The St. Louis Fed Financial Stress Index (STLFSI) rose appreciably in the latest reporting week, reaching its highest level since the week ending April 4, 2014. For the week ending Aug. 8, 2014, the STLFSI measured -1.202, an increase from the previous week’s revised value of -1.288. Last week’s increase was the fifth in the past six weeks.
Over the past week, nine of the 18 indicators contributed positively to the weekly change in the STLFSI, which was four fewer than the previous week. Like the previous week, the two largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the spread between high-yield corporate bonds and 10-year Treasury securities (HighYield_CRS). Six of the 18 indicators contributed negatively to the change in the STLFSI over the past week, five more than the previous week. The largest negative contribution over the past week was made by the yield spread between the 3-month London Interbank Offering Rate and 3-month Overnight Index Swaps (LiborOIS_3mo).
Over the past year, 12 of the 18 indicators contributed negatively to the change in the STLFSI and four indicators contributed positively. For the 11th consecutive week, the largest negative contribution over the past year was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). For the second consecutive week, the largest positive contribution over the past year was made by the VIX.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.