Financial Market Stress Rises for Second 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 edged upward for the second consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending May 8, 2015, the index measured -1.099, up from the previous week’s revised value of -1.211. Thus far in 2015, the index has averaged -1.058, modestly higher than the same period a year earlier (-1.338).

Over the past week, 12 of the 18 indicators contributed positively to the weekly change in the index, unchanged from 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) and the Chicago Board Options Exchange Market Volatility Index (VIX). Four of the 18 indicators contributed negatively to the STLFSI, also unchanged from the previous week. The largest negative contribution over the past week was 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).

Over the past year, 11 of the 18 indicators made a positive contribution to the index, and seven indicators made a negative contribution. Both numbers were unchanged from the previous week. The largest positive contribution came from the Mlynch_BMVI_1mo, and the largest negative contribution was made by the S&P 500 Financials Index (SP500_FI). The STLFSI has remained below zero for 186 consecutive weeks. Zero represents normal stress.

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