After Rising for Two Weeks, Financial Market Stress Declines Modestly

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

Financial market stress fell modestly in the latest reporting week after rising the previous two weeks. For the week ending Oct. 9, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.706, down modestly from the previous week’s revised value of -0.557. Year-to-date, the index has averaged -1.023. By contrast, the index averaged -1.440 over the same period in 2014.

Over the past week, nine of the 18 indicators contributed negatively to the weekly change in the index, two more than the previous week. The two largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the expected inflation rate over the next 10 years (BIR_10yr). Eight of the 18 indicators contributed positively to the weekly change in the index, two fewer than the previous week. The two largest positive contributions were made by the yield spread between 3-month commercial paper and 3-month Treasury bills (CPS_3mo) and by the yield on Baa-rated corporate bonds (BAA).

Over the past year, 13 of the 18 indicators made a positive contribution to the index, two fewer than the previous week. The two largest positive contributions over the past year were made by the BIR_10yr and by the yield spread between 10-year Treasury securities and Baa-rated corporate bonds (Corp_CRS). Five indicators made a negative contribution to the index, two more than the previous week. The two largest negative contributions over the past year were made by the yield on 10-year Treasury securities (Treas10y) and 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.