Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress has fallen for the second consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Oct. 16, the index measured -0.781, down modestly from the previous week’s revised value of -0.711. Measured on a four-week moving average basis, the index fell to its lowest level since the week ending Sept. 4.
Over the past week, 13 of the 18 indicators contributed negatively to the weekly change in the index, four more than the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Only two of the 18 indicators contributed positively to the weekly change in the index, six fewer than the previous week. The largest positive weekly contribution was made by the expected inflation rate over the next 10 years (BIR_10yr).
Over the past year, 11 of the 18 indicators made a positive contribution to the index, two fewer than the previous week. As in 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). Seven 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 equity and bond market volatility indexes—the VIX and the Mlynch_BMVI_1mo, respectively.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.