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MonetaryTrends February 2013 This publication contains charts and tables compiled by the Data Desk staff of the Federal Reserve Bank of St. Louis. The data are related to U.S. monetary and financial conditions, with an emphasis on various measures of the monetary policy stance. 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 Reserves Markets and Short-Term Credit Flows Senior Loan Officer Opinion Survey on Bank Lending Practices 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: [(xτ /x τ – 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: [(xτ /x τ – 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 02/05/13 Monetary Trends M2 and MZM Treasury Yield Curve Billions of dollars Percent 12000 3.0 11500 2.5 Week Ending Friday: 02/03/12 01/04/13 02/01/13 11000 MZM 10500 2.0 10000 1.5 9500 M2 9000 1.0 8500 8000 0.5 2009 2010 2011 5y 2012 Adjusted Monetary Base 7y 10y 20y Real Treasury Yield Curve Percent change at an annual rate Percent 1.0 150 0.5 Week Ending Friday: 02/03/12 01/04/13 02/01/13 75 0.0 0 -0.5 -1.0 -75 -1.5 -150 -2.0 2009 2010 2011 5y 2012 Reserve Market Rates 7y 10y 20y Inflation-Indexed Treasury Yield Spreads Percent 1.00 2.6 Effective Federal Funds Rate Intended Federal Funds Rate* 2.4 0.75 Week Ending Friday: 02/03/12 01/04/13 02/01/13 Primary Credit Rate 2.2 0.50 2.0 0.25 1.8 0.00 1.6 2010 2011 2012 2013 5y 7y 10y 20y *Note: Effective December 16, 2008, FOMC reports the Intended Federal Funds Rate as a range. Currently, Intended Federal Funds Rate is not plotted on this chart due to the note above. Research Division Federal Reserve Bank of St. Louis 3 updated through 01/15/13 Monetary Trends M1 Percent change from year ago 24 18 12 6 0 -6 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 00 01 02 03 04 05 06 07 08 09 10 11 12 MZM Percent change from year ago 25 20 15 10 5 0 -5 95 96 97 M2 Percent change from year ago 12 9 6 3 0 -3 95 96 97 Monetary Services Index - M2 Percent change from year ago 12 9 6 3 0 -3 95 96 97 98 99 Research Division 4 Federal Reserve Bank of St. Louis updated through 01/15/13 Monetary Trends Adjusted Monetary Base Percent change from year ago 120 100 80 60 40 20 0 -20 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 Domestic Nonfinancial Debt Currency Held by the Nonbank Public Percent change from year ago Percent change from year ago 40 15 30 12 20 9 Federal Total 10 6 0 -10 3 2005 2006 2007 2008 2009 2010 2011 2012 2009 2010 Small Denomination Time Deposits Checkable Deposits Percent change from year ago Percent change from year ago 13 40 2011 2012 2011 2012 2011 2012 30 0 20 -13 10 -26 0 2009 2010 2011 2012 Money Market Mutual Fund Shares 2009 2010 Savings Deposits Percent change from year ago Percent change from year ago 20.0 30 17.5 15 15.0 0 12.5 Retail Funds -15 10.0 Institutional Funds -30 7.5 2009 2010 2011 2012 2009 2010 Research Division Federal Reserve Bank of St. Louis 5 updated through 01/15/13 Monetary Trends Adjusted and Required Reserves Billions of dollars 1800 1200 600 Adjusted Required 0 95 96 97 98 99 00 01 02 03 Total Borrowings, nsa 04 05 06 07 08 09 10 11 12 Excess Reserves plus RCB Contracts Billions of dollars Billions of dollars 1800 450 1500 