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St. Louis Fed Financial Stress Index Falls for Third Consecutive Week

10/13/2016

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 the third consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Oct. 7, the index measured -1.177, down from the previous week’s revised value of -1.158. The index has declined in five of the past six weeks. Zero represents normal stress.

STLFSI Weekly Change graph

Over the past week, 11 of the 18 indicators contributed negatively to the weekly change in the index, four fewer than in the previous week. The two largest negative contributions were made by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury (HighYield_CRS); and by the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED). Seven of the 18 indicators contributed positively to the weekly change in the index, four more than in the previous week. The largest positive contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the yield on BAA-rated corporate bonds (BAA).

STLFSI Yearly Change Graph

Over the past year, 11 of the 18 indicators made a negative contribution to the index, the same number as in the previous two weeks. The two largest negative contributions over the past year were made by the yields on BAA and the Mlynch_HighYld_MasterII. Seven indicators made a positive contribution over the past year, also the same as in the previous two weeks. For the sixth consecutive week, the two 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 rate (LiborOIS_3mo) and the TED.

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