Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial stress declined slightly in the latest reporting week, according to the St. Louis FedFinancial Stress Index (STLFSI). For the week ending July 1, the index measured -0.928, a decrease of 0.014 from the previous week’s revised value of -0.914. Zero represents normal financial stress.
Over the past week, eight of the 18 indicators contributed negatively to the weekly change in the index, one fewer than in the previous week. The two largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the Baa-rated corporate bond yield (BAA). Nine indicators contributed positively to the weekly change in the index, two more than in the previous week. The largest positive contribution was made by the difference between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS).
Over the past year, 12 of the 18 indicators made a positive contribution to the index, one fewer than in the previous week. Six indicators made a negative contribution, one more than in the previous week. The largest positive contribution over the past year was made by the HighYield_CRS. 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.
The STLFSI measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.
How to interpret the index
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.
Note that the bar charts plot the change in the contribution from one week to the next or from the current week compared to the value 52 weeks earlier.
FRED (Federal Reserve Economic Data) is the main economic database of the Federal Reserve Bank of St. Louis.