The St. Louis Fed Financial Stress Index (STLFSI) rose sharply in the latest reporting week. For the week ending Oct. 17, 2014, the STLFSI measured -0.827, up from the previous week’s value of -1.068. The most recent change (0.241 percentage points) was significant—nearly two standard deviations in magnitude. The STLFSI has risen for seven consecutive weeks and is at its highest level since the week ending Sept. 13, 2013. Still, the level of financial market stress remains below average.
Over the past week, seven of the 18 indicators contributed positively to the change in the STLFSI, one fewer than the previous week. For the third consecutive week, the STLFSI’s bond and equity market volatility components—the Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo)—made the two largest positive contributions to the weekly change. Ten of 18 indicators contributed negatively to the change in the STLFSI, one more than the previous week. Most of the negative contributions were relatively small in magnitude.
Over the past year, seven of the 18 indicators contributed positively to the change in the STLFSI, one more than the previous week. The largest positive contribution was made by the VIX. Nine of the 18 indicators made a negative contribution to the STLFSI over the past year, two fewer than the previous week. The largest negative contribution was made by the yield on corporate Baa-rated bonds (BAA).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.