Financial Market Stress Reaches Highest Level in More than Seven Months

The St. Louis Fed Financial Stress Index (STLFSI) rose for the third consecutive week. For the week ending Sept. 19, 2014, the STLFSI measured -1.189, up from the previous week’s revised value of -1.228. The index is at the highest level since the week ending Feb. 7, 2014. Year-to-date, the STLFSI has averaged -1.284, which is well below last year’s year-to-date average of -1.096.

Over the past week, 12 of the 18 indicators contributed positively to the change in the STLFSI, two fewer than the previous week. The largest positive contribution was made by the market-based measure of inflation expectations over the next 10 years (BIR_10yr). Four of the 18 indicators contributed negatively to the change in the STLFSI over the past week, three more than the previous week. The largest negative contribution was made by the Chicago Board Options Exchange Market Volatility Index (VIX).

Over the past year, 13 of the 18 indicators contributed negatively to the change in the STLFSI, which was one fewer than the previous week. For the 17th consecutive week, the largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Three of the 18 indicators made a positive contribution to the STLFSI over the past year, the same number as the previous week. The largest positive contribution to the STLFSI over the past year was made by the BIR_10yr.

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