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 -1.009 for the week ending June 12, 2015, up modestly from the previous week’s revised value of -1.034 and its seventh consecutive weekly increase. The STLFSI, moreover, is up significantly over the previous year, when it measured -1.525 for the week ending June 13, 2014.
Over the past week, 12 of the 18 indicators contributed positively to the weekly change in the STLFSI, which was one more than last week. The largest positive contributions were made by the Merrill Lynch High Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and the yield on Baa-rated corporate bonds (BAA). Five indicators contributed negatively to the weekly change in the STLFSI, also one more than the previous week. The largest negative contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and the Chicago Board Options Exchange Market Index (VIX). The latter measures volatility in equity (stock) prices.
Over the past year, 14 of the 18 indicators made a positive contribution to the index and four indicators made a negative contribution. The largest positive contributions over the past year were made by the Merrill Lynch Bond Market Volatility Index (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.
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.