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 modestly in the latest reporting week. For the week ending Nov. 13, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.846, up 0.038 basis points from the prior week’s revised value of -0.884 and the second consecutive weekly increase. 

Over the past week, 12 of the 18 indicators contributed positively to the weekly change in the index, three more than the previous week. The largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the yield differential between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year Treasury security (HighYield_CRS). Four indicators contributed negatively to the weekly change in the index, three fewer than last week. The three largest negative contributions were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), the yield differential between 3-month commercial paper and the 3-month Treasury bill (CPS_3mo), and the yield differential between the 3-month Treasury bill and the 3-month Eurodollar (TED).

Over the past year, 13 of the 18 indicators made a positive contribution to the index, one more than the previous week. The two largest positive contributions over the past year were made by the Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII) and the expected inflation rate over the next 10 years (BIR_10yr). Five indicators made a negative contribution over the past year, one fewer than the previous week. The largest negative contribution over the past year was made by the difference between the 3-month London Interbank Offering Rate and the Overnight Index Swap rate (LiborOIS_3mo).

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

The St. Louis Fed will release the index a day early next week because of the Thanksgiving holiday. A press release will go out Wednesday, Nov. 25, after the index is updated in the Federal Reserve Economic Data (FRED) database at 9 a.m. CT that day.  The index will resume its normal schedule the following week.