Full text of Monetary Trends : May 2003
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MonetaryTrends May 2003 Replacement Windows: New Credit Programs at the Discount Window T he Federal Reserve lends directly to commercial banks and other depository institutions (hereafter “banks”) through its discount window. Such lending helps ensure adequate liquidity in the banking system and serves as a backup source of short-term funding for banks. On January 9, 2003, the Federal Reserve introduced new lending programs designed to better accomplish these functions. The Fed replaced its previous programs, “adjustment” and “extended” credit, with “primary” and “secondary” credit programs. (The “seasonal” credit program remains unchanged.) The new programs differ from their predecessors in several respects, the most significant of which are (i) that the interest rates charged for primary and secondary credit are set above the prevailing rate for federal funds and (ii) that banks ordinarily face few, if any, restrictions on their use of primary credit.1 Traditionally, the Fed’s discount rate was set below the market rate for federal funds. The volume of outstanding discount loans was ordinarily small, however, because the Federal Reserve prohibited banks from using discount window loans to finance sales of federal funds or for otherwise expanding their assets. Banks also were thought to be reluctant to borrow from the discount window because of a stigma associated with such borrowing. The chart shows the levels of the discount rate and market federal funds rate, as well as discount window borrowing as a percentage of total reserves, for 1987-2002. Except for a brief surge in borrowing after September 11, 2001, discount loans rarely exceeded 1 percent of total banking system reserves in these years, even though the discount rate was almost always less than the funds rate. In contrast to adjustment and extended credit, primary credit may be used for any purpose, including financing the sale of federal funds, and banks are no longer required to seek funds from alternative sources before requesting a discount window loan. Primary credit, however, is available only to sound banks—generally those with adequate capital and supervisory ratings for safety and soundness (i.e., CAMELS composite ratings of 1, 2, or 3). Secondary credit is intended for banks that are not eligible for primary credit, and may not be used to fund an expansion of a bank’s assets. The primary credit lending rate is set above the Federal Open Market Committee’s target federal funds rate, and the secondary credit rate is set above the primary credit rate. Thus, the discount window should serve only as a backup source of funds for banks, as sound banks ordinarily will choose to obtain short-term funds less expensively from the federal funds market or other market sources. Indeed, the primary credit rate is expected to cap the market funds rate. By introducing a separate lending program for sound banks and imposing few restrictions on the use of primary credit, however, the Fed has likely minimized banks’ reluctance to borrow from the discount window. Hence, the new credit programs are expected to ensure that funding is readily available at the primary credit rate in the event of a temporary shortage of liquidity in the banking system. —David C. Wheelock 1 For additional details about the programs, see <http://www.frbdiscountwindow.org>. Federal Funds Rate, Discount Rate, and Discount Window Borrowing Quarterly