Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial market stress rose slightly in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Aug. 26, the index measured -1.118, up slightly from the previous week’s revised value of -1.148. Zero represents normal financial stress.
Over the past week, eight of the 18 indicators contributed negatively to the change in the index, two fewer than the previous week. The two largest negative contributions were made by the yield on Baa-rated corporate bonds (BAA) and the yield difference between the Baa-rated corporate bond and the 10-year Treasury (Corp_CRS). Eight of the 18 indicators contributed positively to the weekly change in the index, three more than the previous week. The two largest positive contributions were from the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the Chicago Board Options Exchange Market Volatility Index (VIX).
Over the past year, 10 of the 18 indicators made a negative contribution to the index and eight indicators made a positive contribution. The largest negative contributions were made by the VIX, the Mlynch_BMVI_1mo, and the BAA. Like the previous week, the two largest positive contributions over the past year were made by the spread between the three-month Libor rate and the three-month Overnight Index Swap rate (LiborOIS_3mo) and the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.