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.
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).
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.
The STLFSI measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.
How to interpret the index
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.
Note that the bar charts plot the change in the contribution from one week to the next or from the current week compared to the value 52 weeks earlier.
FRED (Federal Reserve Economic Data) is the main economic database of the Federal Reserve Bank of St. Louis.