Financial Market Stress Rises for Sixth Consecutive Week

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 -1.031 for the week ending June 5, 2015. The index rose for the sixth consecutive week and was at its highest level since the week ending Feb. 20, 2015. Year to date, the index has averaged -1.076, up from the average of -1.373 for same period in 2014.

Over the past week, 11 of the 18 indicators contributed positively to the weekly change in the index, four more than last week. The largest positive contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the yield on Baa-rated corporate bonds (BAA). Four indicators contributed negatively to the weekly change in the index, five fewer than the previous week. The largest negative contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and the difference between the yield on 3-month Treasury securities and 3-month Eurodollars (TED).

Over the past year, 13 of the 18 indicators made a positive contribution to the index and five indicators made a negative contribution, the same as in the previous three weeks. The largest positive contributions over the past year were made by the Mlynch_BMVI_1mo and the BIR_10yr. 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.