Читать книгу The Foreign Exchange Matrix - Barbara Rockefeller - Страница 35

The St. Louis Federal Reserve’s Financial Stress Index (STLFSI) is similar to the KCFSI, but with 18 variables. It is updated weekly on a Thursday at 10 am Central Standard Time. ^[7] The STLFSI takes into account interest rates (the effective fed funds rate and two, ten, and 30-year Treasury yields, Baa-rate corporate yields, Merrill Lynch High-yield Corporate Master II index, Merrill Lynch Asset-Backed Master BBB rated rates), yield spreads 10-year Treasury minus 3-month Treasury yield curve, Corporate Baa-rated bond minus 10-year Treasury, Merrill Lynch High Yield Corporate Master II index minus 10-year Treasuries, 3-month London Interbank Offering Rate-Overnight Index Swap (LIBOR-OIS) spread, 3-month Treasury-Eurodollar (TED) spread, 3-month commercial paper minus 3-month Treasury bill, and other indicators including the JP Morgan Emerging Markets Bond Index Plus, the CBOE’s volatility index VIX, Merrill Lynch Bond Market Volatility Index (1-month), 10-year nominal Treasury minus 10-year Treasury Inflation Protected Security (TIPS) yield or breakeven inflation, and S&P 500 Financial Index (equities).

The STLFSI peaked at 5.572 in the week ending 17 October 2008, a month after the Lehman bankruptcy, and closed the year at 4.596, which was still an elevated level when compared to the 0.676 reading seen the week of 4 January 2008. The index proceeded to edge lower into the first quarter of 2009, despite the near panicked deleveraging going on that sent the S&P 500 to a twelve-and-a-half year low of 667. By September 2009, the STLFSI was back under 1.0 and the index ended the year at 0.254, even with the admission by Greece that its books had been cooked. In 2010 and into early 2011, the index traded in negative territory at times and at worst edged up but never managed to break over 1.0. Even as euro zone peripheral tensions and US fiscal concerns increased in the summer of 2011, the STLFSI saw only the smallest of moves higher, topping out just over 1.0 on two occasions only in the weeks of 30 September and 7 October 2011. The STLFSI subsequently has remained below 1.0.