Averages, 1987-2002 Percentage Points 12 10 Funds Rate 8 6 Discount Rate 4 2 Borrowing (percent of total reserves) 0 87Q1 89Q1 91Q1 93Q1 95Q1 97Q1 Views expressed do not necessarily reflect official positions of the Federal Reserve System. Available on the web at research.stlouisfed.org 99Q1 01Q1 03Q1 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-Protected 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. Except where otherwise noted, solid shading indicates recessions, as determined by the National Bureau of Economic Research. The NBER has not yet determined the end of the recession that began in March 2001; however, the hatched shading indicates this recession ended in November 2001, as determined by a statistical model for dating business cycle turning points developed by Marcelle Chauvet (“An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching,” International Economic Review, November 1998, pp. 969-96) and discussed by Marcelle Chauvet and Jeremy Piger (“Identifying Business Cycle Turning Points in Real Time,” Federal Reserve Bank of St. Louis Review, March/April 2003, pp. 47-62). 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 Beginning this issue, MZM and M2 velocities reported on page 12 are plotted on a ratio scale. or to: stlsFRED@stls.frb.org Monetary Trends is published monthly by the Research Division of the Federal Reserve Bank of St. Louis. Single-copy subscriptions are available free of charge by writing to the Public Affairs Department, Federal Reserve Bank of St. Louis, P.O. Box 442, St. Louis, MO 63166-0442 or by calling (314) 444-8809. Subscription forms may also be completed online at research.stlouisfed.org/order/pubform.php. For more information on data in this publication, please visit research.stlouisfed.org/fred or call (314) 444-8590. The entire publication is also available on the Internet at research.stlouisfed.org/publications/mt. updated through 04/14/03 Monetary Trends Reserve Market Rates M2 and MZM Billions of dollars Percent 6400 7.00 Effective Federal Funds Rate Intended Federal Funds Rate 6.50 6150 6.00 5900 5.50 5.00 5650 M2 4.50 5400 4.00 5150 3.50 3.00 4900 Primary Credit Rate 2.50 Discount Rate 2.00 4650 MZM 1.50 4400 1.00 4150 0.50 2000 2000 2001 2001 2002 2002 2003 2003 2004 Adjusted Monetary Base 2000 2000 2001 2001 2002 2002 2003 2003 2004 Treasury Yield Curve Percent change at an annual rate Percent 60 6.0 50 5.5 5.0 40 Week Ending: 04/12/02 03/14/03 04/11/03 4.5 30 4.0 20 3.5 10 3.0 0 2.5 -10 2.0 -20 1.5 -30 1.0 2000 2000 2001 2001 2002 2002 2003 2003 3m 1y 2y 3y 5y 7y 10y 2004 Total Bank Credit Interest Rates Feb 03 Mar 03 Federal Funds Rate Jan 03 1.24 1.26 1.25 Prime Rate 4.25 4.25 4.25 . 2.25 2.25 Percent change at an annual rate 50 40 Primary Credit Rate Conventional Mortgage Rate 30 5.92 . Treasury Yields Treasury Yields: 20 10 0 5.84 . . 5.75 . . . 3-Month Constant Maturity 1.19 1.19 1.15 6-Month Constant Maturity 1.22 1.20 1.16 1-Year Constant Maturity 1.36 1.30 1.24 3-Year Constant Maturity 2.18 2.05 1.98 5-Year Constant Maturity 3.05 2.90 2.78 10-Year Constant Maturity 4.05 3.90 3.81 -10 2000 2000 2001 2001 2002 2002 2003 2003 2004 Research Division Federal Reserve Bank of St. Louis 3 updated through 04/14/03 Monetary Trends MZM and M1 Percent change from year ago 25 20 15 10 MZM 5 0 M1 -5 -10 1986 86 1987 87 1988 88 1989 89 1990 90 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 M2 Percent change from year ago 15 10 5 0 -5 1986 86 1987 87 1988 88 1989 89 1990 90 