St. Louis Fed Financial Stress Index Rises to Highest Level since 2013

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

In response to a marked increase in equity and bond market volatility, the St. Louis Fed Financial Stress Index (STLFSI) rose sharply in the latest reporting week. For the week ending July 3, the index measured -0.920, its highest level since the week ending Sept. 6, 2013. (Zero represents normal financial market conditions.)

Over the past week, 11 of the 18 indicators contributed positively to the weekly change in the index, four more than the previous week. The largest positive contributions were made by the index’s two market volatility measures: the Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Four indicators contributed negatively to the weekly change in the index, six fewer than the previous week. The two largest negative contributions were made by the yield on 30-year U.S. Treasury securities (Treas30y) and by the yield on 10-year U.S. Treasury securities (Treas10y).

Over the past year, 14 of the 18 indicators made a positive contribution to the index and four indicators made a negative contribution. For the 10^th consecutive week, the largest positive contribution over the past year was made by the Mlynch_BMVI_1mo. For the ninth consecutive week, the largest negative contribution over the past year was made by the S&P500 Financials Index (SP500_FI).

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