St. Louis Fed Financial Stress Index Falls for Fifth Week in a Row

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

Financial market stress has fallen for the fifth week in a row, according to the St. Louis Fed Financial Stress Index (STLFSI). For the week ending July 22, the index measured -1.156, down slightly from the previous week’s revised value of -1.144. The index is up slightly from its value a year earlier of -1.182.

Over the past week, eight of the 18 indicators contributed negatively to the change in the index, three fewer than in the previous week. The largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the expected inflation rate over the next 10 years (BIR_10yr). Eight of the 18 indicators contributed positively to the weekly change in the index, two more than in the previous week. The two largest positive contributions were made by the difference between the yields on the three-month Libor rate and the three-month overnight index swap rate (LiborOIS_3mo) and by the difference between the yield on the three-month Treasury bill and the three-month Eurodollar rate (TED).

Over the past year, nine of the 18 indicators made a positive contribution to the index, two fewer than in the previous week. Nine indicators made a negative contribution to the index week, two more than in the previous week. The two largest positive contributions over the past year were made by the LiborOIS_3mo and by the BIR_10yr. The two largest negative contributions were made by the yield on Baa-rated corporate bonds (BAA) and 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.