Financial Market Stress Rises for First Time in Five Weeks

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

Financial market stress rose slightly in the latest reporting week—the first increase in five weeks. For the week ending Nov. 6, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.880, up 0.004 basis points from the prior week’s revised value of -0.884. 

Over the past week, nine of the 18 indicators contributed positively to the weekly change in the index,  four more than the previous week. The largest positive contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and by the yield on Baa-rated corporate bonds (BAA). Seven indicators contributed negatively to the weekly change,  four fewer than the prior week. The two largest negative contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and by the yield differential between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year Treasury security (HighYield_CRS).

Over the past year, 12 of the 18 indicators made a positive contribution to the index and six indicators made a negative contribution. These numbers were unchanged from the previous week. The two largest positive contributions over the past year were made by the BIR_10yr and by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). The largest negative contribution over the past year was made by the J.P. Morgan Emerging Markets Bond Index Plus (EMBI).

For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.