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St. Louis Fed Financial Stress Index Declines Modestly

6/2/2016

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

Financial market stress fell in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending May 27, the index measured -1.005, down modestly from the previous week’s revised value of -0.978. The latest reading is the lowest since the week ending Aug. 14, 2015.

STLFSI Weekly Change graph

Over the past week, nine of the 18 indicators contributed negatively to the change in the index, two more than in the prior week. The two largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS). Seven of the 18 indicators contributed positively to the weekly change in the index, three fewer than in the prior week. The two largest positive contributions were made by the yield spread between 3-month commercial paper and the 3-month Treasury bill (CPS_3mo) and by the expected inflation rate over the next 10 years embedded in Treasury securities (BIR_10yr).

STLFSI Yearly Change Graph

Over the past year, 13 of the 18 indicators made a positive contribution to the index and five indicators made a negative contribution to the index. For the 17th consecutive week, the two largest positive contributions over the past year were made by the HighYield_CRS and the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). For the 15th consecutive week, the largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). The next-largest negative contribution over the past year was made by the J.P. Morgan Emerging Markets Bond Index Plus (EMBI).

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