St. Louis Fed’s market stress index closes at lowest level in seven months.
The St. Louis Fed’s market stress indicator fell to its lowest level in seven months in the closing days of 2013. The St. Louis Fed Financial Stress Index (STLFSI) measured -0.927 for the week ending December 27. The index has been below zero – the level that reflects a “normal” amount of stress – for 101 weeks.
The STLFSI is constructed from 18 data series including seven interest rate series and six yield spreads. It was launched in 1993 as a more frequent and detailed alternative to metrics such as the Kansas City Financial Stress Index, by the Kansas City Fed, which measures 11 factors and is calculated only monthly.
The measure spiked above 6 during the financial crisis but fell quickly back to normal in 2010. Apart from small spikes in the 0.5 to 0.75 range during the sovereign debt and Eurozone crises, it has been in negative territory.
More information on the STLFSI can be found here.