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St. Louis Fed Financial Stress Index Dips for Second Week

11/3/2016

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

NOTE: This is the last news release that the Federal Reserve Bank of St. Louis will provide about the St. Louis Fed Financial Stress Index. However, the index will continue to be available and updated every week in FRED at fred.stlouisfed.org. To receive a notification when the index has been updated, create a free FRED user account, then click “Account Tools” beneath the graph on the index’s page and select “Get email notification.”

Financial market stress fell for a second consecutive week. For the week ending Oct. 28, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.193, down slightly from the previous week’s revised value of -1.190 and the fifth decline in the past six weeks. Zero represents normal stress.

STLFSI Weekly Change graph

Over the past week, seven of the 18 indicators contributed negatively to the weekly change in the index, five fewer than in the previous week. The largest negative contributions 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 Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Seven of the 18 indicators contributed positively to the weekly change in the index, three more than in the previous week. The two largest positive contributions were made by the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED) 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 five weeks. Like in the last three weeks, the two largest negative contributions over the past year were made by the 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 five weeks. For the ninth consecutive week, the two largest positive contributions over the past year were made by the LiborOIS_3mo and the TED.

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