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Financial Market Stress Falls to Lowest Level in Three Months

3/12/2015

Financial market stress fell for the seventh consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending March 6, 2015, the STLFSI measured  -1.062, its lowest level since the week ending Dec. 5, 2014.

STLFSI Weekly Change graph

Over the past week, 11 of the 18 indicators contributed positively to the STLFSI, nine more than the previous week. The largest positive contribution was made by the yield on corporate Baa-rated bonds (BAA), followed by the yield on the Merrill Lynch Asset-Backed Master BBB-rated security (Mlynch_BBBAA). Three of the 18 indicators contributed negatively to the weekly change in the STLFSI, 13 fewer than the previous week. The largest negative contribution was made by the expected inflation rate over the next 10 years (BIR_10yr), followed by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).

STLFSI Yearly Change Graph

Over the past year, 10 of the 18 indicators made a positive contribution to the index and eight indicators made a negative contribution to the index. These numbers were unchanged from the previous week. For the seventh consecutive week, the largest positive contributions over the past year were made by the Mlynch_BMVI_1mo and the BIR_10yr. Like 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.