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 M3 Percent change from year ago 15 10 5 0 -5 1986 86 1987 87 1988 88 1989 89 1990 90 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 Monetary Services Index - M2 Percent change from year ago 15 10 5 0 -5 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Research Division 4 Federal Reserve Bank of St. Louis updated through 04/14/03 Monetary Trends Adjusted Monetary Base Percent change from year ago 20 15 10 5 0 -5 1986 86 1987 87 1988 88 1989 89 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 98 1998 1999 99 00 2000 2001 01 2002 02 2003 Domestic Nonfinancial Debt Currency Held by the Nonbank Public Percent change from year ago Percent change from year ago 03 2004 15 15 10 Total 10 5 0 5 Federal -5 -10 0 1995 1996 1997 1998 1999 2000 2001 2002 1995 1996 1997 1998 1999 2000 2001 2002 2003 2000 2000 2001 2001 2002 2002 2003 Time Deposits Checkable and Savings Deposits Percent change from year ago Percent change from year ago 30 2003 2004 30 25 25 Large Denomination 20 20 15 15 10 10 5 5 0 0 -5 -5 Small Denomination -10 Savings -10 -15 Checkable -15 2000 2000 2001 2001 2002 2002 2003 2003 2004 Money Market Mutual Fund Shares 2000 2000 2001 2001 2002 2002 2003 Billions of dollars 55 50 45 40 35 30 25 20 15 10 5 0 -5 -10 500 Billions of dollars 400 450 350 Repos (left) Institutional Funds 400 300 350 250 300 Retail Funds 200 Eurodollars (right) 250 150 200 2000 2001 2001 2002 2002 2003 2003 2004 Repurchase Agreements and Eurodollars Percent change from year ago 2000 2003 100 2000 2001 2002 2003 2004 Research Division Federal Reserve Bank of St. Louis 5 updated through 04/14/03 Monetary Trends M1 Percent change at an annual rate 80 60 40 20 0 -20 -40 -60 1986 86 1987 87 1988 88 1989 89 1990 90 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 MZM Percent change at an annual rate 40 30 20 10 0 -10 -20 1986 86 1987 87 1988 88 1989 89 1990 90 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 M2 Percent change at an annual rate 40 30 20 10 0 -10 1986 86 1987 87 1988 88 1989 89 1990 90 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 M3 Percent change at an annual rate 40 30 20 10 0 -10 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Research Division 6 Federal Reserve Bank of St. Louis updated through 04/14/03 Monetary Trends Adjusted and Required Reserves Billions of dollars 100 80 Adjusted 60 Required 40 20 0 1986 86 1987 87 1988 88 1989 89 1990 90 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 Total Borrowings, nsa Excess Reserves plus RCB Contracts Billions of dollars Billions of dollars 3.5 28 3.0 24 2.5 03 2004 20 2.0 16 1.5 12 1.0 8 0.5 0.0 4 1996 1996 1997 1998 1999 2000 2001 2002 2003 1997 1998 1999 2000 2001 2002 2003 2004 1996 1997 1998 1999 2000 2001 2002 2003 1996 1997 1998 1999 2000 2001 2002 2003 2004 Nonfinancial Commercial Paper Percent change from year ago 60 40 20 0 -20 -40 1986 86 1987 87 1988 88 1989 89 1990 90 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 Consumer Credit Percent change from year ago 20 15 10 5 0 -5 -10 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Research Division Federal Reserve Bank of St. Louis 7 updated through 04/09/03 Monetary Trends Inflation and Inflation Expectations Percent 10 8 6 Federal Reserve Bank of Philadelphia Humphrey-Hawkins CPI Inflation Range 4 University of Michigan 2 CPI Inflation 0 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 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 10-Year less 3-Month 4 2 0 