Full text of Monetary Trends : August 2008
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MonetaryTrends August 2008 Mortgage Originations: 2000-2006 T he Freddie Mac Primary Mortgage Market Survey indicates that the interest rate on commitments for 30-year fixed-rate mortgages declined from a peak of 8.52 percent in May 2000 to 5.23 percent in June 2003 (Figure 1). A sharp decline in interest rates typically leads to increased demand for mortgage originations: First, potential homeowners seek to take advantage of the low rate to purchase a home. Second, existing mortgage holders are keen to refinance their mortgages at the lower interest rate. Mortgage lenders were able to meet this increased demand because of a low cost of funds during this time period, thereby resulting in a steady increase in total mortgage originations. According to the Mortgage Bankers Association, the dollar value of total mortgage originations for 1- to 4-family homes steadily increased from $238 billion in 2000:Q1 to roughly $1,200 billion in 2003:Q3 (Figure 1). If this growth in originations reflects the decline in the interest rate, then mortgage originations might be expected to decline when the contract rate increases. Indeed, mortgage originations did decline when contract rates rose after 2003. However, as Figure 1 shows, the level of originations continued to remain higher on average than pre-2003 levels. Why? Two reasons: First, interest rates in the post-2003 period remain below the high levels attained in the pre2003 era. Second, there was a change in the composition of originations, with substantial growth in the nonprime segment affecting the overall market. Figure 2 shows the breakdown of mortgage originations by market segment. Prime mortgages include loans securitized by an “agency”—namely, Freddie Mac, Fannie Mae, and Ginnie Mae. Jumbo loans are prime mortgages but are for amounts exceeding agency-conforming limits. Nonprime mortgages include both subprime and Alt-A markets. Subprime mortgages generally include loans to borrowers with incomplete or impaired credit histories, while Alt-A mortgages include loans to borrowers who usually have high credit scores but are unable or unwilling to document a stable income history or are buying second homes or properties for investment purposes.1 Figure 2 shows that an increase in agency mortgages is the major factor behind the growth in total mortgage originations between 2000 and 2003. However, Figure 1 Interest Rate on 30-Year Fixed-Rate Mortgages: U.S. (%) Mortgage Originations: 1- to 4-Family: Total (billion $) 9 1,200 1,000 8 800 7 600 6 400 5 200 2000 2001 2002 2003 2004 2005 2006 SOURCE: FHLMC: PMMS Survey, Mortgage Bankers Association. Figure 2 Mortgage Originations by Year (in billion $) 3,000 Subprime Alt-A Jumbo Agency 2,500 2,000 1,500 1,000 500 0 2001 2002 2003 2004 2005 2006 SOURCE: Inside Mortgage Finance Publications, Inc. prime originations declined sharply after 2003. The growth of originations after 2003 was sustained by the subprime and Alt-A segments of the mortgage market. —Rajdeep Sengupta and Yu Man Tam 1 Fabozzi, Frank J. (editor). The Handbook of Mortgage-Backed Securities. New York: McGraw-Hill, 2006. Views expressed do not necessarily reflect official positions of the Federal Reserve System. research.stlouisfed.org Contents Page 3 4 6 7 8 9 10 11 12 14 15 16 18 Monetary and Financial Indicators at a Glance Monetary Aggregates and Their Components Monetary Aggregates: Monthly Growth Reserves Markets and Short-Term Credit Flows Measures of Expected Inflation Interest Rates Policy-Based Inflation Indicators Implied Forward Rates, Futures Contracts, and Inflation-Indexed Securities Velocity, Gross Domestic Product, and M2 Bank Credit Stock Market Index and Foreign Inflation and Interest Rates Reference Tables Definitions, Notes, and Sources Conventions used in this publication: 1. Unless otherwise indicated, data are monthly. 2. Shaded areas indicate recessions, as determined by the National Bureau of Economic Research. 3. Percent change at an annual rate is the simple, not compounded, monthly percent change multiplied by 12. For example, using consecutive months, the percent change at an annual rate in x between month t –1 and the current month t is: [(xt /x t – 1 )–1] × 1200. Note that this differs from National Economic Trends. In that publication, monthly percent changes are compounded and expressed as annual growth rates. 