St. Louis Fed Financial Stress Index Rises to Highest Level since July

September 22, 2016

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

Financial market stress rose in the latest reporting week, more than offsetting the declines over the previous two weeks. For the week ending Sept. 16, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.007, up from the previous week’s revised value of -1.137 and its highest level since the week ending July 1, 2016. Zero represents normal financial stress.

STLFSI Weekly Change graph

Over the past week, 15 of the 18 indicators contributed positively to the weekly change in the index, six more than the previous week. The three largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX), the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), and the yield on BAA-rated corporate bonds (BAA). Two of the 18 indicators contributed negatively to the weekly change in the index, five fewer than the previous week. The two largest negative contributions were made by the Merrill Lynch Asset-Backed Master BBB-rated security (Mlynch_BBBAA) and the yield differential between the 10-year Treasury note and the three-month Treasury bill (YieldCurve_10yr3mo).

STLFSI Yearly Change Graph

For the third consecutive week, nine of the 18 indicators made a negative contribution to the index over the past year and nine made a positive contribution. The two largest negative contributions over the past year were made by the BAA and the VIX. For the third consecutive 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.

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