10-Year less 3-Year 3-Year less 3-Month -2 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Real Interest Rates Percent, Real rate = Nominal rate less CPI inflation 8 6 1-Year Treasury Yield 4 2 Federal Funds Rate 0 -2 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Research Division 8 Federal Reserve Bank of St. Louis updated through 04/02/03 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 1986 86 1987 87 1988 88 1989 89 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 02 2002 2003 03 2004 Long-Term Interest Rates Percent 13 Conventional Mortgage 11 9 7 Corporate Aaa 5 10-Year Treasury Yield 3 1986 86 1987 87 1988 88 1989 89 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 Long-Term Interest Rates Short-Term Interest Rates Percent Percent 9 2001 01 02 2002 2003 03 2004 9 8 8 90-Day Commercial Paper 7 Corporate Baa 7 6 5 6 3-Month Treasury Yield 4 5 3 10-Year Treasury Yield 2 4 1 3 0 2000 2000 2001 2001 2002 2002 2003 2003 2004 2000 2000 2001 2001 2002 2002 2003 2003 2004 FOMC Intended Federal Funds Rate, Discount Rate, and Primary Credit Rate Percent 12 10 Intended Federal Funds Rate 8 6 Discount Rate Primary Credit Rate 4 2 0 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Research Division Federal Reserve Bank of St. Louis 9 updated through 03/31/03 Monetary Trends Federal Funds Rate and Inflation Targets Percent 12 4% 3% 2% 1% 0% Target Inflation Rates 9 Actual 6 3 0 1993 1993 1994 1995 1994 1995 1996 1996 1997 1997 1998 1999 1998 1999 Calculated federal funds rate is based on Taylor’s rule. See notes on page 19. 2000 2000 2001 2002 2001 2002 2003 Components of Taylor’s Rule Actual and Potential Real GDP PCE Inflation and Projections Billions of chain-weighted 1996 dollars Percent change from year ago 10000 6 9500 5 Actual 9000 4 8500 Potential 8000 3 2 7500 1 7000 6500 0 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 The shaded region shows the range of projections published in the Monetary Policy Report to Congress. Monetary Base Growth* and Inflation Targets Percent 12 Actual 9 6 3 0% 1% 2% 3% 4% Target Inflation Rates 0 1993 93 1994 1995 94 95 1996 96 1997 97 1998 1999 98 99 2000 2001 00 2002 01 02 *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. 03 Components of McCallum’s Rule Monetary Base Velocity Growth Real Output Growth Percent Percent 8 8 1-Year Moving Average 4 1-Year Moving Average 4 10-Year Moving Average 0 0 4-Year Moving Average -4 -8 -4 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 1993 03 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 03 Research Division 10 Federal Reserve Bank of St. Louis updated through 04/14/03 Monetary Trends Implied One-Year Forward Rates Rates on 3-Month Eurodollar Futures Percent, daily data Percent 8 6 1.4 Week Ending: 04/12/02 03/14/03 04/11/03 Apr 2003 May 2003 1.3 4 1.2 2 1.1 || || || || Jun 2003 0 2y 3y 5y 7y 10y 1.0 02/10 Rates on Selected Fed Funds Futures Contracts 02/17 02/24 03/03 03/10 03/17 03/24 03/31 04/07 04/14 Implied Yields on Fed Funds Futures Percent, daily data Percent 1.3 1.3 Apr 2003 1.2 1.2 02/14/2003 May 2003 04/11/2003 1.1 1.1 Jun 2003 1.0 03/14/2003 1.0 02/10 02/17 02/24 03/03 03/10 03/17 03/24 03/31 04/07 04/14 Apr May Jun Jul Aug Sep Inflation-Protected Treasury Yields Inflation-Protected Treasury Yield Spreads Percent, weekly data Percent, weekly data 4 5.0 4.5 3 4.0 30-Year 3.5 2 30-Year 3.0 10-Year 2.5 10-Year 1 2.0 1.5 0 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 1999 1999 2000 2000 2001 2001 2002 2002 Inflation-Indexed 