1200 300 900 600 150 300 0 0 2005 2006 2007 2008 2009 2010 2011 2012 01 02 2005 2006 2007 2008 2009 2010 2011 2012 05 06 07 08 09 10 11 12 08 09 10 11 12 * Data exclude term auction credit Nonfinancial Commercial Paper Percent change from year ago 60 30 0 -30 -60 95 96 97 98 99 00 03 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. Consumer Credit Percent change from year ago 20 10 0 -10 95 96 97 98 99 00 01 02 03 04 05 06 07 Research Division 6 Federal Reserve Bank of St. Louis updated through 02/05/13 Monetary Trends Net Percentage of Domestic Banks Tightening Standards for Commercial and Industrial Loans Percentage 90 Large & Medium Firms 60 30 Small Firms 0 -30 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Net Percentage of Domestic Banks Tightening Standards for Commercial Real Estate Loans Percentage 90 60 30 0 -30 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Net Percentage of Domestic Banks Tightening Standards for Residential Mortgage Loans Percentage 80 60 40 20 0 -20 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 10 11 12 13 Net Percentage of Domestic Banks Tightening Standards for Consumer Loans Percentage 90 60 Credit Card Loans 30 0 Other Consumer Loans -30 96 97 98 99 00 01 02 03 04 05 06 07 08 09 Research Division Federal Reserve Bank of St. Louis 7 updated through 02/05/13 Monetary Trends CPI Inflation and 1-Year-Ahead CPI Inflation Expectations Percent 6 CPI Inflation 5 Humphrey-Hawkins CPI Inflation Range 4 3 2 | | | | | | | | | | | | 1 University of Michigan 0 -1 Federal Reserve Bank of Philadelphia -2 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 11 10 12 13 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. 10-Year Ahead PCE Inflation Expectations and Realized Inflation Percent 8 6 4 2 Expected Realized 0 65 70 75 80 85 90 95 00 05 10 See the notes section for an explanation of the chart. Treasury Security Yield Spreads Real Interest Rates Yield to maturity Percent, Real rate = Nominal rate less year-over-year CPI inflation 4 4 10-Year less 3-Month T-Bill 1-Year Treasury Yield 2 2 0 | | 0 10-Year less 3-Year Note -2 04 05 -2 3-Year less 3-Month T-Bill Federal Funds Rate 06 07 08 09 10 11 12 13 -4 04 05 06 07 08 09 10 11 12 13 Research Division 8 Federal Reserve Bank of St. Louis updated through 02/05/13 Monetary Trends Short-Term Interest Rates Percent 12 10 8 6 90-Day Commercial Paper Prime Rate 4 2 3-Month Treasury Yield 0 -2 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 10 11 12 13 Long-Term Interest Rates Percent 10 Conventional Mortgage 7 || || Corporate Aaa 4 10-Year Treasury Yield 1 96 97 98 99 00 01 02 03 04 05 06 07 08 09 Long-Term Interest Rates Short-Term Interest Rates Percent Percent 8 0.4 Corporate Baa 6 0.3 4 0.2 2 90-Day Commercial Paper 0.1 10-Year Treasury Yield 0 3-Month Treasury Yield 0.0 2010 2011 2012 2013 2010 2011 2012 2013 FOMC Intended Federal Funds Rate, Discount Rate, and Primary Credit Rate Percent 8 Intended Federal Funds Rate 6 Discount Rate 4 Primary Credit Rate 2 0 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Research Division Federal Reserve Bank of St. Louis 9 updated through 02/05/13 Monetary Trends Federal Funds Rate and Inflation Targets Percent 10 4% 3% 2% 1% 0% Target Inflation