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St. Louis Fed: Financial Market Stress Fell Modestly

2/25/2016

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) fell modestly in the latest reporting week, reversing about half of the previous week’s surge. For the week ending Feb. 19, the STLFSI measured -0.366, down from the previous week’s revised value of -0.245. Thus far in 2016, the STLFSI has averaged -0.437, appreciably higher than its average over the comparable period in 2015 (-1.112).

STLFSI Weekly Change graph

Over the past week, 11 of the 18 indicators contributed negatively to the weekly change in the STLFSI, six more than the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX), the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS).  Six of the 18 indicators contributed positively to the weekly change in the STLFSI, six less than the previous week. The largest positive contributions were made by the yield on Baa-rated corporate bonds (BAA) and the yield on the 30-year U.S. Treasury security (Treas30y).

STLFSI Yearly Change Graph

Over the past year, 14 of the 18 indicators made a positive contribution to the index, and four indicators made a negative contribution. These were unchanged from the previous week. For the third consecutive week, the two largest positive contributions over the past year were made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and the HighYield_CRS. The largest negative contribution over the past year was made by the bond market volatility index (Mlynch_BMVI_1mo), followed by the yield on the 10-year U.S. Treasury security (Treas10y).

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