Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress has risen modestly for the second consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Aug. 5, the index measured -1.068, up from the previous week’s revised value of -1.133. Zero represents normal financial stress.
Over the past week, 12 of the 18 indicators contributed positively to the weekly change in the index, two more than in the previous week. The two largest positive contributions were made by the yield difference between the three-month commercial paper rate and the three-month Treasury bill (CPS_3mo); and by the difference between the three-month London Interbank Offering Rate and the three-month overnight index swap rate (LiborOIS_3mo). Six of the 18 indicators contributed negatively to the change in the index, two 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 Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).
Over the past year, nine of the 18 indicators made a positive contribution to the index, one fewer than in the previous week; nine indicators made a negative contribution to the index, one more than in the previous week. The two largest positive contributions over the past year were made by the LiborOIS_3mo and by the three-month Treasury-Eurodollar spread (TED). The two largest negative contributions were made by the yield on Baa-rated corporate bonds (BAA) and by the Mlynch_BMVI_1mo.
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.