St. Louis Fed Financial Stress Index Drops to Lowest Level Since Early December

Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.

Financial market stress fell sharply in the latest reporting week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending March 18, the index measured -0.770, down sharply from the previous week’s revised value of -0.654. The latest decrease was the fifth in a row.  The index is at its lowest level since the week ending Dec. 4, 2015.

Over the past week, 12 of the 18 indicators contributed negatively to the change in the index, four more than the previous week. The two largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Four of the 18 indicators contributed positively to the weekly change in the index, four fewer than the previous week. The two largest positive 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, one more than the previous week. For the seventh 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). Three indicators made a negative contribution to the index over the past year, one fewer than the previous week. For the fifth consecutive week, the largest negative contribution was made by the Mlynch_BMVI_1mo.

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