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Presentation Materials (252 KB PDF) APPENDIX Charts used by Mr. Kos. Page 1 Top panel Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements Series: U.S. and Euro-area Libor fixing, 3M forward, and 9M forward rates Horizon: August 1, 2001 through November 2, 2001 Description: All forward rates declined significantly after 9/11/2001 (labeled with a tripwire). Bottom panel Title: Japanese Yield Curve Series: The yield curve, including Japanese 3-month, 1-year, 2-year, 3-year, 7-year, 10-year, 20-year, and 30-year yields Horizon: There are three curves shown for the dates of 2/28/2001, 8/14/2001, and 11/5/2001. Description: Longer-term Japanese rates edged higher over the course of 2001. Sources: Bloomberg Page 2 Top panel Title: 5-Year Japanese Government Bond Yield and Swap Rate Series: 5-year JGB yield and 5-year swap rate Horizon: January 3, 2000 through November 2, 2001 Description: 5-year JGB yield and swap rates declined steadily between September 2000 and November 2001. Middle panel Title: 10-Year Japanese Government Bond Yield and Swap Rate Series: 10-year JGB yield and 10-year swap rate Horizon: January 3, 2000 through November 2, 2001 Description: 10-year JGB yield and swap rates declined steadily between September 2000 and November 2001. Bottom panel Title: Topix Composite and Topic Bank Sub-Index Series: Topix composite index and Topix bank sub-index, (indexed to 100 on 1/3/2000) Horizon: January 3, 2000 through November 2, 2001 Description: The Topix equity index and bank sub-index declined sharply between January 2000 and November 2001. Sources: Bloomberg Page 3 Top panel Title: Foreign Currency per Dollar Series: Japanese yen, Swiss franc, and euro currency performance, (indexed to 100 on 8/1/2001) Horizon: August 1, 2001 through November 2, 2001 Description: The dollar depreciated in the week following September 11 (labeled with a tripwire), although it regained much of its value by the beginning of November 2001. Source: Bloomberg Middle panel Title: 1-Month Option Implied Volatility for G-3 Currency Pairs Series: 1-month euro-dollar, 1-month dollar-yen, and 1-month euro-yen option volatility Horizon: August 1, 2001 through November 2, 2001 Description: Implied volatilities in the euro-dollar and dollar-yen currency pairs increased sharply following 9/11/2001, although they quickly reversed these increases and returned to previous levels by November 2001. Source: JP Morgan Chase Bottom panel Title: 1-Month Risk Reversals for G-3 Currency Pairs Series: Euro-dollar, euro-yen, and dollar-yen 1-month risk reversals Horizon: August 1, 2001 through November 2, 2001 Description: Risk reversals favored dollar weakness following 9/11/2001. By November 2001, they returned to levels observed prior to the attacks. Source: JP Morgan Chase Page 4 Top panel Title: Major Global Equity Indices Series: NASDAQ composite index, S&P 500 index, DAX index, TSE 300 index, FTSE 100 index, Topix index, and CAC 40 index, all indexed to 100 on 9/10/2001 Horizon: August 1, 2001 through November 2, 2001 Description: Major global equity indices declined following 9/11/2001, although they returned to levels observed prior to the attacks by 11/1/2001. Middle panel Title: Major Emerging Market Equity Indices Series: Merval index, Hang Seng index, Mexican Bolsa index, Brazil Bovespa index, and Singapore index, all indexed to 100 on 9/10/2001 Horizon: August 1, 2001 through November 2, 2001 Description: After immediately declining following 9/11/2001, major emerging market equity indices regained much of their losses in the following weeks. Bottom panel Title: S&P 100 Volatility Index (VIX) Series: VIX index Horizon: August 1, 2001 through November 2, 2001 Description: The VIX index increased sharply following 9/11/2001. It subsequently declined between late September and early November 2001, although it remains at elevated levels. Sources: Bloomberg Page 5 Top panel Title: Emerging Market and