St. Louis Fed Financial Stress Index Drops to Lowest Point 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 modestly last week, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending April 15, the index measured -0.862, modestly lower than the previous week’s revised value of -0.816. The index has declined for eight of the past nine weeks; the latest reading is the lowest since the week ending Dec. 4, 2015.

Over the past week, 11 of the 18 indicators contributed negatively to the change in the index, two more 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 Merrill Lynch High-Yield Corporate Master II Index (Mlynch_HighYld_MasterII). Six of the 18 indicators contributed positively to the weekly change in the index, three fewer than the previous week. The two largest positive contributions were made by the expected inflation rate over the next 10 years (BIR_10yr) and by the yield spread between three-month Treasury bill and the three-month Eurodollar rate (TED).

Over the past year, 15 of the 18 indicators made a positive contribution to the index and three indicators made a negative contribution to the index. For the 11^th consecutive week, the two largest positive contributions over the past year were made by the HighYield_CRS and by the Mlynch_HighYld_MasterII. For the ninth consecutive week, the largest negative contribution was made by the bond market volatility index (Mlynch_BMVI_1mo).

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