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) has declined for the second consecutive week. For the week ending Feb. 26, the index measured -0.482, down from the previous week’s revised value of -0.372. In February, the index averaged -0.396, its highest level since December 2011.
Over the past week, 13 of the 18 indicators contributed negatively to the weekly change in the index, two more than the previous week. The two largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the expected average rate of inflation over the next 10 years (BIR_10yr). Three of the 18 indicators contributed positively to the weekly change in the index, three fewer than the previous week. The largest positive contribution was made by the yield on the Merrill Lynch Asset-Backed Master BBB-rated security (Mlynch_BBBAA).
Over the past year, 14 of the 18 indicators made a positive contribution to the index and three indicators made a negative contribution. For the fourth 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 by the yield spread between that same index and the 10-year U.S. Treasury security (HighYield_CRS). The largest negative contribution over the past year was made by the Merrill Lynch 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.