Financial Market Stress Declines for Third Consecutive Week

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 Feb. 6, 2015, the STLFSI measured -0.912, down moderately from the previous week’s value of -0.888.  The latest reading is the lowest in five weeks.

Over the past week, 10 of the 18 indicators contributed positively to the STLFSI, which was five more than the previous week. The largest positive contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the yield on corporate Baa-rated bonds (BAA). Six of the 18 indicators contributed negatively to the weekly change in the STLFSI, seven fewer than the previous week. The 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 security (HighYield_CRS) and by the expected inflation rate over the next 10 years (BIR_10yr).

Over the past year, 10 of the 18 indicators made a positive contribution to the index and eight indicators made a negative contribution. The largest positive contribution over the past year was made by the BIR_10yr, and the largest negative contribution was made by the BAA.

The STLFSI has been below zero for 167 consecutive weeks.

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