Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
The St. Louis Fed Financial Stress Index (STLFSI) measured -1.198 for the week ending April 17. The STLFSI declined for the fifth consecutive week and remained at its lowest level since the week ending Nov. 28, 2014. Year to date, the STLFSI has averaged -1.021, appreciably higher than its average over the comparable period in 2014 (-1.312).
Over the past week, 13 of the 18 indicators contributed negatively to the STLFSI, one more than the previous week. The largest negative contributions over the past week were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the Chicago Board Options Exchange Market Volatility Index (VIX). Three of the 18 indicators contributed positively to the weekly change in the STLFSI, three fewer than the previous week. The largest positive contribution was made by the difference between the yield on the 3-month U.S. Treasury bill and the 3-month Eurodollar rate (TED).
Over the past year, 11 of the 18 indicators made a positive contribution to the index, one more than last week. The largest positive contribution over the past year was made by the expected inflation rate over the next 10 years (BIR_10yr), followed by the Mlynch_BMVI_1mo. Seven indicators made a negative contribution to the index, one fewer than last week. 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.
The STLFSI measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.
How to interpret the index
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.
Note that the bar charts plot the change in the contribution from one week to the next or from the current week compared to the value 52 weeks earlier.
FRED (Federal Reserve Economic Data) is the main economic database of the Federal Reserve Bank of St. Louis.