St. Louis Fed Financial Stress Index Declines Slightly

10/27/2016

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

Financial market stress fell modestly in the latest reporting week after rising slightly in the previous week. For the week ending Oct. 21, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.189, down from the previous week’s revised value of -1.137 and the fourth decline in the past five weeks.

STLFSI Weekly Change graph

Over the past week, 12 of the 18 indicators contributed negatively to the weekly change in the index, six more than in the previous week. The largest negative contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and the Chicago Board Options Exchange Market Volatility Index (VIX). Four of the 18 indicators contributed positively to the weekly change in the index, seven fewer than in the previous week. The two largest positive contributions were made by the J.P. Morgan Emerging Markets Bond Index Plus (EMBI) and the yield difference between BAA-rated corporate bonds and the 10-year U.S. Treasury (Corp_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 four weeks. Like in the last two weeks, 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 four weeks. For the eighth 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 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.