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.
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.