Rates 5 Actual 0 -5 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Calculated federal funds rate is based on Taylor's rule. Components of Taylor's Rule Actual and Potential Real GDP PCE Inflation Billions of chain-weighted 2005 dollars Percent change from year ago 5 15000 Potential 4 14000 3 13000 2 Actual 1 12000 0 11000 -1 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 See notes section for further explanation. Monetary Base Growth and Inflation Targets Percent 30 Target Inflation Rates 15 Actual 0% 1% 2% 3% 4% 0 -15 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Calculated base growth is based on McCallum's rule. Actual base growth is percent change from the previous quarter. Stars represent actual values for 2008:Q4, 2009:Q1, 2009:Q4, 2011:Q1, 2011:Q2 and are 188.02 percent, 60.74 percent, 56.52 percent, 45.94 percent, and 58.74 percent, respectively. Components of McCallum's Rule Monetary Base Velocity Growth Real Output Growth Percent Percent 20 10 Recursive Average 10-Year Moving Average | 0 | || 5 -20 0 -40 Change from a Year Ago -60 Quarter to Quarter Growth Rate -5 -80 -10 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Research Division 10 Federal Reserve Bank of St. Louis updated through 01/29/13 Monetary Trends Implied One-Year Forward Rates Rates on 3-Month Eurodollar Futures Percent 6 Percent, daily data 0.34 Week Ending: 01/27/12 12/28/12 01/25/13 5 4 Jan 2013 Mar 2013 0.32 3 0.30 2 Feb 2013 1 0 2y 5y 3y 7y 10y 0.28 11/26 Rates on Selected Federal Funds Futures Contracts 12/03 12/10 12/17 12/24 12/31 01/07 01/14 01/21 01/28 Rates on Federal Funds Futures on Selected Dates Percent, daily data Percent 0.17 0.16 Jan 2013 0.16 01/04/2013 0.15 Feb 2013 0.15 11/02/2012 0.14 0.14 Mar 2013 0.13 11/26 12/03 12/07/2012 0.13 12/10 12/17 12/24 12/31 01/07 01/14 01/21 01/28 Jan Feb Apr Mar May Jun Contract Month Inflation-Indexed Treasury Securities Inflation-Indexed Treasury Yield Spreads Weekly data Weekly data Percent Percent 4.00 4.00 1.67 1.67 -0.67 -0.67 20 -3.00 2011 15 10 2012 . 2012 2014 5 Maturity 20 -3.00 2011 15 10 2012 . Note: Yields are inflation-indexed constant maturity U.S. Treasury securities 2012 2014 5 Horizon 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 3 2 2 U.S. U.S. 1 1 0 0 -1 2009 2010 2011 2012 2013 2009 2010 2011 2012 2013 Note: Data is temporarily unavailable for the French and U.K. 10-Year Notes and Government Yield Spreads. Research Division Federal Reserve Bank of St. Louis 11 updated through 02/05/13 Monetary Trends Velocity Nominal GDP/MZM, Nominal GDP/M2 (Ratio Scale) 2.75 2.50 MZM 2.25 2.00 M2 1.75 1.50 1.25 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 09 18263 10 18628 11 18993 12 19359 Interest Rates Percent 8 6 3-Month T-Bill 4 M2 Own 2 MZM Own 0 95 96 97 98 99 00 01 02 03 04 06 07 08 09 10 11 MZM Velocity and Interest Rate Spread M2 Velocity and Interest Rate Spread Ratio Scale Ratio Scale 3.50 12 2.25 Velocity = Nominal GDP / M2 Velocity = Nominal GDP / MZM 05 3.00 2.50 2.00 1.50 2.00 1.75 1.50 1974Q1 to 1993Q4 1994Q1 to present 1974Q1 to 1993Q4 1994Q1 to present 1.25 1.00 -1 0 3 5 6 8 9 10 11 1 2 4 7 Interest Rate Spread = 3-Month T-Bill less MZM Own Rate -1 0 3 5 6 1 2 4 Interest Rate Spread = 3-Month T-Bill