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Financial Market Stress Rises Modestly

2/11/2016

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

The St. Louis Fed Financial Stress Index (STLFSI) rose in the latest reporting week. For the week ending Febr. 5, the index measured -0.472, up slightly  from the previous week’s revised value of -0.487. The increase was the  fourth  in the past five weeks. The index has risen sharply since its all-time low of -1.639, which  occurred during the week ending June 27, 2014.

STLFSI Weekly Change graph

Over the past week, 10 of the 18 indicators contributed positively to the weekly change in the index, seven more thanthe previous week. The two largest positive contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) 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).  Eight of the 18 indicators contributed negatively to the weekly change in the index, six fewer than the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the yield on Baa-rated corporate bonds (BAA).

STLFSI Yearly Change Graph

Over the past year, 16 of the 18 indicators made a positive contribution to the index, one more than the previous week. The largest positive contributions over the past year were made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and by the HighYield_CRS. Two indicators made a negative contribution over the past year, the same number as the prior week. For the ­­­­seventh consecutive week, the largest negative contribution over the past year was made by Mlynch_BMVI_1mo.

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