St. Louis Fed Financial Stress Index up slightly from previous week

8/8/2013

St. Louis Fed Financial Stress Index Chart

Financial market stresses remained appreciably lower than average in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Aug. 2, 2013, the STLFSI measured -0.570, slightly higher than its level from the previous week (-0.601).

weekly change

As seen in the chart above, over the past week seven of the 18 indicators that are used to construct the STLFSI decreased from the previous week, nine made positive contributions and two were unchanged. Unlike the previous three weeks, the Merrill Lynch bond market volatility index (Mlynch_BMVI_1mo) contributed positively and made the largest contribution to the STLFSI. The next-largest contribution was also positive and made by the Merrill Lynch High-Yield Corporate Master II Index yield (Mlynch_HighYld_MasterII). The largest negative contribution was made by the spread between the 3-month commercial paper yield and the 3-month Treasury bill rate (CPS_3mo).

yearly change

As seen in the second chart above, continuing the pattern that has developed since mid-June 2012, the STLFSI continues to track below zero. Over the past 52 weeks, 12 of the 18 components made negative contributions to the index. This is the same number reported in last week’s release. Like last week, the two largest negative contributions were made by the spread between yields on high-yield corporate bonds and 10-year Treasury securities (HighYield_CRS) and the spread between yields on corporate Baa-rated bonds and 10-year Treasury securities (Corp_CRS).

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