Financial Market Stress Rises for Third 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 has risen modestly for the third consecutive reporting week. For the week ending Nov. 20, the St. Louis Fed Financial Stress Index (STLFSI) measured -0.822, up 0.029 basis points from the prior week’s revised value of -0.850. Measured from a year earlier, the index has increased by 0.461 basis points. 

Over the past week, eight of the 18 indicators contributed positively to the weekly change in the index, four fewer than the previous week. The largest positive contributions were made by the spread between the 3-month commercial paper rate and the 3-month Treasury bill rate (CPS_3mo), and by the yield differential between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year Treasury security (HighYield_CRS). Six indicators contributed negatively to the weekly change in the index, two more than the previous week. The two largest negative contributions were made by the yield on Baa-rated corporate bonds (BAA) and by the yield on the 30-year Treasury security (Treas30y).

Over the past year, 12 of the 18 indicators made a positive contribution to the index, one fewer 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 by the HighYield_CRS. Six indicators made a negative contribution over the past year, one more than the previous week. The largest negative contribution over the past year was made by the J.P. Morgan Emerging Markets Bond Index Plus (EMBI).

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