Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress declined last week for the third week in a row, according to the St. Louis Fed Financial Stress Index. For the week ending Sept. 18, the index measured -0.715, a modest decline from the previous week’s revised value of -0.684. Four weeks ago, the index reached its highest point in more than 3 ½ years, hitting a revised value of -0.525.
Over the past week, 11 of the 18 indicators contributed positively to the weekly change in the index, four more than the previous week. The two largest positive weekly contributions were made by the interest-rate differential between the 3-month Libor rate and the overnight index swap rate (LiborOIS_3mo) and by the yield on corporate Baa-rated bonds (BAA). Five indicators made a negative contribution over the past week, five fewer than the previous week. The two 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).
Over the past year, 13 of the 18 indicators made a positive contribution to the index, one fewer than the previous week. Five indicators made a negative contribution, one more than the previous week. For the third consecutive week, the two largest positive contributions over the past year were made by the VIX and by the expected inflation rate over the next 10 years (BIR_10yr). The two largest negative contributions were made by the yields on 10-year Treasury securities (Treas10y) and on 30-year Treasury securities (Treas30y).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.