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For the 10th Time in 11 Weeks, the St. Louis Fed Financial Stress Index Declines

5/5/2016

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

Financial market stress fell again in the latest reporting week, based on the St. Louis Fed Financial Stress Index (STLFSI). For the week ending April 29, the index measured -0.952, slightly lower than the previous week’s revised value of -0.926. The index has declined for 10 of the past 11 weeks; the latest reading is the lowest since the week ending Oct. 30, 2015.

STLFSI Weekly Change graph

Over the past week, 12 of the 18 indicators contributed negatively to the change in the index, two more than the previous week. The two largest negative contributions were made by the financial market’s expected inflation rate over the next 10 years (BIR_10yr) and by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).  Five of the 18 indicators contributed positively to the weekly change in the index, two fewer 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 on the 30-year Treasury security (Treas30y).

STLFSI Yearly Change Graph

Fourteen of the 18 indicators made a positive contribution to the index over the past year (one fewer than the previous week), and four indicators made a negative contribution to the index (one more than the previous week). For the 13th consecutive week, the two largest positive contributions over the past year were made by the difference 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 itself (Mlynch_HighYld_MasterII). For the 11th 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.