Financial Market Stress Declines for First Time in Eight Weeks

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 -1.020 for the week ending June 19, down slightly from the previous week’s revised value of -1.012. Last week’s decline was the first since the week ending April 24, 2015. Year to date, the index has averaged -1.078, up markedly from its average of -1.391 over the same period last year.

For the week ending June 19, six of the 18 indicators contributed positively to the weekly change in the index, six fewer than the previous week. The two largest positive contributions were made by the yield spread between corporate Baa-rated bonds and the 10-year U.S. Treasury security (Corp_CRS) and by the Chicago Board Options Exchange Market Volatility Index (VIX). Ten indicators contributed negatively to the weekly change in the index, five more than the previous week. The largest negative contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and by the expected inflation rate over the next 10 years (BIR_10yr).

Over the past year, 14 of the 18 indicators made a positive contribution to the index and four indicators made a negative contribution. The two largest positive contributions over the past year were made by the Mlynch_BMVI_1mo and by the 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.