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Financial market stress fell modestly in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Nov. 14, 2014, the STLFSI measured -1.144, down from the previous week’s revised value of -1.142. This is the index’s fourth consecutive weekly decline.
Over the past week, nine of the 18 indicators contributed positively to the change in the STLFSI, one more than the previous week. The two largest positive contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and the yield spread between corporate Baa-rated bonds and 10-year U.S. Treasury securities (Corp_CRS). Six indicators made negative contributions over the past week, unchanged from the previous week. Like last week, the Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) made the two largest negative contributions to the weekly change in the STLFSI.
Over the past year, eight of the 18 indicators contributed positively to the change in the STLFSI and nine of the 18 indicators made a negative contribution to the index. These numbers are unchanged from the previous week. Also like last week, the largest positive contribution was made by the BIR_10yr and 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.