Financial market stress fell to a six-week low over the past week. For the week ending April 11, 2014, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.084, down slightly from last week’s revised value of -1.065.
Over the past week, nine of the 18 indicators contributed negatively to the weekly change in the STLFSI, two more than the previous week. The largest negative contribution was accounted for 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). Six of the 18 indicators contributed positively to the change in the STLFSI over the past week. The largest positive contribution was made by the Chicago Board Options Exchange Market Volatility Index (VIX), followed by the Standard & Poor’s stock price index of financial institutions (SP500_FI).
Over the past 52 weeks, nine of the 18 indicators contributed negatively to the change in the STLFSI, one less than the previous week, and eight indicators contributed positively to the index. The number of positive contributors was the same as in the previous week. The largest negative contribution to the STLFSI over the past year was made by the spread between Baa-rated corporate bonds and 10-year U.S. Treasury securities (Corp_CRS). The largest positive contribution over the past year was accounted for by the expected inflation rate over next 1 0 years (BIR_10yr).
For an explanation of the 18 component variables in the
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.