4. The percent change from year ago refers to the percent change from the same period in the previous year. For example, the percent change from year ago in x between month t –12 and the current month t is: [(xt /x t – 12 )–1] × 100. We welcome your comments addressed to: Editor, Monetary Trends Research Division Federal Reserve Bank of St. Louis P.O. Box 442 St. Louis, MO 63166-0442 On March 23, 2006, the Board of Governors of the Federal Reserve System ceased the publication of the M3 monetary aggregate. It also ceased publishing the following components: large-denomination time deposits, RPs, and eurodollars. or to: stlsFRED@stls.frb.org Monetary Trends is published monthly by the Research Division of the Federal Reserve Bank of St. Louis. Visit the Research Division’s website at research.stlouisfed.org/publications/mt to download the current version of this publication or register for e-mail notification updates. For more information on data in the publication, please visit research.stlouisfed.org/fred2 or call (314) 444-8590. updated through 07/15/08 Monetary Trends M2 and MZM Treasury Yield Curve Billions of dollars Percent 6.25 9000 8700 5.75 8400 MZM Week Ending Friday: 07/13/07 06/13/08 07/11/08 5.25 8100 7800 4.75 7500 4.25 7200 3.75 M2 6900 3.25 6600 6300 2.75 2005 2005 2006 2006 2007 2007 2008 2008 5y 7y 10y 20y 2009 Adjusted Monetary Base Real Treasury Yield Curve Percent change at an annual rate Percent 30 3.5 3.0 20 Week Ending Friday: 07/13/07 06/13/08 07/11/08 2.5 10 2.0 0 1.5 -10 1.0 -20 0.5 2005 2005 2006 2006 2007 2007 2008 2008 Reserve Market Rates 7y 10y 20y Inflation-Indexed Treasury Yield Spreads Percent Percent 2.9 8.0 Effective Federal Funds Rate Intended Federal Funds Rate 7.5 5y 2009 2.8 7.0 Week Ending Friday: 07/13/07 06/13/08 07/11/08 6.5 6.0 2.7 Primary Credit Rate 5.5 2.6 5.0 4.5 2.5 4.0 3.5 2.4 3.0 2.5 2.3 2.0 1.5 2.2 2005 2005 2006 2006 2007 Data available as of June 2008. 2007 2008 2008 5y 7y 10y 20y 2009 Research Division Federal Reserve Bank of St. Louis 3 updated through 07/14/08 Monetary Trends MZM and M1 Percent change from year ago 25 20 15 10 MZM 5 0 M1 -5 -10 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 M2 Percent change from year ago 15 10 5 0 -5 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 M3* Percent change from year ago 15 10 5 0 -5 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 *See table of contents for changes to the series. 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Monetary Services Index - M2** Percent change from year ago 15 10 5 0 -5 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 **We will not update the MSI series until we revise the code to accomodate the discontinuation of M3. 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Research Division 4 Federal Reserve Bank of St. Louis updated through 07/14/08 Monetary Trends Adjusted Monetary Base Percent change from year ago 20 15 10 5 0 -5 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 05 2005 2006 06 2007 07 2008 Domestic Nonfinancial Debt Currency Held by the Nonbank Public Percent change from year ago Percent change from year ago 15 15 08 2009 Total 10 10 5 Federal 0 5 -5 -10 0 2001 2002 2003 2004 2005 2006 2007 2008 2001 2002 2003 2004 2005 2006 2007 2008 2009 2005 2005 2006 2006 2007 2007 2008 Time Deposits* Checkable and Savings Deposits Percent change from year ago Percent change from year ago 30 20 Large Denomination 25 15 20 10 15 10 2009 Savings 5 Small Denomination 2008 0 5 -5 0 -10 -5 Checkable -15 2005 2005 2006 2006 2007 2007 2008 2008 *See table of contents for changes to the series. 2009 Money Market Mutual Fund Shares 2005 2005 2006 2006 2007 2007 2008 Billions of dollars 60 600 50 40 Billions of dollars 500 Repos (left) 550 450 Eurodollars (right) Institutional Funds 20 2009 Repurchase Agreements and Eurodollars* Percent change from year ago 30 2008 500 400 450 350 10 0 Retail Funds -10 -20 400 2005 2005 2006 2006 2007 2007 2008 2008 2009 300 2005 2006 2007 2008 *See table of contents for changes to these series. Research Division Federal Reserve Bank of St. Louis 5 updated through 07/14/08 Monetary Trends M1 Percent change at an annual rate 30 20 10 0 -10 -20 -30 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 *Actual values for September and October 2001 are 55.87 and -38.35 percent rate, respectively. 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 MZM Percent change at an annual rate 40 30 20 10 0 -10 -20 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 *Actual value for September 2001 is 39.41 percent rate. 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 M2 Percent change at an annual rate 20 10 0 -10 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 *Actual value for September 2001 is 24.90 percent rate. 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 M3* Percent change at an annual rate 30 20 10 0 -10 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 *See table of contents for changes to the series. 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Research Division 6 Federal Reserve Bank of St. Louis updated through 07/15/08 Monetary Trends Adjusted and Required Reserves Billions of dollars 120 100 Adjusted 80 60 Required 40 20 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 Total Borrowings, nsa Excess Reserves plus RCB Contracts Billions of dollars Billions of dollars 36 33 30 27 24 21 18 15 12 9 6 3 0 16 08 2009 12 8 4 2001 2002 2003 2004 2005 2006 2007 2008 2001 2002 2003 2004 2005 2006 2007 2008 2009 2001 2002 2003 2004 2005 2006 2007 2008 2001 2002 2003 2004 2005 2006 2007 2008 2009 * Total borrowings include loans to depository institutions for primary, secondary, seasonal credit, primary dealer credit facility, and other credit extensions, but exclude