Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress has declined for the second consecutive reporting week. For the week ending Sept. 11, the St. Louis Fed Financial Stress Index measured -0.680, down modestly from the previous week’s revised value of -0.595. Year to date, the index has averaged -1.047, significantly higher than the same period last year (-1.446).
Over the past week, 10 indicators contributed negatively to the weekly change, two more than the previous week. The largest negative contributions were made by the index’s two volatility measures: the Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Seven of the 18 indicators contributed positively to the weekly change in the index, three fewer than the previous week. The largest positive weekly contributions were made by the yield on 30-year Treasury securities (Treas30y) and by the yield on 10-year Treasury securities (Treas10y).
Over the past year, 14 of the 18 indicators made a positive contribution to the index and four indicators made a negative contribution. For the second consecutive week, the three largest positive contributions over the past year were made by the VIX, by the expected inflation rate over the next 10 years (BIR_10yr) and by the Mlynch_BMVI_1mo. For the fourth straight week, the largest negative contribution was made by the Treas30y.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.