less M2 Own Rate Research Division 12 Federal Reserve Bank of St. Louis updated through 02/05/13 Monetary Trends Gross Domestic Product Percent change from year ago 10 8 6 4 2 0 -2 -4 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 00 01 02 03 04 05 06 07 08 09 10 11 12 Dashed lines indicate 10-year moving averages. Real Gross Domestic Product Percent change from year ago 6 3 0 -3 -6 95 96 97 98 99 Dashed lines indicate 10-year moving averages. Gross Domestic Product Price Index Percent change from year ago 5 4 3 2 1 0 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 00 01 02 03 04 05 06 07 08 09 10 11 12 Dashed lines indicate 10-year moving averages. M2 Percent change from year ago 12 9 6 3 0 95 96 97 98 99 Dashed lines indicate 10-year moving averages. Research Division Federal Reserve Bank of St. Louis 13 updated through 01/15/13 Monetary Trends Bank Credit Percent change from year ago 15 10 5 0 -5 -10 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2009 2010 2011 2012 2010 2011 2012 Investment Securities in Bank Credit at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 2003 2004 2005 2006 2007 2008 Total Loans and Leases in Bank Credit at Commercial Banks Percent change from year ago 15 10 5 0 -5 -10 -15 2003 2004 2005 2006 2007 2008 2009 Commercial and Industrial Loans at Commercial Banks Percent change from year ago 30 15 0 -15 -30 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Research Division 14 Federal Reserve Bank of St. Louis updated through 02/05/13 Monetary Trends Standard & Poor's 500 1800 150 1440 120 Composite Index (left) 1080 90 720 60 Price/Earnings Ratio (right) 360 30 0 0 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 Recent Inflation and Long-Term Interest Rates Consumer Price Inflation Rates Percent change from year ago 2012Q1 2012Q2 2012Q3 Long-Term Government Bond Rates 2012Q4 Oct12 Percent Nov12 Dec12 United States 2.82 1.90 1.71 1.90 1.75 1.65 Canada 2.34 1.58 1.22 0.94 1.81 France 2.31 2.00 1.98 1.54 2.19 Germany 2.16 1.90 1.92 1.98 1.47 Jan13 1.72 1.91 1.73 . . 2.14 2.01 . 1.34 1.30 . Italy 3.24 3.28 3.17 2.47 4.95 4.85 4.54 . Japan 0.26 0.20 -0.34 . 0.76 0.71 . . United Kingdom 3.49 2.74 2.41 2.67 1.76 1.77 1.84 . * Copyright , 2011, Organisation for Economic Cooperation and Development, OECD Main Economic Indicators (www.oecd.org). Inflation and Long-Term Interest Rate Differentials Percent Percent 4 2 Canada U.K. 1 2 Canada U.K. 0 0 Germany -1 Japan Germany -2 -2 Inflation differential = Foreign inflation less U.S. inflation Long-term rate differential = Foreign rate less U.S. rate -3 Japan -4 2010 2011 2012 2013 2010 2011 2012 2013 Research Division Federal Reserve Bank of St. Louis 15 updated through 01/15/13 Monetary Trends Money Stock M1 MZM M2 M3* Bank Adjusted Credit Monetary Base Reserves MSI M2** 2008. 1434.280 8705.314 7761.861 . 9103.840 1010.160 232.562 7621.492 2009. 1637.139 9539.557 8383.230 . 9170.403 1796.556 944.783 8242.475 2010. 1741.446 9533.019 8590.497 . 9122.675 2031.689 1144.122 8453.550 2011. 2008.964 10199.42 9218.360 . 9224.228 2538.959 1576.923 9078.800 2012. 2309.592 11054.12 10006.98 . 9718.103 2661.952 1612.186 9861.992 8333.967 2010 1 1699.940 9486.469 8471.527 . 8896.261 2089.170 1217.026 . 