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The week ending Sept. 26, 2014, was the fourth in a row in which the St. Louis Fed Financial Stress Index (STLFSI) rose. The index measured -1.137, remaining at its highest level since the week ending Feb. 7, 2014. Despite the recent upturn, the STLFSI continues to indicate lower-than-average levels of financial market stress.
Over the past week, eight of the 18 indicators contributed negatively to the change in the STLFSI, while seven of the 18 indicators contributed positively to the change in the index. However, all five of the series that receive the most weight in the index contributed positively over the past week. These are, in order of magnitude: the yield spread between the 3-month Libor and the overnight index swap (LiborOIS_3mo); the market-based measure of inflation expectations over the next 10 years (BIR_10yr); the yield spread between the Merrill Lynch High-Yield Corporate bond index and the 10-year Treasury security (HighYield_CRS); the yield on the Merrill Lynch High-Yield Corporate bond index (Mlynch_HighYld_MasterII); and the Chicago Board Options Exchange Market Volatility Index (VIX). The largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).
Over the past year, 12 of the 18 indicators contributed negatively to the change in the STLFSI, which was one fewer than the previous week, while four of the indicators contributed positively to the change in the index, one more than the previous week. The index has been below zero for 146 consecutive weeks.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.