Financial Market Stress Rises Modestly over Previous Week

The St. Louis Fed Financial Stress Index (STLFSI) rose modestly over the previous week. This was the first increase in five weeks. For the week ending June 6, 2014, the STLFSI measured -1.256, up from the previous week’s revised value of -1.289. The STLFSI has been below zero for 127 consecutive weeks.

Over the past week, eight of the 18 indicators contributed positively to the weekly change in the STLFSI, while six indicators contributed negatively. The largest positive contribution was accounted for by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the expected inflation rate over the next 10 years (BIR_10yr). The largest negative contribution was made by the yield spread between high-yield corporate bonds and 10-year Treasury securities (HighYield_CRS).

The STLFSI was below its year-earlier level for the fourth consecutive week. Over the past 52 weeks, 15 of the 18 indicators contributed negatively to the change in the STLFSI, which was unchanged from the previous week. The largest negative contribution over the past year was made by the Mlynch_BMVI_1mo, followed by the yield spread between corporate Baa-rated bonds and 10-year Treasury securities (Corp_CRS). Over the past year, one indicator contributed positively to the index, which was one less than the previous week. The sole positive contribution was made by the Treasury yield curve (YieldCurve_10yr3mo).

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