term auction credit. *Actual value for September 2001 is $26.43 billion. Nonfinancial Commercial Paper Percent change from year ago 60 40 20 0 -20 -40 -60 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 As of April 10, 2006, the Federal Reserve Board made major changes to its commercial paper calculations. For more information, please refer to http://www.federalreserve.gov/releases/cp/about.htm. 2005 05 2006 06 2007 07 2008 08 2009 Consumer Credit Percent change from year ago 20 15 10 5 0 -5 -10 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Research Division Federal Reserve Bank of St. Louis 7 updated through 07/08/08 Monetary Trends Inflation and 1-Year-Ahead Inflation Expectations Percent 10 8 6 Humphrey-Hawkins CPI Inflation Range 4 2 Federal Reserve Bank of Philadelphia CPI Inflation University of Michigan 0 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 The shaded region shows the Humphrey-Hawkins CPI inflation range. Beginning in January 2000, the Humphrey-Hawkins inflation range was reported using the PCE price index and therefore is not shown on this graph. See notes on page 19. Treasury Security Yield Spreads Yield to maturity 6 4 10-Year less 3-Month T-Bill 2 0 3-Year less 3-Month T-Bill 10-Year less 3-Year Note -2 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Real Interest Rates Percent, Real rate = Nominal rate less year-over-year CPI inflation 8 6 1-Year Treasury Yield 4 2 Federal Funds Rate 0 -2 -4 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Research Division 8 Federal Reserve Bank of St. Louis updated through 07/08/08 Monetary Trends Short-Term Interest Rates Percent 14 90-Day Commercial Paper 12 10 8 Prime Rate 6 4 3-Month Treasury Yield 2 0 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Long-Term Interest Rates Percent 13 11 Conventional Mortgage 9 7 5 Corporate Aaa 10-Year Treasury Yield 3 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 Long-Term Interest Rates Short-Term Interest Rates Percent Percent 8 6 Corporate Baa 7 2006 06 2007 07 2008 08 2009 90-Day Commercial Paper 5 4 6 3-Month Treasury Yield 3 5 2 4 1 10-Year Treasury Yield 3 0 2005 2005 2006 2006 2007 2007 2008 2008 2009 2005 2005 2006 2006 2007 2007 2008 2008 2009 *90-Day Commercial Paper data are not available for December 2005, January 2006, and July 2006. FOMC Intended Federal Funds Rate, Discount Rate, and Primary Credit Rate Percent 12 10 8 Intended Federal Funds Rate 6 4 Primary Credit Rate Discount Rate 2 0 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Data available as of June 2008. Research Division Federal Reserve Bank of St. Louis 9 updated through 07/14/08 Monetary Trends Federal Funds Rate and Inflation Targets Percent 12 Target Inflation Rates 4% 3% 2% 1% 0% 9 6 3 Actual 0 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 Calculated federal funds rate is based on Taylor's rule. See notes on page 19. Components of Taylor's Rule Actual and Potential Real GDP PCE Inflation Billions of chain-weighted 2000 dollars Percent change from year ago 12000 6 11500 5 Potential 11000 4 10500 Actual 10000 3 2 9500 1 9000 8500 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monetary Base Growth* and Inflation Targets Percent 12 Actual 9 6 3 Target Inflation Rates 0 1999 99 00 2000 2001 01 02 2002 03 2003 0% 1% 2% 3% 4% 04 2004 05 2005 06 2006 2007 07 08 2008 09 *Modified for the effects of sweeps programs on reserve demand. Calculated base growth is based on McCallum's rule. Actual base growth is percent change from year ago. See notes on page 19. Components of McCallum's Rule Monetary Base Velocity Growth Real Output Growth Percent Percent 8 8 1-Year Moving Average 1-Year Moving Average 4 4 10-Year Moving Average 0 0 4-Year Moving Average -4 -8 -4 99 1999 00 2000 01 2001 02 2002 03 2003 04 2004 05 2005 06 2006 07 2007 08 2008 09 99 1999 00 2000 01 2001 02 2002 03 2003 04 2004 05 2005 06 2006 07 2007 08 2008 09 Research Division 10 Federal Reserve Bank of St. Louis updated through 07/15/08 Monetary Trends Implied One-Year Forward Rates Rates on 3-Month Eurodollar Futures Percent Percent, daily data 6.5 3.3 Week Ending: 07/13/07 06/13/08 07/11/08 6.0 5.5 || | | | | 3.1 5.0 2.9 4.5 Aug 2008 Jul 2008 4.0 3.5 Sep 2008 2.7 3.0 2.5 2y 5y 3y 7y 10y 2.5 05/12 05/19 05/26 06/02 06/09 06/16 06/23 06/30 07/07 07/14 Rates on Selected Federal Funds Futures Contracts Rates on Federal Funds Futures on Selected Dates Percent, daily data Percent 2.20 2.6 Sep 2008 2.15 Aug 2008 2.4 2.10 06/13/2008 2.05 2.2 2.00 Jul 2008 07/14/2008 2.0 05/16/2008 1.95 1.90 1.8 05/12 05/19 05/26 06/02 06/09 06/16 06/23 06/30 07/07 07/14 Jul Aug Sep Oct Nov Dec Contract Month Inflation-Indexed Treasury Securities Inflation-Indexed Treasury Yield Spreads Weekly data Weekly data Percent Percent 3 3.5 2 2.5 1 1.5 20 0 2006 15 10 2007 2008 20 0.5 2006 Maturity 5 2009 . Note: Yields are inflation-indexed constant maturity U.S. Treasury securities 15 10 2007 2008 Horizon 5 2009 . Note: Yield spread is between nominal and inflation-indexed constant maturity U.S. Treasury securities. Inflation-Indexed 10-Year Government Notes Inflation-Indexed 