Financial Market Stress Declines for Second 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) has declined for the second consecutive week. For the week ending June 26, the index measured -1.053, a modest decline from the previous week’s revised value of -1.024.  The latest reading is the lowest in four weeks.

Over the past week, seven of the 18 indicators contributed positively to the weekly change in the index, one more than the prior week. The largest positive contributions were made by the yield on corporate Baa-rated bonds (BAA) and the yield on 30-year U.S. Treasury securities (Treas30y). Ten indicators contributed negatively to the weekly change in the index, unchanged from the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the expected inflation rate over the next 10 years (BIR_10yr).

Over the past year, 14 of the 18 indicators made a positive contribution to the index and four indicators made a negative contribution, both numbers unchanged from the prior week. Like the previous two weeks, 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. Also like the previous two weeks, 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.