St. Louis Fed Financial Stress Index Declines Slightly

8/18/2016

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 Fed Financial Stress Index (STLFSI). For the week ending Aug. 12, the index measured -1.094, a decrease of 0.022 from the previous week’s revised value of -1.072. Zero represents normal financial stress.

STLFSI Weekly Change graph

Over the past week, 10 of the 18 indicators contributed negatively to the weekly change in the index, four more than in the previous week. The two largest negative contributions were made by the yield difference between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year Treasury (HighYield_CRS); and by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) itself. Five indicators contributed positively to the weekly change in the index, seven fewer 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 yield difference between the three-month London Interbank Offering Rate and the Overnight Index Swap spread (LiborOIS_3mo).

STLFSI Yearly Change Graph

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, one fewer than in the previous week. The largest positive contribution over the past year was made by the LiborOIS_3mo. The largest negative contribution was made by the yield on Baa-rated corporate bonds (BAA).

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