10-Year Government Yield Spreads Percent, weekly data Percent, weekly data 3 4 U.S. U.K. 3 2 U.S. U.K. 2 France 1 France 1 0 0 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 Research Division Federal Reserve Bank of St. Louis 11 updated through 07/14/08 Monetary Trends Velocity Nominal GDP/MZM, Nominal GDP/M2 (Ratio Scale) 3.00 2.75 MZM 2.50 2.25 M2 2.00 1.75 1.50 11323 91 11688 92 12054 93 12419 94 12784 95 13149 96 13515 97 13880 98 14245 99 14610 00 14976 01 15341 02 15706 03 16071 04 16437 05 16802 06 17167 07 17532 08 17898 Interest Rates Percent 10 8 3-Month T-Bill 6 4 M2 Own MZM Own 2 0 11323 91 11688 92 12054 93 12419 94 12784 95 13149 96 13515 97 13880 98 14245 99 14610 14976 01 15341 02 15706 03 16071 04 16437 05 16802 06 17167 07 17532 MZM Velocity and Interest Rate Spread M2 Velocity and Interest Rate Spread Ratio Scale Ratio Scale 3.50 08 17898 2.25 Velocity = Nominal GDP / M2 Velocity = Nominal GDP / MZM 00 3.00 2.50 2.00 2.00 1.75 1.50 1974Q1 to 1993Q4 1994Q1 to present 1974Q1 to 1993Q4 1994Q1 to present 1.25 1.50 0 1 2 3 4 5 6 7 8 9 10 Interest Rate Spread = 3-Month T-Bill less MZM Own Rate 11 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 Interest Rate Spread = 3-Month T-Bill less M2 Own Rate Research Division 12 Federal Reserve Bank of St. Louis updated through 07/14/08 Monetary Trends Gross Domestic Product Percent change from year ago 20 15 10 5 0 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Dashed lines indicate 10-year moving averages. Real Gross Domestic Product Percent change from year ago 15 10 5 0 -5 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Dashed lines indicate 10-year moving averages. Gross Domestic Product Price Index Percent change from year ago 20 15 10 5 0 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Dashed lines indicate 10-year moving averages. M2 Percent change from year ago 20 15 10 5 0 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 08 2009 Dashed lines indicate 10-year moving averages. Research Division Federal Reserve Bank of St. Louis 13 updated through 07/14/08 Monetary Trends Bank Credit Percent change from year ago 20 15 10 5 0 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 Investment Securities in Bank Credit at Commercial Banks Percent change from year ago 25 20 15 10 5 0 -5 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 Total Loans and Leases in Bank Credit at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 Commercial and Industrial Loans at Commercial Banks Percent change from year ago 25 20 15 10 5 0 -5 -10 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 2008 2009 Research Division 14 Federal Reserve Bank of St. Louis updated through 07/08/08 Monetary Trends Standard & Poor's 500 1600 48 1400 42 Composite Index (left) 1200 36 1000 30 800 24 Price/Earnings Ratio (right) 600 18 400 12 200 6 0 0 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 Recent Inflation and Long-Term Interest Rates Consumer Price Inflation Rates Long-Term Government Bond Rates Percent change from year ago 2007Q2 2007Q3 2007Q4 2008Q1 Mar08 Percent Apr08 May08 Jun08 United States 2.63 2.36 4.01 4.17 3.51 3.68 3.88 Canada 2.19 2.13 2.41 1.78 3.52 3.61 3.63 . France 1.18 1.27 2.34 2.95 4.02 4.27 . . Germany 2.00 2.30 3.04 2.92 3.80 4.04 . . Italy Japan United Kingdom 4.10 1.59 1.64 2.36 3.06 4.38 4.53 4.70 . -0.03 -0.16 0.53 0.96 1.31 1.43 1.68 1.76 2.58 1.78 2.09 2.38 4.44 4.64 4.87 5.21 Inflation and Long-Term Interest Rate Differentials Percent Percent 3 3 Canada U.K. Canada 0 0 U.K. Japan Germany Germany -3 -3 Japan Inflation differential = Foreign inflation less U.S. inflation Long-term rate differential = Foreign rate less U.S. rate -6 01/01/2005 -6 2005 01/01/2006 2006 01/01/2007 2007 01/01/2008 2008 01/01/2009 01/01/2005 2005 01/01/2006 2006 01/01/2007 2007 01/01/2008 2008 01/01/2009 Research Division Federal Reserve Bank of St. Louis 15 updated through 07/14/08 Monetary Trends Money Stock Bank Adjusted M1 MZM M2 M3* Credit Monetary Base Reserves 2003. 2004. 1273.484 6327.288 5984.480 8787.321 6120.355 740.938 93.325 315.192 1344.422 6578.702 6266.901 9234.718 6603.329 776.768 96.129 329.873 2005. 2006. 1371.780 6725.614 6545.752 9786.477 7248.623 806.628 96.560 343.539 1374.386 6999.280 6859.317 10270.74 7960.500 835.058 94.932 . 2007. 1369.125 7641.525 7264.432 . 8748.359 850.592 94.211 . MSI M2** 2006 1 1381.850 6899.986 6755.413 . 7630.743 830.534 96.495 . . 2 1379.956 6944.753 6809.844 . 7883.808 836.387 95.082 . . 3 1367.253 7008.764 6879.594 . 8036.464 834.638 94.857 . . 4 1368.486 7143.617 6992.417 . 8290.986 838.672 93.292 . 2007 1 1369.550 7308.817 7117.233 . 8441.045 846.373 94.188 . . 2 1372.536 7506.137 7227.054 . 8570.681 849.903 93.542 . . 3 1367.745 7731.010 7312.569 . 8830.373 852.257 95.417 . . 4 1366.668 8020.135 7400.871 . 9151.337 853.832 93.699 . 2008 1 1371.440 8403.682 7576.778 . 9376.675 856.329 96.180 . . 2 1374.731 8700.509 7684.970 . 9391.457 859.486 94.536 . 2006 Jun 1375.391 6969.363 6832.719 . 7927.150 836.882 95.384 . Jul Aug 1370.673 6987.911 6858.026 . 7984.700 834.988 94.899 . . 1370.114 7009.617 6878.679 . 