St. Louis Fed Financial Stress Index Dips to Lowest Point since November

4/28/2016

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

Financial market stress continues to trend lower, based on the St. Louis Fed Financial Stress Index (STLFSI). For the week ending April 22, the index measured -0.924, modestly lower than the previous week’s revised value of -0.864. The index has declined for nine of the past 10 weeks and has fallen to its lowest level since the week ending Nov. 6, 2015.

STLFSI Weekly Change graph

Over the past week, 10 of the 18 indicators contributed negatively to the change in the index, one fewer than the previous week. For the second consecutive week, the two largest negative contributions 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). The Chicago Board Options Exchange Market Volatility Index (VIX) also made a large negative contribution. Seven 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 three-month commercial paper rate and the three-month Treasury bill (CPS_3mo) and by the 30-year Treasury security (Treas30y).

STLFSI Yearly Change Graph

As in the previous week, 15 of the 18 indicators made a positive contribution to the index over the past year, and three indicators made a negative contribution to the index. For the 12th consecutive week, the two largest positive contributions over the past year were made by the HighYield_CRS and by the Mlynch_HighYld_MasterII. For the 10th consecutive week, the largest negative contribution was made by the bond market volatility index (Mlynch_BMVI_1mo).

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