Financial Market Stress Rises for First Time in Seven Weeks

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

Financial market stress edged up in the latest reporting week after falling in the previous six weeks. For the week ending April 1, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.808, up slightly from the previous week’s revised value of -0.844.

Over the past week, 10 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 yield on Baa-rated corporate bonds (BAA) and by the Chicago Board Options Exchange Market Volatility Index (VIX). Five of the 18 indicators contributed positively to the weekly change in the index, two more than the previous week. The two largest positive contributions were made by the yield spread between 3-month Treasury bills and 3-month Eurodollar rates (TED) and by the yield spread between 3-month commercial paper and 3-month Treasury bills (CPS_3mo).

Over the past year, 14 of the 18 indicators made a positive contribution to the index, and four indicators made a negative contribution to the index. These totals were unchanged from the previous week. For the ninth 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 difference between that rate and the 10-year U.S. Treasury security (HighYield_CRS). For the seventh consecutive week, the largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).

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