Financial Market Stress Rises for Third Week

8/20/2015

Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

For the week ending Aug. 14, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.968, up modestly from the previous week’s revised value of -0.994.  The increase is the third in a row.  Year-to-date, the index has averaged -1.082, a marked increased from its average of -1.435 over the same period last year.  (Normal financial market conditions are represented by zero.)

STLFSI Weekly Change graph

Over the past week, eight of the 18 indicators contributed negatively to the weekly change in the index, one fewer than the previous week. The largest negative contributions were made by the yield spread between 3-month commercial paper and 3-month Treasury bills (CPS_3mo) and by the yield spread between 3-month Treasury bills and 3-month Eurodollars (TED). Seven indicators contributed positively to the weekly change, also one fewer than the previous week. The largest positive contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year Treasury security (HighYield_CRS).

STLFSI Yearly Change Graph

Over the past year, 12 of the 18 indicators made a positive contribution to the index and six indicators made a negative contribution—numbers that were unchanged from the previous week. For the fourth consecutive week, the two largest positive contributions over the past year were made by the BIR_10yr and by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). The two largest negative contributions over the past year were made by the S&P 500 Financials Index (SP500_FI) and by the yield on 30-year U.S. Treasury securities (Treas30y).

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.