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St. Louis Fed Financial Stress Index Rises Slightly

5/12/2016

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

Financial market stress rose slightly in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending May 6, the index measured -0.919, up from the previous week’s revised value of -0.954. The increase was the second in the past 12 weeks.

STLFSI Weekly Change graph

Over the past week, 12 of the 18 indicators contributed positively to the weekly change in the index, seven more than the previous week. The three largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX), by the yield spread between 3-month commercial paper and the 3-month Treasury bill (CPS_3mo) and by the financial markets’ expected inflation rate over the next 10 years (BIR_10yr). Six of the 18 indicators contributed negatively to the change in the index, six 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 Asset-Backed Master BBB-rated security (Mlynch_BBBAA).

STLFSI Yearly Change Graph

Over the past year, 13 of the 18 indicators made a positive contribution to the index (one fewer than the previous week) and five indicators made a negative contribution to the index (one more than the previous week). For the 14th 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 12th 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.