8052.565 834.699 94.779 . . Sep 1360.973 7028.764 6902.077 . 8072.126 834.226 94.892 . . Oct 1367.925 7088.473 6954.655 . 8228.828 837.942 94.014 . . Nov 1371.000 7134.182 6990.345 . 8281.175 840.386 94.767 . . Dec 1366.533 7208.195 7032.252 . 8362.955 837.689 91.096 . 2007 Jan 1372.151 7254.747 7082.238 . 8405.041 843.516 94.207 . . Feb 1367.095 7297.578 7109.479 . 8468.740 847.354 94.522 . . Mar 1369.403 7374.126 7159.983 . 8449.354 848.250 93.834 . . Apr 1377.268 7451.277 7208.117 . 8515.211 848.944 93.585 . . May 1374.853 7510.075 7228.259 . 8572.627 849.599 92.756 . . Jun 1365.486 7557.058 7244.786 . 8624.204 851.166 94.284 . . 1368.016 7612.454 7268.715 . 8702.510 851.847 94.593 . . Jul Aug 1369.408 7740.262 7320.395 . 8836.548 853.428 96.637 . . Sep 1365.810 7840.314 7348.598 . 8952.060 851.497 95.022 . . Oct 1368.906 7941.645 7372.043 . 9054.309 856.452 93.514 . . Nov 1365.037 8024.741 7399.969 . 9184.111 857.550 95.787 . . Dec 1366.062 8094.020 7430.600 . 9215.591 847.495 91.796 . . 2008 Jan 1367.006 8184.694 7480.060 . 9285.285 851.454 95.090 . . Feb 1372.558 8430.627 7585.960 . 9347.063 856.965 96.210 . . Mar 1374.757 8595.725 7664.313 . 9497.676 860.567 97.241 . . Apr 1370.826 8658.882 7679.645 . 9421.706 855.240 94.383 . . May 1367.301 8707.092 7688.163 . 9395.945 859.689 94.959 . . Jun 1386.066 8735.552 7687.103 . 9356.719 863.529 94.267 . Note: All values are given in billions of dollars. *See table of contents for changes to the series. **We will not update the MSI series until we revise the code to accommodate the discontinuation of M3. Research Division 16 Federal Reserve Bank of St. Louis updated through 07/08/08 Monetary Trends Federal Primary Prime 3-mo Funds Credit Rate Rate CDs 3-mo Treasury Yields 3-yr 10-yr Corporate Municipal Aaa Bonds Aaa Bonds Conventional Mortgage 2003. 2004. 2005. 2006. 2007. 1.13 1.35 3.21 4.96 5.02 2.11 2.34 4.19 5.96 5.86 4.12 4.34 6.19 7.96 8.05 1.15 1.56 3.51 5.15 5.27 1.03 1.40 3.21 4.85 4.47 2.11 2.78 3.93 4.77 4.34 4.02 4.27 4.29 4.79 4.63 5.67 5.63 5.23 5.59 5.56 4.52 4.50 4.28 4.15 4.13 5.82 5.84 5.86 6.41 6.34 1 2 3 4 4.46 4.91 5.25 5.25 5.43 5.90 6.25 6.25 7.43 7.90 8.25 8.25 4.72 5.18 5.39 5.32 4.50 4.83 5.03 5.03 4.58 4.98 4.87 4.65 4.57 5.07 4.90 4.63 5.39 5.89 5.68 5.39 4.29 4.36 4.13 3.82 6.24 6.60 6.56 6.24 1 2 3 4 5.26 5.25 5.07 4.50 6.25 6.25 5.93 5.02 8.25 8.25 8.18 7.52 5.31 5.32 5.42 5.02 5.12 4.87 4.42 3.47 4.68 4.76 4.41 3.50 4.68 4.85 4.73 4.26 5.36 5.58 5.75 5.53 3.91 4.13 4.27 4.24 6.22 6.37 6.55 6.23 1 2 3.18 2.09 3.67 2.33 6.21 5.08 3.23 2.76 2.09 1.65 2.17 2.67 3.66 3.89 5.46 5.60 4.39 4.43 5.88 6.09 2006 Jun 4.99 6.02 8.02 5.35 4.92 5.09 5.11 5.89 4.35 6.68 . . . Jul Aug Sep 5.24 5.25 5.25 6.25 6.25 6.25 8.25 8.25 8.25 5.46 5.38 5.34 5.08 5.09 4.93 5.07 4.85 4.69 5.09 4.88 4.72 5.85 5.68 5.51 4.41 4.10 3.87 6.76 6.52 6.40 . . . Oct Nov Dec 5.25 5.25 5.24 6.25 6.25 6.25 8.25 8.25 8.25 5.33 5.32 5.32 5.05 5.07 4.97 4.72 4.64 4.58 4.73 4.60 4.56 5.51 5.33 5.32 3.91 3.81 3.76 6.36 6.24 6.14 2007 Jan . Feb Mar . 5.25 5.26 5.26 6.25 6.25 6.25 8.25 8.25 8.25 5.32 5.31 5.30 5.11 5.16 5.08 4.79 4.75 4.51 4.76 4.72 4.56 5.40 5.39 5.30 3.89 3.95 3.88 6.22 6.29 6.16 . . . Apr May Jun 5.25 5.25 5.25 6.25 6.25 6.25 8.25 8.25 8.25 5.31 5.31 5.33 5.01 4.87 4.74 4.60 4.69 5.00 4.69 4.75 5.10 5.47 5.47 5.79 3.99 4.04 4.36 6.18 6.26 6.66 . . . Jul Aug Sep 5.26 5.02 4.94 6.25 6.01 5.53 8.25 8.25 8.03 5.32 5.49 5.46 4.96 4.32 3.99 4.82 4.34 4.06 5.00 4.67 4.52 5.73 5.79 5.74 4.24 4.30 4.26 6.70 6.57 6.38 . . . Oct Nov Dec 4.76 4.49 4.24 5.24 5.00 4.83 7.74 7.50 7.33 5.08 4.97 5.02 4.00 3.35 3.07 4.01 3.35 3.13 4.53 4.15 4.10 5.66 5.44 5.49 4.20 4.26 4.25 6.38 6.21 6.10 2008 Jan . Feb Mar . 3.94 2.98 2.61 4.48 3.50 3.04 6.98 6.00 5.66 3.84 3.06 2.79 2.82 2.17 1.28 2.51 2.19 1.80 3.74 3.74 3.51 5.33 5.53 5.51 4.13 4.42 4.63 5.76 5.92 5.97 Apr May 2.28 1.98 2.00 2.49 2.25 2.25 5.24 5.00 5.00 2.85 2.66 2.76 1.31 1.76 1.89 2.23 2.69 3.08 3.68 3.88 4.10 5.55 5.57 5.68 4.45 4.34 4.50 5.92 6.04 6.32 2006 . . . 2007 . . . 2008 . . . . Jun Note: All values are given as a percent at an annual rate. Research Division Federal Reserve Bank of St. Louis 17 updated through 07/15/08 Monetary Trends M1 MZM M2 M3* Percent change at an annual rate 2003. 2004. 2005. 2006. 2007. 6.46 5.57 2.03 0.19 -0.38 7.41 3.97 2.23 4.07 9.18 6.99 4.72 4.45 4.79 5.91 6.40 5.09 5.97 4.95 1 2 3 4 1.98 -0.55 -3.68 0.36 4.69 2.60 3.69 7.70 5.44 3.22 4.10 6.56 . . . . 1 2 3 4 0.31 0.87 -1.40 -0.31 9.25 10.80 11.98 14.96 7.14 6.17 4.73 4.83 . . . . 1 2 1.40 0.96 19.13 14.13 9.51 5.71 . . 2006 Jun -7.64 5.43 5.12 . . . . Jul Aug Sep -4.12 -0.49 -8.01 3.19 3.73 3.28 4.44 3.61 4.08 . . . . . . Oct Nov Dec 6.13 2.70 -3.91 10.19 7.74 12.45 9.14 6.16 7.19 . . . 2007 Jan . Feb Mar . 4.93 -4.42 2.03 7.75 7.08 12.59 8.53 4.62 8.52 . . . . . . Apr May Jun 6.89 -2.10 -8.18 12.55 9.47 7.51 8.07 3.35 2.74 . . . . . . Jul Aug Sep 2.22 1.22 -3.15 8.80 20.15 15.51 3.96 8.53 4.62 . . . . . . Oct Nov Dec 2.72 -3.39 0.90 15.51 12.56 10.36 3.83 4.55 4.97 . . . 2008 Jan . Feb Mar . 0.83 4.87 1.92 13.44 36.06 23.50 7.99 16.99 12.39 . . . Apr May -3.43 -3.09 16.47 8.82 6.68 3.92 2.40 1.33 -0.17 . . . 