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Financial market stress inched higher over the past week, partially reversing the previous week’s modest decline. For the week ending April 4, 2014, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.058, up slightly from last week’s revised -1.068 value. The STLFSI has signaled below-average financial market stress (values below zero) on a continuous basis since the week ending Jan. 13, 2012.
Over the past week, eight of the 18 indicators contributed positively to the weekly change in the STLFSI, two more than the previous week. The largest positive contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the spread between yields on three-month commercial paper and three-month Treasury bills (CPS_3mo). Seven of the 18 indicators contributed negatively to the change in the STLFSI over the past week. The largest negative contribution was accounted for by the Chicago Board Options Exchange Market Volatility Index (VIX).
Over the past 52 weeks, 10 of the 18 indicators contributed negatively to the change in the STLFSI and eight indicators contributed positively to the index. The expected inflation rate over next 10 years (BIR_10yr) once again made the largest positive contribution to the STLFSI over the past year. For the 13th consecutive week, the largest negative contribution was made by the spread between Baa-rated corporate bonds and 10-year U.S. Treasury securities (Corp_CRS).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.