Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress declined for the second week since the start of 2015, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Jan. 30, the STLFSI measured -0.883, down about 0.02 points from the prior week’s revised value of -0.861. Compared with the prior week’s decline, this one was broader and more evenly spread among indicators in the index.
Over the past week, 13 of the 18 indicators contributed negatively to the change in the STLFSI, five more than the previous week. The largest negative contribution came from the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed closely by the expected inflation rate over the next 10 years (BIR_10yr) and the yield on corporate Baa-rated bonds (BAA). Five of the 18 indicators contributed positively to the weekly change, the same number as the previous week. The largest positive contribution was made by the Chicago Board Options Exchange Market Volatility Index (VIX), which measures equity market volatility.
Over the past year, 10 of the 18 indicators have made a positive contribution to the index and eight indicators have made a negative contribution, the same numbers as the previous three weeks. Once again, the largest positive contribution over the past year came from the BIR_10yr and the largest negative contribution came from the BAA.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.