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St. Louis Fed Financial Stress Index Rises Slightly

10/20/2016

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

Financial market stress rose modestly in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Oct. 14, the index measured -1.136, up from the previous week’s revised value of -1.179 and the first increase in four weeks. Zero represents normal financial stress.

STLFSI Weekly Change graph

Over the past week, 11 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 Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Six of the 18 indicators contributed negatively to the weekly change in the index, five fewer than in the previous week. The two largest negative contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury (HighYield_CRS).

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 three weeks. Like in the last week, the two largest negative contributions over the past year were made by the yield on BAA-rated corporate bonds (BAA) and the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). Seven indicators made a positive contribution over the past year, also the same as in the previous three weeks. For the seventh consecutive week, the two largest positive contributions over the past year were made by the yield difference between the three-month London Interbank Offering Rate and the three-month Overnight Index Swap rate (LiborOIS_3mo) and by 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.