2 1709.377 9428.315 8553.025 . 9193.159 2034.258 1158.432 8415.500 . 3 1743.325 9523.133 8609.239 . 9198.484 2003.669 1117.966 8472.700 . 4 1813.143 9694.156 8728.196 . 9202.796 1999.659 1083.064 8592.033 2011 1 1879.454 9817.511 8874.689 . 9134.797 2242.975 1310.572 8737.467 . 2 1926.003 10046.99 9026.168 . 9156.663 2597.817 1647.666 8887.700 . 3 2077.195 10372.95 9400.685 . 9236.276 2680.091 1713.909 9259.867 . 4 2153.205 10560.22 9571.898 . 9369.177 2634.953 1635.546 9430.167 2012 1 2221.848 10787.26 9779.035 . 9543.702 2688.250 1662.914 9635.800 . 2 2249.908 10913.51 9891.751 . 9673.826 2651.079 1616.301 9747.400 . 3 2343.372 11121.75 10057.77 . 9779.087 2651.566 1601.418 9912.200 . 4 2423.240 11393.94 10299.35 . 9875.795 2656.913 1568.112 10152.57 2010 Dec 1840.155 9734.366 8765.825 . 9184.100 2009.295 1072.986 8629.800 2011 Jan 1868.385 9768.774 8829.710 . 9162.054 2057.137 1095.875 8693.100 . Feb 1878.822 9800.324 8873.224 . 9121.555 2243.572 1327.461 8736.000 . Mar 1891.154 9883.436 8921.134 . 9120.781 2428.216 1508.380 8783.300 . Apr 1903.677 9969.752 8968.075 . 9154.947 2531.668 1599.128 8830.100 . May 1930.417 10052.71 9017.075 . 9155.718 2590.336 1627.328 8878.600 . Jun 1943.915 10118.50 9093.355 . 9159.325 2671.446 1716.542 8954.400 . Jul 2003.311 10274.04 9266.617 . 9202.527 2703.445 1737.866 9126.300 . Aug 2105.149 10392.10 9457.025 . 9244.409 2680.325 1721.223 9315.800 . Sep 2123.126 10452.70 9478.412 . 9261.891 2656.502 1682.638 9337.500 . Oct 2137.718 10507.00 9525.155 . 9322.938 2678.391 1706.876 9383.900 . Nov 2154.064 10556.68 9572.867 . 9379.645 2622.981 1627.608 9431.100 . Dec 2167.833 10616.96 9617.671 . 9404.948 2603.487 1572.154 9475.500 2012 Jan 2223.246 10753.61 9747.819 . 9474.656 2647.502 1579.762 9604.600 . Feb 2217.549 10777.60 9777.469 . 9565.020 2733.060 1733.266 9634.400 . Mar 2224.749 10830.57 9811.817 . 9591.431 2684.187 1675.715 9668.400 . Apr 2253.053 10873.23 9856.561 . 9636.151 2673.652 1654.855 9712.900 . May 2243.211 10912.85 9888.167 . 9678.642 2634.871 1588.389 9743.700 . Jun 2253.459 10954.46 9930.524 . 9706.684 2644.714 1605.659 9785.600 . Jul 2316.523 11044.48 10004.70 . 9755.858 2669.125 1621.965 9859.500 . Aug 2331.026 11106.79 10041.83 . 9779.456 2669.356 1626.528 9896.300 . Sep 2382.566 11213.99 10126.77 . 9801.948 2616.218 1555.761 9980.800 . Oct 2418.532 11306.97 10220.88 . 9818.696 2648.742 1584.742 10073.90 . Nov 2395.681 11356.59 10269.14 . 9860.551 2665.094 1581.257 10123.10 . Dec 2455.507 11518.26 10408.04 . 9948.138 2656.902 1538.338 10260.70 Note: All values are given in billions of dollars. *See table of contents for changes to the series. Research Division 16 Federal Reserve Bank of St. Louis updated through 02/05/13 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 2008. 2009. 2010. 2011. 2012. 1.93 0.16 0.17 0.10 0.14 2.39 0.50 0.72 0.75 0.75 5.09 3.25 3.25 3.25 3.25 2.97 0.56 0.31 0.30 0.28 1.39 0.15 0.14 0.05 0.09 2.24 1.43 1.11 0.75 0.38 3.67 3.26 3.21 2.79 1.80 5.63 5.31 4.94 4.64 3.67 4.58 4.27 3.90 4.26 3.12 6.04 5.04 4.69 4.46 3.66 2010 . . . 1 2 3 4 0.13 0.19 0.19 0.19 0.61 0.75 0.75 0.75 3.25 3.25 3.25 3.25 0.21 0.42 0.34 0.28 0.11 0.15 0.16 0.14 1.47 1.38 0.83 0.74 3.72 3.49 2.79 2.86 5.29 5.04 4.58 4.86 3.93 3.83 3.58 4.24 5.00 4.91 4.45 4.41 2011 . . . 