Financial Market Stress Falls to All-Time Low for Second Time in Three Weeks

The St. Louis Fed Financial Stress Index (STLFSI) fell to an all-time low for the second time in three weeks. For the week ending June 13, 2014, the STLFSI measured -1.303, down modestly from the previous week’s revised value of -1.264.

Over the past week, nine of the 18 indicators contributed negatively to the weekly change in the STLFSI, three more than the previous week. The largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the expected inflation rate over the next 10 years (BIR_10yr). Five indicators contributed positively to the change in the STLFSI over the past week. The largest positive contribution was accounted for by the yield spread between 3-month commercial paper and 3-month Treasury bills (CPS_3mo).

Over the past 52 weeks, 15 of the 18 indicators contributed negatively to the change in the STLFSI, which was unchanged for the third straight week. Like last 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, two indicators contributed positively to the index—one more than the previous week. The largest positive contribution was made by the Treasury yield curve (YieldCurve_10yr3mo). The STLFSI was below its year-earlier level for For an explanation of the 18 component variables in the the fifth consecutive week.

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