Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress eased in the latest reporting week after rising sharply over the previous two weeks. For the week ending Sept. 4, the St. Louis Fed Financial Stress Index measured -0.591, down modestly from the previous week’s revised value of -0.517 and the first decline since the week ending July 24.
Over the past week, 10 indicators contributed positively to the weekly change, two fewer than the previous week. The largest positive contribution was made by the three-month Treasury-Eurodollar yield spread (TED), followed by the yield spread between three-month commercial paper and the three-month Treasury bill (CPS_3mo). Eight of the 18 indicators contributed negatively to the weekly change in the STLFSI, four more than the previous week. The largest negative weekly contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the yield difference between the Merrill Lynch Corporate Master II Index and the 10-year Treasury bond (HighYield_CRS).
Over the past year, 14 of the 18 indicators made a positive contribution to the index, and four indicators made a negative contribution. These contributions were unchanged from the previous week. The largest positive contributions over the past year were made by the VIX, the expected inflation rate over the next 10 years (BIR_10yr) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). For the third straight week, the largest negative contribution was made by the yield on 30-year Treasury securities (Treas30y).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.