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Presentation Materials (363 KB PDF) Pages 76 to 81 of Transcript Appendix 1: Materials used by Mr. Kos Page 1 Top panel Title: Rates Implied by Eurodollar Futures Curve Series: Implied Rates on Eurodollar Futures Contracts Horizon: March 19, 2002 - May 6, 2002 Description: The Eurodollar Futures curve shifted downwards for contracts expiring from June 2002 to September 2004. Source: Bloomberg Middle-left panel Title: 2- Year Treasury Yield Series: 2- Year Treasury Yield Horizon: January 2, 2002 - May 6, 2002 Description: Over the time horizon, 2- year treasury yields reached their peak just after the March 19th FOMC meeting, and declined steadily thereafter. Source: Bloomberg Middle-right panel Title: 10- Year Treasury Yield Series: 10- Year Treasury Yield Horizon: January 2, 2002 - May 6, 2002 Description: Over the time horizon, 10- year treasury yields reached their peak just after the March 19th FOMC meeting, and declined steadily thereafter. Source: Bloomberg Bottom panel Title: 10- Year Treasury Inflation-Indexed Spread to 10- Year Treasury Nominal Note Series: 10- Year TIPS break-even spread Horizon: January 2, 2002 - May 6, 2002 Description: Over the time horizon, 10-year break-even inflation rates steadily increased leading up to the March 19th FOMC meeting, and remained range bound thereafter. Source: Bloomberg Page 2 Top panel Title: Average Treasury Issuance by Instrument ex. TIIS (January - April) Series: 2001 and 2002 average issuance of bills, 2- year, 5- year, 10- year, and 30- year bonds. Horizon: January through April; 2001 and 2002 Description: Issuance in each sector was greater in 2002, with the exception of the 30- year which was only issued in 2001. Bottom panel Title: US 10- Year Swap Spread to 10- Year Treasury Note Series: US 10- Year Swap Spread to 10- Year Treasury Note Horizon: January 1, 1998 to May 6, 2002 Description: Swap spreads trended upwards until mid-2000, at which point they trended downward. Source: Bloomberg Page 3 Top-left and top-right panels Title: Spreads to AA Industrial Corporate Index Series: A, BBB and BB Industrial Corporate Index spreads to AA Industrial Corporate Index Horizon: January 2, 2002 to May 6, 2002 Description: Over the time horizon, 'BBB' spreads widened, while 'A' and 'BB' spreads narrowed. Particularly, 'BB' spreads narrowed sharply in early March. Source: Merrill Lynch Bottom panel Title: Telecom and Broad Corporate Index Spreads to Treasury Index Series: Telecom and Corporate Master Indices spreads to Treasury Horizon: January 2, 2002 to May 6, 2002 Description: Spreads on the Corporate Master Index were little changed, while spreads on the Telecom Index widened. Telecom spreads widened sharply after Worldcom cut its forecast on April 19, 2002. Source: Merrill Lynch Page 4 Top panel Title: Selected Foreign Currencies Versus U.S. Dollar Series: Australian Dollar, British pound, Euro, Japanese Yen, Mexican Peso, and Swiss Franc Horizon: January 2, 2002 to May 6, 2002 Description: Most currencies strengthened against the dollar with the exception of the Mexican Peso. Source: Bloomberg Middle panel Title: Selected Stock Indices Relative to S&P 500 Series: Australian AS30, Bolsa, French CAC, FTSE, German DAX, Hang Seng, Nikkei, Swiss Market Index Horizon: January 2, 2002 to May 6, 2002 Description: Each index outperformed the S&P 500, with the Bolsa and Nikkei the top performers. Source: Bloomberg Bottom-left and bottom-right panels Title: US vs. Euro Interest Rate Differentials Series: 3-Month: US Libor - Euribor and 10-Year: US Swap - Euro Swap Horizon: January 2, 2002 to May 6, 2002 Description: The 3-Month US Libor - Euribor spread widened, while the 10- Year US - Euro Swap spread narrowed. Source: Bloomberg Page 5 Top panel Title: Bank of Japan Current Account Balances Series: Bank of Japan Current Account Balances (in ¥Trillion) Horizon: January 31, 2000 to April 30, 2002 (Month-End Balances) Description: Japanese current account balances were constant through most of 2001 and 2002, and steadily grew after August 2002. Source: Bloomberg Middle panel Title: Japan's Monetary Base Series: Japan's Monetary Base (in ¥Trillion) Horizon: January 31, 2000 to April 30, 2002 Description: Japan's monetary base was constant through most of 2001 and 2002, and steadily grew after September 2002. Source: Bloomberg Bottom-left panel Title: Dollar/Yen Series: Dollar/Yen Horizon: January 1, 2002 to May 6, 2002 Description: Over the time horizon, the yen weakened against the dollar. Source: Bloomberg Bottom-right panel Title: 10- Year JGB Yield Series: 10- Year JGB Yield Horizon: January 1, 2002 to May 6, 2002 Description: Over the time horizon, the 10- year JGB yield steadily increased through February 2002 and then declined through May 2002. Source: Bloomberg Return to top Home | Monetary policy | FOMC | FOMC transcripts Accessibility | Contact Us Last update: October 24, 2008
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