The St. Louis Fed Financial Stress Index (STLFSI) fell modestly over the week ending Dec. 13, 2013, partially reversing the previous week’s increase. The STLFSI has moved within a relatively narrow range since the week ending Oct. 25, 2013.
Over the past week, 10 of the 18 indicators contributed negatively to the change in the STLFSI, while seven indicators made positive contributions. The largest negative contribution was made by the Merrill Lynch bond market volatility index (Mlynch_BMVI_1mo), followed by the spread between Baarated corporate bonds and 10-year Treasury securities (Corp_CRS). The indicator registering the largest positive contribution over the previous week was the CBOE market volatility index (VIX).
For the second consecutive week, financial market stress was above its level from a year earlier. Over the past 52 weeks, 12 of the 18 indicators contributed negatively to the change in the STLFSI, one more than in the previous week. For the seventh consecutive week, the spread between yields on high-yield corporate bonds and 10-year Treasury securities (HighYield_CRS) made the largest negative contribution to the STLFSI. For the 13th straight week, the largest positive contribution to the STLFSI over the past year was made by the expected inflation rate over the next 10 years (BIR_10yr).
NOTE: The STLFSI news release will not be published next week. The next release will be issued on Jan. 2, 2014.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.