St. Louis Fed Financial Stress Index Declines for a Second Week

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

Financial market stress fell slightly for the second consecutive week, and for the fourth week in the past five. For the week ending Sept. 9, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.134, down from the previous week’s revised value of -1.126. Zero represents normal financial stress.

Over the past week, nine of the 18 indicators contributed positively to the weekly change in the index, one more than the previous week. The two largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the yield on Baa-rated corporate bonds (BAA). Seven of the 18 indicators contributed negatively to the weekly change in the index, one fewer than the previous week. The two largest negative contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the expected inflation rate over the next 10 years (BIR_10yr).

Over the past year, nine of the 18 indicators made a negative contribution to the index and nine made a positive contribution; these numbers were unchanged from the previous week. Like the previous week, the largest negative contributions (regardless of ranking) were made by the VIX, the BAA, and the Mlynch_BMVI_1mo. Also like the previous week, the two largest positive contributions over the past year were made by the difference 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.