2006 . . . 2007 . . . 2008 . . . . Jun . *See table of contents for changes to the series. Research Division 18 Federal Reserve Bank of St. Louis Monetary Trends Definitions M1: The sum of currency held outside the vaults of depository institutions, Federal Reserve Banks, and the U.S. Treasury; travelers checks; and demand and other checkable deposits issued by financial institutions (except demand deposits due to the Treasury and depository institutions), minus cash items in process of collection and Federal Reserve float. MZM (money, zero maturity): M2 minus small-denomination time deposits, plus institutional money market mutual funds (that is, those included in M3 but excluded from M2). The label MZM was coined by William Poole (1991); the aggregate itself was proposed earlier by Motley (1988). M2: M1 plus savings deposits (including money market deposit accounts) and small-denomination (under $100,000) time deposits issued by financial institutions; and shares in retail money market mutual funds (funds with initial investments under $50,000), net of retirement accounts. M3: M2 plus large-denomination ($100,000 or more) time deposits; repurchase agreements issued by depository institutions; Eurodollar deposits, specifically, dollar-denominated deposits due to nonbank U.S. addresses held at foreign offices of U.S. banks worldwide and all banking offices in Canada and the United Kingdom; and institutional money market mutual funds (funds with initial investments of $50,000 or more). Bank Credit: All loans, leases, and securities held by commercial banks. Domestic Nonfinancial Debt: Total credit market liabilities of the U.S. Treasury, federally sponsored agencies, state and local governments, households, and nonfinancial firms. End-of-period basis. Adjusted Monetary Base: The sum of currency in circulation outside Federal Reserve Banks and the U.S. Treasury, deposits of depository financial institutions at Federal Reserve Banks, and an adjustment for the effects of changes in statutory reserve requirements on the quantity of base money held by depositories. This series is a spliced chain index; see Anderson and Rasche (1996a,b, 2001, 2003). Adjusted Reserves: The sum of vault cash and Federal Reserve Bank deposits held by depository institutions and an adjustment for the effects of changes in statutory reserve requirements on the quantity of base money held by depositories. This spliced chain index is numerically larger than the Board of Governors’ measure, which excludes vault cash not used to satisfy statutory reserve requirements and Federal Reserve Bank deposits used to satisfy required clearing balance contracts; see Anderson and Rasche (1996a, 2001, 2003). Monetary Services Index: An index that measures the flow of monetary services received by households and firms from their holdings of liquid assets; see Anderson, Jones, and Nesmith (1997). Indexes are shown for the assets included in M2, with additional data at research.stlouisfed.org/msi/index.html. Note: M1, M2, M3, Bank Credit, and Domestic Nonfinancial Debt are constructed and published by the Board of Governors of the Federal Reserve System. For details, see Statistical Supplement to the Federal Reserve Bulletin, tables 1.21 and 1.26. MZM, Adjusted Monetary Base, Adjusted Reserves, and Monetary Services Index are constructed and published by the Research Division of the Federal Reserve Bank of St. Louis. Notes Page 3: Readers are cautioned that, since early 1994, the level and growth of M1 have been depressed by retail sweep programs that reclassify transactions deposits (demand deposits and other checkable deposits) as savings deposits overnight, thereby reducing banks’ required reserves; see Anderson and Rasche (2001) and research.stlouisfed.org/aggreg/swdata.html. Primary Credit Rate, Discount Rate, and Intended Federal Funds Rate shown in the chart Reserve Market Rates are plotted as of the date of the change, while the Effective Federal Funds Rate is plotted as of the end of the month. Interest rates in the table are monthly averages from the Board of Governors H.15 Statistical Release. The Treasury Yield Curve and Real Treasury Yield Curve show constant maturity yields calculated by the U.S. Treasury for securities 5, 7, 10, and 20 years to maturity. Inflation-Indexed Treasury Yield Research Division Federal Reserve Bank of St. Louis Spreads are a measure of inflation compensation at those horizons, and it is simply the nominal constant maturity yield less the real constant maturity yield. Daily data and descriptions are available at research.stlouisfed.org/fred2/. See also Statistical Supplement to the Federal Reserve Bulletin, table 1.35. The 30-year constant maturity series was discontinued by the Treasury as of February 18, 2002. Page 5: Checkable Deposits is the sum of demand and other checkable deposits. Savings Deposits is the sum of money market deposit accounts and passbook and statement savings. Time Deposits have a minimum initial maturity of 7 days. Large Time Deposits are deposits of $100,000 or