Financial Market Stress Rises for First Time in Seven Weeks

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

Financial market stress increased slightly last week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending May 1, 2015, the STLFSI measured -1.208, up from the prior week’s revised value of -1.236. The week’s change marks the first increase in seven weeks.

Over the past week, 12 of the 18 indicators contributed positively to the change in the STLFSI, five more than the previous week. Consistent with the prior week, the largest positive contribution was made by the yield on corporate Baa-rated bonds (BAA). The second-largest positive contribution came from the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Four of the 18 indicators contributed negatively to the weekly change, four fewer than the previous week. The largest negative contribution was made by the expected inflation rate over the next 10 years (BIR_10yr).   

Over the past year, 11 of the 18 indicators made a positive contribution to the index, unchanged from the previous week. The largest positive contribution was made by the Mlynch_BMVI_1mo. Seven of the 18 indicators made a negative contribution over the past year, also unchanged from the previous week. The largest negative contribution was made by the yield on the 30-year U.S. Treasury (Treas30y).

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