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St. Louis Fed Financial Stress Index (DISCONTINUED) (STLFSI3)

Observation:

2022-10-28: -1.7057  
Updated: Nov 3, 2022

Units:

Index,
Not Seasonally Adjusted

Frequency:

Weekly,
Ending Friday
1Y | 5Y | 10Y | Max

NOTES

Source: Federal Reserve Bank of St. Louis  

Release: St. Louis Fed Financial Stress Index

Units:  Index, Not Seasonally Adjusted

Frequency:  Weekly, Ending Friday

Notes:

The methodology for the St. Louis Fed's Financial Stress Index was revised and this series is discontinued. The new version, STLFSI4, can be found HERE.

The STLFSI3 measures the degree of financial stress in the markets and is constructed from 18 weekly data series: seven interest rate series, six yield spreads and five other indicators. Each of these variables captures some aspect of financial stress. Accordingly, as the level of financial stress in the economy changes, the data series are likely to move together.

How to Interpret the Index:
The average value of the index, which begins in late 1993, is designed to be zero. Thus, zero is viewed as representing normal financial market conditions. Values below zero suggest below-average financial market stress, while values above zero suggest above-average financial market stress.

More information:
The STLFSI3 is a revision of the STLFSI2, itself a revision of the original STLFSI. Whereas the STLFSI and STLFSI2 used the 3-month LIBOR in two of their yield spreads, the STLFSI3 now uses the 90-day average SOFR in its place, in deference to concerns about the LIBOR and its subsequent retirement. For more information, see “The St. Louis Fed’s Financial Stress Index, Version 3.0.” For information on earlier STLFSIs, see “Measuring Financial Market Stress” and “The St. Louis Fed’s Financial Stress Index, Version 2.0.”

Suggested Citation:

Federal Reserve Bank of St. Louis, St. Louis Fed Financial Stress Index (DISCONTINUED) [STLFSI3], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/STLFSI3, December 6, 2022.

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