St. Louis Fed Financial Stress Index Declines Modestly

6/16/2016

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

Financial market stress fell modestly in the latest reporting week, more than reversing the previous week’s slight increase. For the week ending June 10, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.027, down from the previous week’s revised value of -1.009. Year to date, the index has averaged -0.744, up considerably from the comparable period last year, -1.226.

STLFSI Weekly Change graph

Over the past week, nine of the 18 indicators contributed negatively to the change in the index, four fewer than in the previous week. The two largest negative contributions were made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and by the yield on Baa-rated corporate bonds (BAA). Nine of the 18 indicators contributed positively to the weekly change in the index, four more than in the previous week. The two largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the difference between the 3-month Libor rate and the 3-month overnight index swap rate (LiborOIS_3mo).

STLFSI Yearly Change Graph

Over the past year, 13 of the 18 indicators made a positive contribution to the index, one more than in the previous week. The largest positive contributions over the past year 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 financial market’s expected inflation rate over the next 10 years (BIR_10yr). Five indicators made a negative contribution to the index, one fewer than in the previous week. The two largest negative contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and by the Baa-rated corporate bond yield (BAA).

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