My colleague Kevin Kliesen (and his coauthor, Doug Smith) have recently introduced a new financial market stress index; see Measuring Financial Market Stress. Here's a link to the Appendix, which describes its construction and the data series used: appendix. A brief description:
The St. Louis Fed’s Financial Stress Index is constructed using principal components analysis. Briefly, principal components analysis is a statistical method of extracting factors responsible for the comovement of a group of variables. We assume that financial stress is the primary factor influencing this comovement, and by extracting this factor (the first principal component) we are able to create an index with a useful economic interpretation. We construct the STLFSI using 18 weekly data series beginning December 31, 1993. Prior to the principal components analysis, each of the data series are de-meaned and then divided by their respective sample standard deviations.The index is available on FRED here. Let me reproduce some of this data here. Here is what the FSI looks like since December 2009.
Stress is on the rise, but looks like we're still a long way from 2008...
The big question, however, is whether the temperature will keep rising.