St. Louis Fed Financial Stress Index Dips Slightly

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

Financial market stress declined modestly in the latest reporting week after rising sharply over the previous week. For the week ending Sept. 23, the St. Louis Fed Financial Stress Index (STLFSI) measured -1.045, down from the previous week’s revised value of -1.009 and the third decline in the past four weeks. Zero represents normal financial stress. 

Over the past week, 13 of the 18 indicators contributed negatively to the weekly change in the index, 11 more than the previous week. The two largest negative contributions were made by the Chicago Board Options Exchange Market Volatility Index (VIX) and the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo). Four of the 18 indicators contributed positively to the weekly change in the index, 11 less than the previous week. The two largest positive contributions were made by the yield difference between the three-month commercial paper rate and the three-month Treasury bill (CPS_3mo) and the difference between the three-month Treasury bill yield and the three-month Eurodollar rate (TED). 

Over the past year, 11 of the 18 indicators made a negative contribution to the index, two more than the previous week. The two largest negative contributions over the past year were made by the VIX and the yield on BAA-rated corporate bonds (BAA). Seven indicators made a positive contribution over the past year, two fewer than the previous week. For the fourth consecutive week, the two largest positive contributions over the past year were made by the difference between the three-month Libor rate and the three-month Overnight Index Swap rate (LiborOIS_3mo) and the TED. 

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