St. Louis Fed: Financial Market Stress Rises Sharply

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) surged upward in the latest reporting week. For the week ending Feb. 12, the index measured -0.241, up strongly from the previous week’s revised value of -0.474. The latest reading is the highest value since the week ending Dec. 2, 2011. The latest increase was the fifth in the past six weeks.

Over the past week, 12 of the 18 indicators contributed positively to the weekly change in the index, two more than in the prior week. The three largest positive contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX), by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), and by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS). Five of the 18 indicators contributed negatively to the weekly change in the index, three fewer than in 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 10-year U.S. Treasury security (Treas10y).

Over the past year, 14 of the 18 indicators made a positive contribution to the index, two fewer than in the previous week. For the second consecutive 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. Four indicators made a negative contribution over the past year, two more than in the prior week. The largest negative contribution over the past year was made by the Treas10y.

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