Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Last week’s financial market stress was little changed from the previous week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending April 8, the index measured -0.814, down slightly from the previous week’s revised value of -0.810. The index has declined for seven of the past eight weeks after rising to its highest point in more than four years in the week ending Feb. 12, 2016.
Over the past week, nine of the 18 indicators contributed negatively to the change in the index, one fewer than the previous week. The two largest negative contributions were made by the yield on Baa-rated corporate bonds (BAA) and by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Nine of the 18 indicators contributed positively to the weekly change in the index, four more than the previous week. The two largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the yield spread between three-month commercial paper and three-month Treasury bills (CPS_3mo).
Over the past year, 14 of the 18 indicators made a positive contribution to the index and three indicators made a negative contribution to the index. For the 10th consecutive week, the two largest positive contributions over the past year were made by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS) and by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). For the eighth consecutive week, the largest negative contribution was made by the Mlynch_BMVI_1mo.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.