30-Year Bonds Inflation-Indexed 10-Year Bonds Percent, weekly data Percent, weekly data 6 2003 2003 2004 6 5 5 U.S. U.S. Canada 4 4 3 3 2 2 U.K. 1 1999 14245 2000 14610 2001 14976 1 2002 15341 U.K. 2003 15706 1999 16071 14245 2000 14610 2001 14976 2002 15341 2003 15706 16071 Research Division Federal Reserve Bank of St. Louis 11 updated through 04/14/03 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 9132 85 9497 86 9862 87 10227 88 10593 89 10958 90 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 Interest Rates Percent 10 8 6 3-mo Bill 4 M2 Own MZM Own 2 0 85 9497 86 9862 87 10227 88 10593 89 10958 90 11323 91 11688 92 12054 93 12419 94 12784 95 13149 96 13515 97 13880 98 14245 99 14610 00 14976 01 15341 MZM Velocity and Interest Rate Spread M2 Velocity and Interest Rate Spread Ratio Scale Ratio Scale 3.50 02 15706 2.25 Velocity = Nominal GDP / M2 Velocity = Nominal GDP / MZM 9132 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 - 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 Interest Rate Spread = 3-Month T-Bill - M2 Own Rate 6.0 Research Division 12 Federal Reserve Bank of St. Louis updated through 04/14/03 Monetary Trends Gross Domestic Product Percent change from year ago 20 15 10 5 0 1985 85 1986 86 1987 87 1988 88 1989 89 1990 90 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 Dashed lines indicate 10-year moving averages. Real Gross Domestic Product Percent change from year ago 15 10 5 0 -5 1985 85 1986 86 1987 87 1988 88 1989 89 1990 90 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 Dashed lines indicate 10-year moving averages. Gross Domestic Product Price Index Percent change from year ago 20 15 10 5 0 1985 85 1986 86 1987 87 1988 88 1989 89 1990 90 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 Dashed lines indicate 10-year moving averages. M2 Percent change from year ago 20 15 10 5 0 86 1986 87 1987 88 1988 89 1989 90 1990 91 1991 92 1992 93 1993 94 1994 95 1995 96 1996 97 1997 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 2004 Dashed lines indicate 10-year moving averages. Research Division Federal Reserve Bank of St. Louis 13 updated through 04/14/03 Monetary Trends Bank Credit Percent change from year ago 20 15 10 5 0 1994 1994 1995 1995 1996 1996 1997 1997 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 Investment Securities in Bank Credit at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 1994 1994 1995 1995 1996 1996 1997 1997 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 Total Loans and Leases in Bank Credit at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 1994 1994 1995 1995 1996 1996 1997 1997 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 Commercial and Industrial Loans at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 -10 1994 1994 1995 1995 1996 1996 1997 1997 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 Research Division 14 Federal Reserve Bank of St. Louis updated through 04/14/03 Monetary Trends Standard & Poor’s 500 1600 48 1400 42 1200 36 1000 30 Price/Earnings Ratio (right) 800 24 600 18 400 12 Composite Index (left) 200 6 0 0 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 Recent Inflation and Long-Term Interest Rates Consumer Price Inflation Rates Long-Term Government Bond Rates Percent change from year ago 2002Q1 2002Q2 2002Q3 2002Q4 Percent Dec02 Jan03 Feb03 Mar03 United States 1.19 1.24 1.58 2.25 4.03 4.05 3.90 3.81 Canada 1.53 1.33 2.33 3.79 4.88 5.02 4.93 5.13 France 2.13 1.63 1.75 2.14 4.79 4.41 4.33 . Germany 