more. Retail and Institutional Money Market Mutual Funds are as included in M2 and the non-M2 component of M3, respectively. Page 7: Excess Reserves plus RCB (Required Clearing Balance) Contracts equals the amount of deposits at Federal Reserve Banks held by depository institutions but not applied to satisfy statutory reserve requirements. (This measure excludes the vault cash held by depository institutions that is not applied to satisfy statutory reserve requirements.) Consumer Credit includes most short- and intermediate-term credit extended to individuals. See Statistical Supplement to the Federal Reserve Bulletin, table 1.55. Page 8: Inflation Expectations measures include the quarterly Federal Reserve Bank of Philadelphia Survey of Professional Forecasters, the monthly University of Michigan Survey Research Center’s Surveys of Consumers, and the annual Federal Open Market Committee (FOMC) range as reported to the Congress in the February testimony that accompanies the Monetary Policy Report to the Congress. Beginning February 2000, the FOMC began using the personal consumption expenditures (PCE) price index to report its inflation range; the FOMC then switched to the PCE chain-type price index excluding food and energy prices (“core”) beginning July 2004. Accordingly, neither are shown on this graph. CPI Inflation is the percentage change from a year ago in the consumer price index for all urban consumers. Real Interest Rates are ex post measures, equal to nominal rates minus year-overyear CPI inflation. Page 9: FOMC Intended Federal Funds Rate is the level (or midpoint of the range, if applicable) of the federal funds rate that the staff of the FOMC expected to be consistent with the desired degree of pressure on bank reserve positions. In recent years, the FOMC has set an explicit target for the federal funds rate. Page 10: Federal Funds Rate and Inflation Targets shows the observed federal funds rate, quarterly, and the level of the funds rate implied by applying Taylor’s (1993) equation ft*= 2.5 + ≠ t –1 + (≠ t –1 – ≠* )/2 + 100 ? (yt –1 – yt –1P )/2 to five alternative target inflation rates, ≠* = 0, 1, 2, 3, 4 percent, where ft* is the implied federal funds rate, ≠ t –1 is the previous period’s inflation rate (PCE) measured on a year-over-year basis, yt –1 is the log of the previous period’s level of real gross domestic product (GDP), and yt –1P is the log of an estimate of the previous period’s level of potential output. Potential Real GDP is as estimated by the Congressional Budget Office. Monetary Base Growth and Inflation Targets shows the quarterly growth of the adjusted monetary base (modified to include an estimate of the effect of sweep programs) implied by applying McCallum’s (1988, 1993) equation ∅MBt* = ≠* + (10-year moving average growth of real GDP) – (4-year moving average of base velocity growth) to five alternative target inflation rates, ≠* = 0, 1, 2, 3, 4 percent, where ∅MBt* is the implied growth rate of the adjusted monetary base. The 10-year moving average growth of real GDP for a quarter t is calculated as the average quarterly growth during the previous 40 quarters, at an annual rate, by the formula ((yt – yt –40 )/40) ? 400, where yt is the log of real GDP. The 4-year moving average of base velocity growth is calculated similarly. To adjust the monetary base for the effect of retail-deposit sweep programs, we add to the monetary base an amount equal to 10 percent of the total amount swept, as estimated by the Federal Reserve Board staff. These estimates are imprecise, at best. Sweep program data are found at research.stlouisfed.org/aggreg/swdata.html. 19 Monetary Trends Page 11: Implied One-Year Forward Rates are calculated by this Bank from Treasury constant maturity yields. Yields to maturity, R(m), for securities with m = 1,... , 10 years to maturity are obtained by linear interpolation between reported yields. These yields are smoothed by fitting the regression suggested by Nelson and Siegel (1987), R(m) = a0 + (a1 + a2 )(1 – e–m/50 )/(m/50) – a2 ? e–m/50, and forward rates are calculated from these smoothed yields using equation (a) in table 13.1 of Shiller (1990), f(m) = [D(m)R(m) – D(m–1)] / [D(m) – D(m–1)], where duration is approximated as D(m) = (1 – e –R(m) ? m)/R(m). These rates are linear approximations to the true instantaneous forward rates; see Shiller (1990). For a discussion of the use of forward rates as indicators of inflation expectations, see Sharpe (1997). Rates on 3-Month Eurodollar Futures and Rates on Selected Federal Funds Futures Contracts trace through time the yield on three specific contracts. Rates on Federal Funds Futures on Selected Dates displays a single day’s snapshot of yields for contracts expiring in the months shown on the horizontal axis. Inflation-Indexed Treasury Securities and Yield Spreads are those plotted on page 3. Inflation-Indexed 10-Year Government Notes shows the yield of an inflation-indexed note that is scheduled to mature in approximately (but not greater than) 10 years. The current French note has a maturity date of 7/25/2015, the current U.K. note