Financial Market Stress Rises for First Time in Five Weeks

According to the St. Louis Fed Financial Stress Index (STLFSI), financial market stress in the latest reporting week rose for the first time in five weeks. For the week ending Nov. 21, 2014, the STLFSI measured -1.088, up modestly from the previous week’s revised value of -1.149. The STLFSI has been below zero for 155 consecutive weeks.

Over the past week, eight of the 18 indicators contributed positively to the change in the STLFSI, one fewer 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 two weeks. The largest negative contribution to the weekly change in the STLFSI was made by the yield spread between 3-month Libor and overnight index swaps (LiborOIS_3mo).

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. 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.