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Financial Market Stress Rises for Seventh Consecutive Week

6/18/2015

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.

STLFSI Weekly Change graph

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.

STLFSI Yearly Change Graph

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.