Financial Market Stress Declines for Fourth 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 fourth consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Feb. 13, 2015, the STLFSI measured -0.928, its lowest level since the week ending Jan. 2, 2015. The STLFSI has averaged -0.899 over the first seven weeks of 2015, above the average that prevailed over the first seven weeks of 2014 (-1.246).  Zero represents normal market conditions.

Over the past week, 10 of the 18 indicators contributed positively to the STLFSI, the same number as the previous week. The largest positive contribution was made by the yield on corporate Baa-rated bonds (BAA), followed by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Five of the 18 indicators contributed negatively to the weekly change in the STLFSI, one fewer than the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS).

Over the past year, 11 of the 18 indicators made a positive contribution to the index, one more than the previous week. The largest positive contributions over the past year were made by the Mlynch_BMVI_1mo and the expected inflation rate over the next 10 years (BIR_10yr). Seven indicators made a negative contribution over the past year, one fewer than last week. The largest negative contribution was made by the BAA.

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