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St. Louis Fed Financial Stress Index Falls to Lowest Level in Four Weeks

8/25/2016

Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

Financial market stress fell for a second consecutive week, bringing it to its lowest level in four weeks, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Aug. 19, the index measured -1.145, down modestly from the previous week’s revised value of -1.097. Zero represents normal financial stress.

STLFSI Weekly Change graph

Over the past week, 10 of the 18 indicators contributed negatively to the change in the index, the same number as in the previous week. As in the previous week, the largest negative contributions were made by the yield difference between the three-month commercial paper rate and the three-month Treasury bill (CPS_3mo) and the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury (HighYield_CRS). Five of the 18 indicators contributed positively to the weekly change in the index, also the same number as the previous week. The two largest positive contributions were from the Chicago Board Options Exchange Market Volatility Index (VIX) and expected inflation rate over the next 10 years (BIR_10yr).

STLFSI Yearly Change Graph

Over the past year, 10 of the 18 indicators made a positive contribution and eight indicators made a negative contribution to the index. The largest positive contributions over the past year were made by the difference between the three-month London Interbank Offering Rate and the three-month Overnight Index Swap spread (LiborOIS_3mo) and the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED). The two largest negative contributions were made by the yield on Baa-rated corporate bonds (BAA) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).

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