Financial Market Stress Declines for the First Time in Four Weeks

12/3/2015

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. For the week ending Nov. 27, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.860, down from the prior week’s revised value of -0.826.  The decline is the first in four weeks. 

STLFSI Weekly Change graph

Over the past week, 11 indicators contributed negatively to the weekly change in the index, five 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). Five of the 18 indicators contributed positively to the weekly change in the index, three fewer than the previous week. The largest positive contributions were made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and by the yield differential between that same index and the 10-year Treasury security (HighYield_CRS).

STLFSI Yearly Change Graph

Over the past year, 13 of the 18 indicators made a positive contribution to the index, one more than the previous week. As in the previous week, the two largest positive contributions over the past year were made by the Mlynch_HighYld_MasterII and by the HighYield_CRS. Four indicators made a negative contribution over the past year, two fewer than the previous week. Just as in the prior week, 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.