1 2 3 4 0.16 0.09 0.08 0.07 0.75 0.75 0.75 0.75 3.25 3.25 3.25 3.25 0.28 0.22 0.29 0.42 0.13 0.05 0.02 0.01 1.16 0.95 0.47 0.42 3.46 3.21 2.43 2.05 5.13 5.04 4.46 3.93 4.71 4.50 4.02 3.82 4.85 4.66 4.31 4.01 2012 . . . 1 2 3 4 0.10 0.15 0.14 0.16 0.75 0.75 0.75 0.75 3.25 3.25 3.25 3.25 0.33 0.30 0.27 0.23 0.07 0.09 0.10 0.09 0.42 0.40 0.35 0.36 2.04 1.82 1.64 1.71 3.89 3.80 3.45 3.54 3.31 3.32 3.05 2.81 3.92 3.79 3.55 3.36 2011 Jan . Feb . Mar 0.17 0.16 0.14 0.75 0.75 0.75 3.25 3.25 3.25 0.29 0.28 0.28 0.15 0.13 0.10 1.03 1.28 1.17 3.39 3.58 3.41 5.04 5.22 5.13 4.86 4.79 4.47 4.76 4.95 4.84 . . . Apr May Jun 0.10 0.09 0.09 0.75 0.75 0.75 3.25 3.25 3.25 0.23 0.21 0.22 0.06 0.04 0.04 1.21 0.94 0.71 3.46 3.17 3.00 5.16 4.96 4.99 4.93 4.33 4.23 4.84 4.64 4.51 . . . Jul Aug Sep 0.07 0.10 0.08 0.75 0.75 0.75 3.25 3.25 3.25 0.24 0.29 0.33 0.04 0.02 0.01 0.68 0.38 0.35 3.00 2.30 1.98 4.93 4.37 4.09 4.31 3.90 3.84 4.55 4.27 4.11 . . . Oct Nov Dec 0.07 0.08 0.07 0.75 0.75 0.75 3.25 3.25 3.25 0.37 0.41 0.49 0.02 0.01 0.01 0.47 0.39 0.39 2.15 2.01 1.98 3.98 3.87 3.93 3.93 3.79 3.75 4.07 3.99 3.96 2012 Jan . Feb . Mar 0.08 0.10 0.13 0.75 0.75 0.75 3.25 3.25 3.25 0.40 0.30 0.29 0.03 0.09 0.08 0.36 0.38 0.51 1.97 1.97 2.17 3.85 3.85 3.99 3.48 3.09 3.37 3.92 3.89 3.95 . . . Apr May Jun 0.14 0.16 0.16 0.75 0.75 0.75 3.25 3.25 3.25 0.29 0.29 0.32 0.08 0.09 0.09 0.43 0.39 0.39 2.05 1.80 1.62 3.96 3.80 3.64 3.43 3.20 3.32 3.91 3.80 3.68 . . . Jul Aug Sep 0.16 0.13 0.14 0.75 0.75 0.75 3.25 3.25 3.25 0.30 0.26 0.24 0.10 0.10 0.11 0.33 0.37 0.34 1.53 1.68 1.72 3.40 3.48 3.49 3.18 3.01 2.96 3.55 3.60 3.50 . . . Oct Nov Dec 0.16 0.16 0.16 0.75 0.75 0.75 3.25 3.25 3.25 0.23 0.23 0.24 0.10 0.09 0.07 0.37 0.36 0.35 1.75 1.65 1.72 3.47 3.50 3.65 2.86 2.76 2.81 3.38 3.35 3.35 2013 Jan 0.14 0.75 3.25 0.23 0.07 0.39 1.91 3.80 . 3.41 Note: All values are given as a percent at an annual rate. Research Division Federal Reserve Bank of St. Louis 17 updated through 01/15/13 Monetary Trends M1 MZM M2 M3* Percent change at an annual rate 2008. 2009. 2010. 2011. 2012. 4.51 14.14 6.37 15.36 14.96 14.06 9.58 -0.07 6.99 8.38 6.84 8.01 2.47 7.31 8.55 . . . . . 2010 . . . 1 2 3 4 3.80 2.22 7.94 16.02 -3.03 -2.45 4.02 7.18 0.99 3.85 2.63 5.53 . . . . 2011 . . . 1 2 3 4 14.63 9.91 31.40 14.64 5.09 9.35 12.98 7.22 6.71 6.83 16.60 7.29 . . . . 2012 . . . 1 2 3 4 12.75 5.05 16.62 13.63 8.60 4.68 7.63 9.79 8.66 4.61 6.71 9.61 . . . . 2010 Dec 11.67 4.37 5.65 . 2011 Jan . Feb . Mar 18.41 6.70 7.88 4.24 3.88 10.18 8.75 5.91 6.48 . . . . . . Apr May Jun 7.95 16.86 8.39 10.48 9.99 7.85 6.31 6.56 10.15 . . . . . . Jul Aug Sep 36.67 61.00 10.25 18.45 13.79 7.00 22.86 24.66 2.71 . . . . . . Oct Nov Dec 8.25 9.18 7.67 6.23 5.67 6.85 5.92 6.01 5.62 . . . 2012 Jan . Feb . Mar 30.67 -3.07 3.90 15.44 2.68 5.90 16.24 3.65 4.22 . . . . . . Apr May Jun 15.27 -5.24 5.48 4.73 4.37 4.57 5.47 3.85 5.14 . . . . . . Jul Aug Sep 33.58 7.51 26.53 9.86 6.77 11.58 8.96 4.45 10.15 . . . . . . Oct Nov Dec 18.11 -11.34 29.97 9.95 5.27 17.08 11.15 5.67 16.23 . . . *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 Spreads are a measure of inflation compensation at those horizons, and it is simply the Research Division Federal Reserve Bank of St. Louis 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. Retail Money Market Mutual Funds are included in M2. Institutional money market funds are not included in M2. Page 6: 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 7: Data are reported in the Senior Loan Officer Opinion Survey on Bank Lending Practices. 