U.S. High Yield Spreads Series: JPM EMBI+ sovereign spread and Merrill Lynch High-Yield spread Horizon: August 1, 2001 through November 2, 2001 Description: Emerging market and U.S. high yield spreads increased between 9/11/2001 and 11/1/2001. Source: Bloomberg, JP Morgan Chase Middle panel Title: 10-Year U.S. Investment Grade Credit Spreads Series: A2 industrial corporates, 10-year swap, and Fannie Mae 6% (5/15/2011) Horizon: August 1, 2001 through November 2, 2001 Description: 10-year investment grade credit spreads remained relatively stable following 9/11/2001. Source: Bloomberg Bottom panel Title: Implied Volatility on Options on the December Eurodollar Futures Contract Series: December 2001 Eurodollar Contract Volatility Horizon: August 1, 2001 through November 2, 2001 Description: Implied volatility on eurodollar futures contracts increased following 9/11/2001. Source: Bloomberg Page 6 Top panel Title: U.S. Treasury Coupon Yields Series: Target federal funds rate, yields on benchmark 2-year, 5-year, 10- year, and 30-year U.S. Treasury securities Horizon: August 1, 2001 through November 2, 2001 Description: On-the-run Treasury coupon yields declined following 9/11/2001, with the short-end of the curve outperforming as the FOMC eased policy. Bottom left panel Title: U.S. Benchmark Yield Curves Series: A2 industrial corporates, Fannie Mae, swaps, and Treasuries Horizon: Yield Curves as of 9/10/2001 Description: Benchmark U.S. yield curves were upward sloping prior to 9/11/2001. Bottom right panel Title: Continuation of Bottom Left Panel Series: A2 industrial corporates, Fannie Mae, swaps, and Treasuries Horizon: Yield Curves as of 11/02/2001 (comparing to yield curves back on 9/10/2001) Description: Benchmark U.S. yield curves steepened sharply following 9/11/2001. Sources: Bloomberg Page 7 Top left panel Title: Commercial Paper Spreads Series: 30-day A2/P2 - A1/P1 spreads Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002 Description: 30-day A2/P2 - A1/P1 spreads increased following 9/11/2001. Top right panel Title: Commercial Paper Spreads Series: 90-day A2/P2 - A1/P1 spreads Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002 Description: 90-day A2/P2 - A1/P1 spreads increased following 9/11/2001. Bottom left panel Title: Commercial Paper Spreads Series: 90-day A1/P1 - 3-month Treasury bill spreads Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002 Description: The level of 90-day A1/P1 - 3-month Treasury bill spreads has been comparable to previous periods. Bottom right panel Title: Commercial Paper Spreads Series: 90-day A2/P2 - 3-month Treasury bill spreads Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002 Description: The level of 90-day A2/P2 - 3-month Treasury bill spreads have widened slightly more than comparable periods.. Sources: Bloomberg Page 8 Top panel Title: General Collateral Repo Rate, On-the-Run Treasury Specials Rate and Primary Dealer Fails to Deliver: 5-Year On-the-Run Treasury Series: 5-year specials rate (LHS), GC rate (LHS), and 5-year fails (RHS) Horizon: January 1, 2001 through November 2, 2001 1 Description: 5-year fails in the overnight repo market increased sharply following 9/11/2001. 1. Between Sept. 12 and Sept. 17, there was no specials market trading activity. Under an informal market agreement, all Treasuries traded at the general collateral rate to facilitate settlement and the squaring of positions. Return to text Bottom panel Title: General Collateral Repo Rate, On-the-Run Treasury Specials Rate and Primary Dealer Fails to Deliver: 10-Year On-the-Run Treasury Series: 10-year specials rate (LHS), GC rate (LHS), and 10-year fails (RHS) Horizon: January 1, 2001 through November 2, 2001 1 Description: 10-year fails in the overnight repo market increased sharply following 9/11/2001. Sources: Govpx, FR2004 Return to top Home | Monetary policy | FOMC | FOMC transcripts Accessibility | Contact Us Last update: October 24, 2008
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