Financial Market Stress Declines Modestly

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

Financial market stress declined for the second consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending March 27, 2015, the STLFSI measured -1.063, down modestly from the previous week’s revised value of -1.032. In the first quarter of 2015, the weekly STLFSI averaged -0.979, up significantly from its average over the first quarter of 2014 (-1.292).

Over the past week, 11 of the 18 indicators contributed negatively to the STLFSI, unchanged from the previous week. The largest negative contributions over the past week were made by the expected inflation rate over the next 10 years (BIR_10yr) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Six of the 18 indicators contributed positively to the weekly change in the STLFSI, one more than the previous week. The largest positive contribution was made by the difference between the 3-month commercial paper rate and the yield on 3-month Treasury bills (CPS_3mo).

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 BIR_10yr. Seven of the 18 indicators made a negative contribution to the index, one fewer than the previous week. The largest negative contributions were made by the yield on corporate Baa-rated bonds (BAA) and the yield on 30-year Treasury securities (Treas30y). 

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