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-over-year CPI inflation. From 1991 to the present the source of the long-term PCE inflation expectations data is the Federal Reserve Bank of Philadelphia’s Survey of Professional Forecasters. Prior to 1991, the data were obtained from the Board of Governors of the Federal Reserve System. Realized (actual) inflation is the annualized rate of change for the 40-quarter period that corresponds to the forecast horizon (the expectations measure). For example, in 1965:Q1, annualized PCE inflation over the next 40 quarters was expected to average 1.7 percent. In actuality, the average annualized rate of change measured 4.8 percent from 1965:Q1 to 1975:Q1. Thus, the vertical distance between the two lines in the chart at any point is the forecast error. 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 + π t –1 + (π t –1 – π* )/2 + 100 × (yt –1 – yt –1P )/2 to five alternative target inflation rates, π* = 0, 1, 2, 3, 4 percent, where ft* is the implied federal funds rate, π 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 estimated by the Congressional Budget Office (CBO). Monetary Base Growth and Inflation Targets shows the quarterly growth of the adjusted monetary base implied by applying McCallum’s (2000, p. 52) equation Δbt = Δxt* − Δvta + λ ( Δxt* − Δxt −1 ), Δxt* = π * + Δyt* to five alternative target inflation rates, π* = 0, 1, 2, 3, 4 percent, where Δbt is the implied growth rate of the adjusted monetary base, Δy*t is the 10-year 19 Monetary Trends moving average growth in real GDP, Δνtα is the average base velocity growth (calculated recursively), Δxt–1 is the lag growth rate of nominal GDP, and λ = 0.5. 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 4/16/2020, and the current U.S. note has a maturity date of 11/15/2020. 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 2005 dollars. Page 14: Investment Securities are all securities held by commercial banks in both investment and trading accounts. 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. 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. 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. Senior Loan Officer Opinion Survey on Bank Lending Practices. 20 Bureau of Economic Analysis: GDP. Bureau of Labor Statistics: CPI. Chicago Board of Trade: Federal funds futures contract. 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. (2000). “Alternative Monetary Policy Rules: A Comparison with Historical Settings for the United States, the United Kingdom, and Japan,” Federal Reserve Bank of Richmond Economic Quarterly, vol. 86/1, Winter. Motley, Brian (1988). “Should M2 Be Redefined?” Federal Reserve Bank of San Francisco Economic Review, Winter, pp. 33-51. 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. 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/. Research Division Federal Reserve Bank of St. Louis