1.90 1.16 1.03 1.16 4.30 4.18 3.95 4.00 Italy 2.41 2.27 2.41 2.77 4.55 4.38 4.16 4.18 -1.40 -0.90 -0.87 -0.40 0.84 0.75 0.72 0.64 1.21 1.23 1.53 2.56 4.57 4.40 4.24 . Japan United Kingdom Inflation and Long-Term Interest Rate Differentials Percent Percent 3 3 Canada U.K. Canada 0 0 U.K. Japan Germany Germany -3 -3 Inflation differential = Foreign inflation less U.S. inflation Long-term rate differential = Foreign rate less U.S. rate -6 Japan -6 14610 2000 14976 2001 15341 2002 15706 2003 16071 14610 2000 14976 2001 15341 2002 15706 2003 16071 Research Division Federal Reserve Bank of St. Louis 15 updated through 04/14/03 Monetary Trends Money Stock Bank Adjusted M1 MZM M2 M3 Credit Monetary Base Reserves MSI M2 1998. 1080.016 3707.676 4206.459 5747.977 4329.574 508.942 67.808 241.499 1999. 1101.888 4167.305 4523.633 6248.602 4587.385 557.865 72.360 257.790 2000. 1104.045 4504.688 4798.744 6835.799 5037.361 590.821 68.319 272.405 2001. 1137.041 5214.991 5218.119 7614.441 5357.837 623.788 68.983 296.067 2002. 1191.271 5890.649 5620.537 8224.221 5606.426 678.865 70.129 319.092 2001 1 1100.484 4851.627 5028.958 7270.803 5278.948 604.848 66.577 285.133 . 2 1116.478 5103.197 5156.375 7538.275 5326.133 610.939 65.235 292.627 . 3 1163.269 5323.070 5287.777 7718.573 5377.345 633.771 73.522 300.320 . 4 1167.931 5582.071 5399.365 7930.112 5448.923 645.595 70.596 306.187 2002 1 1184.655 5719.453 5490.160 8044.869 5436.937 663.335 70.297 311.380 . 2 1182.774 5810.252 5545.959 8127.813 5499.993 674.121 69.186 315.070 . 3 1192.042 5953.936 5672.614 8283.597 5667.444 684.786 69.477 321.947 . 4 1205.615 6078.953 5773.416 8440.606 5821.331 693.218 71.557 327.970 2003 1 1226.215 6172.395 5866.491 8550.715 5932.103 709.368 73.034 333.783 2001 Mar 1107.965 4942.648 5079.257 7339.726 5290.617 606.425 65.080 288.020 . Apr 1106.282 5023.156 5125.029 7456.386 5316.290 605.800 63.239 290.700 . May 1117.017 5096.859 5149.815 7535.539 5329.758 613.259 67.119 292.380 . Jun 1126.135 5189.575 5194.282 7622.899 5332.352 613.759 65.346 294.800 . Jul 1138.346 5243.358 5228.639 7660.362 5339.378 619.440 66.654 296.830 . Aug 1149.702 5277.079 5262.000 7669.345 5360.037 627.455 66.379 299.080 . Sep 1201.758 5448.773 5372.691 7826.012 5432.619 654.419 87.534 305.050 . Oct 1164.475 5507.546 5358.520 7860.421 5428.243 644.250 72.956 304.050 . Nov 1165.870 5581.293 5398.998 7934.569 5464.045 644.417 69.378 306.220 . Dec 1173.448 5657.374 5440.578 7995.347 5454.480 648.117 69.455 308.290 2002 Jan 1179.706 5678.119 5464.352 8006.534 5431.902 655.869 70.666 309.800 . Feb 1186.123 5732.647 5502.677 8057.823 5441.955 667.217 71.245 312.010 . Mar 1188.136 5747.592 5503.450 8070.251 5436.955 666.918 68.980 312.330 . Apr 1173.682 5747.376 5491.487 8073.065 5453.948 667.691 68.480 312.260 . May 1184.393 5818.670 5557.324 8137.026 5502.122 676.061 70.546 315.590 . Jun 1190.248 5864.711 5589.065 8173.347 5543.909 678.610 68.531 317.360 . Jul 1197.364 5915.231 5637.899 8222.881 5594.610 682.348 68.943 319.780 . Aug 1186.289 5959.936 5676.871 8292.697 5676.160 684.570 69.021 322.140 . Sep 1192.472 5986.641 5703.072 8335.213 5731.563 687.439 70.468 323.920 . Oct 1203.600 5991.142 5742.402 8342.249 5754.768 690.454 70.817 326.180 . Nov 1202.743 6100.145 5781.354 8462.255 5829.918 693.675 71.461 328.380 . Dec 1210.501 6145.573 5796.492 8517.314 5879.306 695.526 72.392 329.350 2003 Jan 1212.226 6143.704 5825.727 8513.154 5873.106 701.446 73.007 331.400 . Feb 1231.710 6183.909 5880.101 8564.841 5947.678 713.705 73.925 334.540 . Mar 1234.708 6189.573 5893.644 8574.149 5975.524 712.952 72.170 335.410 *All values are given in billions of dollars. Research Division 16 Federal Reserve Bank of St. Louis updated through 04/14/03 Monetary Trends Federal Discount Primary Prime 3-mo Funds Rate Credit Rate Rate CDs Treasury Yields 3-mo 3-yr Corporate 10-yr Aaa Bonds S&L Aaa Bonds Conventional Mortgage 1998. 