Financial Market Stress Falls for Second 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) fell in the latest reporting week. For the week ending July 24, the index measured -1.050, down modestly from the previous week’s revised value of -1.033.  The index has now declined for two weeks in a row.

Over the past week, 10 of the 18 indicators contributed negatively to the weekly change in the index, three more than the previous week. The two largest negative contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo) and by the yield on Baa-rated corporate bonds (BAA). Seven indicators contributed positively to the weekly change in the index, three fewer than the previous week. The two largest positive contributions were made by the High Yield_CRS bond spread, which is the difference between the yield on the Merrill Lynch High-Yield Corporate Master II Index and the yield on the 10-year U.S. Treasury and by the expected inflation rate over the next 10 years (BIR_10yr).

Over the past year, 13 of the 18 indicators made a positive contribution to the index and five indicators made a negative contribution. The two largest positive contributions over the past year were made by the BIR_10yr and by the Mlynch_BMVI_1mo, while the two largest negative contributions were made by the S&P 500 Financials Index (SP500_FI) and by the yield on the 30-year U.S. Treasury security (Treas30y).

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