has a maturity date of 8/16/2013, and the current U.S. note has a maturity date of 1/15/2018. Inflation-Indexed Treasury Yield Spreads and InflationIndexed 10-Year Government Yield Spreads equal the difference between the yields on the most recently issued inflation-indexed securities and the unadjusted security yields of similar maturity. Page 12: Velocity (for MZM and M2) equals the ratio of GDP, measured in current dollars, to the level of the monetary aggregate. MZM and M2 Own Rates are weighted averages of the rates received by households and firms on the assets included in the aggregates. Prior to 1982, the 3-month T-bill rates are secondary market yields. From 1982 forward, rates are 3-month constant maturity yields. Page 13: Real Gross Domestic Product is GDP as measured in chained 2000 dollars. The Gross Domestic Product Price Index is the implicit price deflator for GDP, which is defined by the Bureau of Economic Analysis, U.S. Department of Commerce, as the ratio of GDP measured in current dollars to GDP measured in chained 2000 dollars. Chicago Mercantile Exchange: Eurodollar futures. Congressional Budget Office: Potential real GDP. Federal Reserve Bank of Philadelphia: Survey of Professional Forecasters inflation expectations. Federal Reserve Bank of St. Louis: Adjusted monetary base and adjusted reserves, monetary services index, MZM own rate, one-year forward rates. Organization for Economic Cooperation and Development: International interest and inflation rates. Standard & Poor’s: Stock price-earnings ratio, stock price composite index. University of Michigan Survey Research Center: Median expected price change. U.S. Department of the Treasury: U.S. security yields. References Anderson, Richard G. and Robert H. Rasche (1996a). “A Revised Measure of the St. Louis Adjusted Monetary Base,” Federal Reserve Bank of St. Louis Review, March/April, 78(2), pp. 3-13.* ____ and ____(1996b). “Measuring the Adjusted Monetary Base in an Era of Financial Change,” Federal Reserve Bank of St. Louis Review, November/ December, 78(6), pp. 3-37.* ____ and ____(2001). “Retail Sweep Programs and Bank Reserves, 19941999,” Federal Reserve Bank of St. Louis Review, January/February, 83(1), pp. 51-72.* ____ and ____ , with Jeffrey Loesel (2003). “A Reconstruction of the Federal Reserve Bank of St. Louis Adjusted Monetary Base and Reserves,” Federal Reserve Bank of St. Louis Review, September/October, 85(5), pp. 39-70.* ____ , Barry E. Jones and Travis D. Nesmith (1997). “Special Report: The Monetary Services Indexes Project of the Federal Reserve Bank of St. Louis,” Federal Reserve Bank of St. Louis Review, January/February, 79(1), pp. 31-82.* McCallum, Bennett T. (1988). “Robustness Properties of a Monetary Policy Rule,” Carnegie-Rochester Conference Series on Public Policy, vol. 29, pp. 173-204. Page 14: Investment Securities are all securities held by commercial banks in both investment and trading accounts. ____(1993). “Specification and Analysis of a Monetary Policy Rule for Japan,” Bank of Japan Monetary and Economic Studies, November, pp. 1-45. Page 15: Inflation Rate Differentials are the differences between the foreign consumer price inflation rates and year-over-year changes in the U.S. all-items Consumer Price Index. Motley, Brian (1988). “Should M2 Be Redefined?” Federal Reserve Bank of San Francisco Economic Review, Winter, pp. 33-51. Page 17: Treasury Yields are Treasury constant maturities as reported in the Board of Governors of the Federal Reserve System’s H.15 release. Sources Agence France Trésor: French note yields. Bank of Canada: Canadian note yields. Nelson, Charles R. and Andrew F. Siegel (1987). “Parsimonious Modeling of Yield Curves,” Journal of Business, October, pp. 473-89. Poole, William (1991). Statement before the Subcommittee on Domestic Monetary Policy of the Committee on Banking, Finance and Urban Affairs, U.S. House of Representatives, November 6, 1991. Government Printing Office, Serial No. 102-82. Sharpe, William F. (1997). Macro-Investment Analysis, on-line textbook available at www.stanford.edu/~wfsharpe/mia/mia.htm. Bank of England: U.K. note yields. Board of Governors of the Federal Reserve System: Monetary aggregates and components: H.6 release. Bank credit and components: H.8 release. Consumer credit: G.19 release. Required reserves, excess reserves, clearing balance contracts, and discount window borrowing: H.4.1 and H.3 releases. Interest rates: H.15 release. Nonfinancial commercial paper: Board of Governors website. Nonfinancial debt: Z.1 release. M2 own rate. Shiller, Robert (1990). “The Term Structure of Interest Rates,” Handbook of Monetary Economics, vol. 1, B. Friedman and F. Hahn, eds., pp. 627-722. Taylor, John B. (1993). “Discretion versus Policy Rules in Practice,” CarnegieRochester Conference Series on Public Policy, vol. 39, pp. 195-214. Note: *Available on the Internet at research.stlouisfed.org/publications/review/. Bureau of Economic Analysis: GDP. Bureau of Labor Statistics: CPI. Chicago Board of Trade: Federal funds futures contract. 20 Research Division Federal Reserve Bank of St. Louis