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 sixth consecutive week and registered its largest one-week decline thus far this year. For the week ending Feb. 27, 2015, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.045, its lowest level since the week ending Dec. 5, 2014.
Over the past week, 16 of the 18 indicators contributed negatively to the weekly change in the STLFSI, nine more than the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the yield on corporate Baa-rated bonds (BAA). Two of the 18 indicators contributed positively to the STLFSI, six fewer than the previous week. The largest positive contribution was made by the Libor-OIS yield spread (3-month Libor less three-month overnight index swaps).
Over the past year, 10 of the 18 indicators made a positive contribution to the index, one fewer than the previous week. Like last week, the largest positive contributions over the past year were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the expected inflation rate over the next 10 years (BIR_10yr). Eight indicators made a negative contribution over the past year, one more than last week. The largest negative contribution over the past year was made by the BAA, followed by the yield on 30-year Treasury securities (Treas30y).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.