Financial Market Stress Rises for Fourth Consecutive Week

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

The St. Louis Fed Financial Stress Index (STLFSI) measured -1.090 for the week ending May 22, 2015, up modestly from the previous week’s revised value of -1.096.  The increase was the fourth in a row.  Year to date, the STLFSI has averaged -1.069, appreciably higher than its average over the same period last year (-1.356).

Over the past week, seven of the 18 indicators contributed positively to the weekly change in the index, two fewer than in the prior week.  The largest positive contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the yield spread between 3-month commercial paper and 3-month Treasury bill (CPS_3mo). Seven indicators contributed negatively to the weekly change in the index, unchanged from the prior week.  As in the previous week, the largest negative contribution over the past week was made by the Chicago Board Options Exchange Market Volatility Index (VIX), followed 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, 13 of the 18 indicators made a positive contribution to the index, and five indicators made a negative contribution—numbers that were unchanged from the previous week. The largest positive contributions over the past year were made by the Mlynch_BMVI_1mo and by the 10-year breakeven inflation rate (BIR_10yr). The largest negative contribution was made by the S&P 500 Financials Index (SP500_FI).

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