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 has fallen for the fourth consecutive week, bringing it to its lowest level this year. For the week ending March 11, the index measured -0.651, down slightly from the previous week’s revised value of -0.612.
Over the past week, eight of the 18 indicators contributed negatively to the change in the index, three fewer than the previous week. The two largest negative contributions were made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and by the yield spread between Baa-rated corporate bonds and the 10-year U.S. Treasury security (Corp_CRS). Eight of the 18 indicators contributed positively to the weekly change in the index, one more than the previous week. The two largest positive contributions were made by the yield spread between the 3-month Treasury bill and the 3-month commercial paper rates (CPS_3mo) and 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 four indicators made a negative contribution. For the sixth consecutive week, the two largest positive contributions over the past year were made by the Mlynch_HighYld_MasterII and by the yield spread between that same index and the 10-year U.S. Treasury security (HighYield_CRS). For the fourth consecutive week, the largest negative contribution over the past year was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). The next largest negative contribution came from the emerging market bond index (EMBI).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.
The STLFSI measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.
How to interpret the index
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.
Note that the bar charts plot the change in the contribution from one week to the next or from the current week compared to the value 52 weeks earlier.
FRED (Federal Reserve Economic Data) is the main economic database of the Federal Reserve Bank of St. Louis.