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 rose for the second consecutive week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending Oct. 2, the index measured -0.552, up appreciably from the previous week’s revised value of -0.689. The index’s value in the latest reporting week was at its highest level since the week ending Aug. 28.

Over the past week, 10 of the 18 indicators contributed positively to the weekly change in the index, unchanged from the previous week. The two largest positive weekly contributions were made by the interest-rate differential between the Merrill Lynch High-Yield Corporate Master II Index and the yield on 10-year Treasury securities (HighYield_CRS) and by the Chicago Board Options Exchange Market Volatility Index (VIX). Seven indicators made a negative contribution over the past week, one more than the previous week. The largest negative contributions were made by the yield on 30-year Treasury securities (Treas30y) and by the yield on 10-year Treasury securities (Treas10y).

Over the past year, 15 of the 18 indicators made a positive contribution to the index and three indicators made a negative contribution to the index, the same totals as in the previous week. The two largest positive contributions over the past year were made by the expected inflation rate over the next 10 years (BIR_10yr) and by the VIX. The two largest negative contributions over the past year were made by the Treas10y and by the Treas30y.

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