Financial Market Stress Declines for Fifth Consecutive Week

Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

Financial market stress fell for the fifth consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Feb. 20, 2015, the STLFSI measured -0.958, its lowest level in seven weeks and down modestly from the previous week’s revised value of -0.933.

Over the past week, eight of the 18 indicators contributed positively to the STLFSI, two fewer than the previous week. Like last week, the largest positive contribution was made by the yield on corporate Baa-rated bonds (BAA), followed by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Seven of the 18 indicators contributed negatively to the weekly change in the STLFSI, two more than the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS). These two indicators also made the largest negative contributions in the previous week.

Over the past year, 11 of the 18 indicators made a positive contribution to the index, the same as the previous week. Like last week, the largest positive contributions over the past year were made by the Mlynch_BMVI_1mo and the expected inflation rate over the next 10 years (BIR_10yr). Seven indicators made a negative contribution over the past year, also the same as last week. The largest negative contribution over the past year was made by the BAA.

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.