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 but still remains lower than its long-run average, based on the St. Louis Fed Financial Stress Index (STLFSI). For the week ending May 20, the index measured -0.975, an increase of 0.256 basis points of from the prior week’s revised value of -0.987.
Over the past week, 10 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 Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and by the Chicago Board Options Exchange Market Volatility Index (VIX). Seven of the 18 indicators contributed negatively to the change in the STLFSI, four fewer than the previous week. The two largest negative contributions were made by the yield spread between 3-month commercial paper and the 3-month Treasury bill (CPS_3mo) and by the yield spread between the 3-month Libor and the 3-month overnight index swap (Libor OIS_3mo).
Over the past year, 13 of the 18 indicators made a positive contribution to the index (the same as the past two weeks) and five indicators made a negative contribution to the index (also the same as the past two weeks). For the 16th 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 14th 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.