicators used to construct the STLFSI increased from the previous week. This is a slight improvement from the previous week, when 12 of the 18 indicators had increased. For the week ending June 21, three of the STLFSI’s components registered relatively large positive contributions. In order of magnitude, these were (i) Merrill Lynch bond market volatility index; (ii) the expected inflation rate over the next 10 years; and (iii) the Chicago Board Options Exchange Market Volatility Index (VIX). The component registering the largest negative contribution to the STLFSI over the previous week was the yield spread between the 3-month LIBOR and the Overnight Index Swap (OIS).

yearly change

The STLFSI remains below its level from a year earlier, as seen in the chart above. A year ago the STLFSI was essentially indicating “normal” levels of financial stress (-0.01). Over the past 52 weeks, 11 of the 18 components have made negative contributions to the index, of which, the largest has been the spread between the Merrill Lynch High-Yield Corporate Master II index and the 10-year U.S. Treasury security.

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.

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