Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress rose for the third consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending May 15, 2015, the index measured -1.092, a slight increase from the previous week’s revised value of -1.102. The index is at its highest level since the week ending March 20, 2015.
Over the past week, nine of the 18 indicators contributed positively to the weekly change in the index, three fewer than the previous week. The largest positive contribution was made by the expected inflation rate over the next 10 years (BIR_10yr), followed by the yield on corporate Baa-rated bonds (BAA). Seven of the 18 indicators contributed negatively to the index, three more than the previous week. The largest negative contribution over the past week was made by the Chicago Board Options Exchange Market Volatility Index (VIX), followed by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS).
Over the past year, 13 of the 18 indicators made a positive contribution to the index, two more than the previous week. Five indicators made a negative contribution, which was two fewer than the previous week. The largest positive contribution over the past year was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), and the largest negative contribution was made by the S&P 500 Financials Index (SP500_FI).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.