Financial market stress decreases for the fourth week in a row

11/7/2013

St. Louis Fed Financial Stress Index Chart

Financial market stress declined for the fourth week in a row, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Nov. 1, 2013, the STLFSI measured -0.794, which was slightly lower than the previous week’s value of -0.788.

 weekly change

Over the past week, six of the 18 indicators contributed negatively to the change in the STLFSI, while six indicators made positive contributions. The remaining six were unchanged.  For the second consecutive week, the largest negative contribution was made by the Merrill Lynch bond market volatility index (Mlynch_BMVI_1mo). The largest positive contribution over the past week was made by the equity market volatility index (VIX).

yearly change

The STLFSI was below its year-earlier level for the second week in a row, after being above its year-earlier level the three previous weeks. Over the past 52 weeks, 13 of the 18 indicators contributed negatively to the change in the STLFSI—the same number reported the previous week. Compared with a year earlier, the spread between yields on high-yield corporate bonds and 10-year U.S. Treasury securities (HighYield_CRS) made the largest negative contribution to the STLFSI, followed by the VIX. For the seventh straight week, the largest positive contribution was made by the expected inflation rate over the next 10 years (BIR_10yr).

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