Last Week, Financial Stress Index Posted Largest Increase since August

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

Financial market stress rose sharply in the latest reporting week. For the week ending Dec. 11, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.691, up from the prior week’s revised value of -0.835. Last week’s increase was the fifth in the past six weeks and the largest since the week ending Aug. 28, 2015.

Over the past week, 13 of the 18 indicators contributed positively to the weekly change in the index, three more than the previous week. The largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS). Four of the 18 indicators contributed negatively to the weekly change in the index, one fewer than the previous week. The largest negative contribution was made by the yield on the 30-year Treasury (Treas30y).

Over the past year, 16 of the 18 indicators made a positive contribution to the index, three more than the previous week. For the fourth consecutive week, the largest positive contribution over the past year was made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). Large positive contributions over the past year were also made by the yield on corporate Baa-rated bonds (BAA) and by the HighYield_CRS. One indicator made a negative contribution over the past year, one fewer than the previous week.  The indicator was the J.P. Morgan Emerging Markets Bond Index Plus (EMBI).

Note that the St. Louis Fed will not send a press release about the index during the week of Dec. 21-25, though the data will be updated on Dec. 24 in the Federal Reserve Economic Data (FRED) database. The index will resume its usual release schedule on Dec. 31.

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