Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress rose modestly in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending July 29, the index measured -1.130, up from the previous week’s revised value of -1.158. The increase is the first in six weeks.
Over the past week, 10 of the 18 indicators contributed positively to the change in the index, two more than in the previous week. For the second consecutive week, the two largest positive contributions were made by the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED); and by the difference between the three-month Libor rate and the three-month overnight index swap rate (LiborOIS_3mo). Eight of the 18 indicators contributed negatively to the change in the index, unchanged from the previous week. The largest negative contributions were made by the Merrill Lynch bond market volatility index (Mlynch_BMVI_1mo) and by the yield on Baa-rated corporate bonds (BAA).
Over the past year, 10 of the 18 indicators made a positive contribution to the index, one more than in the previous week. Eight indicators made a negative contribution to the index, one fewer than in the previous week. The two largest positive contributions over the past year were made by the LiborOIS_3mo and by the TED. For the second consecutive week, the two largest negative contributions were made by the BAA and 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.