St. Louis Fed Financial Stress Index Declines for Third Week in a Row

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 for the third consecutive week. For the week ending March 4, the index measured -0.609, its lowest level since the week ending Jan. 1, 2016.

Over the past week, 11 of the 18 indicators contributed negatively to the weekly change in the index, two fewer than the previous week. The two largest negative contributions were made by the yield spread between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS) and by the Chicago Board Options Exchange Market Volatility Index (VIX). Seven of the 18 indicators contributed positively to the weekly change in the index, four more than the previous week. The two largest positive contributions were made by the yield on the Merrill Lynch Asset-Backed Master BBB-rated security (Mlynch_BBBAA) and by the yield spread between the three-month Treasury bill and the three-month Eurodollar rate (TED).

Over the past year, 14 of the 18 indicators made a positive contribution to the index and four indicators made a negative contribution. For the fifth 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 yield spread between that same index and the 10-year U.S. Treasury security (HighYield_CRS). As in the previous two weeks, the two largest negative contributions over the past year were made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo), followed by the yield on the 10-year U.S. Treasury security (Treas10y).

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