Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial stress increased in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI), reversing the previous week’s decline. For the week ending June 17, the index measured -0.868, an increase of 0.162 from the previous week’s revised value and the largest increase in the index since Feb. 12, 2016. Still, the index remains below 0, which represents normal stress.
Over the past week, 10 of the 18 indicators contributed positively to the weekly change in the index, one more than in the previous week. The two largest positive contributions were made by the index’s measures of stock and bond market volatility: the Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Six indicators contributed negatively to the weekly change in the index, three fewer than in the previous week. The largest negative contribution was made by the Baa-rated corporate bond yield (BAA).
Over the past year, 13 of the 18 indicators made a positive contribution to the index, the same number as in the prior week. Five indicators made a negative contribution, which was also the same number as in the previous 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 VIX. The largest negative contribution was made by the BAA.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.