5.35 4.92 . 8.35 5.47 4.91 5.14 5.26 6.53 4.93 6.94 1999. 4.97 4.62 . 7.99 5.33 4.78 5.49 5.64 7.04 5.28 7.43 2000. 6.24 5.73 . 9.23 6.46 6.00 6.22 6.03 7.62 5.58 8.06 2001. 3.89 3.41 . 6.92 3.69 3.47 4.08 5.02 7.08 4.99 6.97 2002. 1.67 1.17 . 4.68 1.73 1.63 3.10 4.61 6.49 4.87 6.54 2001 1 5.59 5.11 . 8.62 5.26 4.95 4.64 5.05 7.08 5.03 7.01 . 2 4.33 3.83 . 7.34 4.10 3.75 4.43 5.27 7.22 5.11 7.13 . 3 3.50 3.06 . 6.57 3.34 3.24 3.93 4.98 7.11 4.87 6.97 . 4 2.13 1.64 . 5.16 2.06 1.94 3.33 4.77 6.92 4.97 6.78 2002 1 1.73 1.25 . 4.75 1.82 1.76 3.75 5.08 6.62 5.02 6.97 . 2 1.75 1.25 . 4.75 1.83 1.75 3.77 5.10 6.71 5.01 6.81 . 3 1.74 1.25 . 4.75 1.76 1.67 2.62 4.26 6.35 4.72 6.29 . 4 1.44 0.94 . 4.45 1.49 1.36 2.27 4.01 6.28 4.71 6.08 2003 1 1.25 . 2.25 4.25 1.26 1.18 2.07 3.92 6.00 4.60 5.83 2001 Mar 5.31 4.81 . 8.32 4.89 4.54 4.43 4.89 6.98 5.00 6.95 7.08 . Apr 4.80 4.28 . 7.80 4.53 3.97 4.42 5.14 7.20 5.14 . May 4.21 3.73 . 7.24 4.02 3.70 4.51 5.39 7.29 5.15 7.15 . Jun 3.97 3.47 . 6.98 3.74 3.57 4.35 5.28 7.18 5.03 7.16 . Jul 3.77 3.25 . 6.75 3.66 3.59 4.31 5.24 7.13 4.79 7.13 . Aug 3.65 3.16 . 6.67 3.48 3.44 4.04 4.97 7.02 4.89 6.95 . Sep 3.07 2.77 . 6.28 2.87 2.69 3.45 4.73 7.17 4.93 6.82 . Oct 2.49 2.02 . 5.53 2.31 2.20 3.14 4.57 7.03 4.89 6.62 . Nov 2.09 1.58 . 5.10 2.03 1.91 3.22 4.65 6.97 4.85 6.66 . Dec 1.82 1.33 . 4.84 1.83 1.72 3.62 5.09 6.77 5.18 7.07 2002 Jan 1.73 1.25 . 4.75 1.74 1.68 3.56 5.04 6.55 5.05 7.00 . Feb 1.74 1.25 . 4.75 1.82 1.76 3.55 4.91 6.51 4.93 6.89 . Mar 1.73 1.25 . 4.75 1.91 1.83 4.14 5.28 6.81 5.09 7.01 . Apr 1.75 1.25 . 4.75 1.87 1.75 4.01 5.21 6.76 5.09 6.99 . May 1.75 1.25 . 4.75 1.82 1.76 3.80 5.16 6.75 5.03 6.81 . Jun 1.75 1.25 . 4.75 1.81 1.73 3.49 4.93 6.63 4.92 6.65 . Jul 1.73 1.25 . 4.75 1.79 1.71 3.01 4.65 6.53 4.81 6.49 . Aug 1.74 1.25 . 4.75 1.73 1.65 2.52 4.26 6.37 4.78 6.29 . Sep 1.75 1.25 . 4.75 1.76 1.66 2.32 3.87 6.15 4.58 6.09 . Oct 1.75 1.25 . 4.75 1.73 1.61 2.25 3.94 6.32 4.66 6.11 . Nov 1.34 0.83 . 4.35 1.39 1.25 2.32 4.05 6.31 4.77 6.07 . Dec 1.24 0.75 . 4.25 1.34 1.21 2.23 4.03 6.21 4.70 6.05 2003 Jan 1.24 . . 4.25 1.29 1.19 2.18 4.05 6.17 4.72 5.92 . Feb 1.26 . 2.25 4.25 1.27 1.19 2.05 3.90 5.95 4.57 5.84 . Mar 1.25 . 2.25 4.25 1.23 1.15 1.98 3.81 5.89 4.51 5.75 *All values are given as a percent at an annual rate. Research Division Federal Reserve Bank of St. Louis 17 updated through 04/14/03 Monetary Trends M1 MZM M2 M3 Percent change at an annual rate 1998. 1.00 11.67 7.30 10.36 1999. 2.03 12.40 7.54 8.71 2000. 0.20 8.10 6.08 9.40 2001. 2.99 15.77 8.74 11.39 2002. 4.77 12.96 7.71 8.01 2001 1 2.66 18.59 10.64 13.23 . 2 5.81 20.74 10.13 14.71 . 3 16.76 17.23 10.19 9.57 . 4 1.60 19.46 8.44 10.96 2002 1 5.73 9.84 6.73 5.79 . 2 -0.64 6.35 4.07 4.12 . 3 3.13 9.89 9.13 7.67 . 4 4.55 8.40 7.11 7.58 2003 1 6.83 6.15 6.45 5.22 2001 Mar 8.48 20.64 12.61 11.04 19.07 . Apr -1.82 19.55 10.81 . May 11.64 17.61 5.80 12.74 . Jun 9.80 21.83 10.36 13.91 . Jul 13.01 12.44 7.94 5.90 . Aug 11.97 7.72 7.66 1.41 . Sep 54.33 39.04 25.24 24.51 . Oct -37.23 12.94 -3.17 5.28 . Nov 1.44 16.07 9.06 11.32 . Dec 7.80 16.36 9.24 9.19 2002 Jan 6.40 4.40 5.24 1.68 . Feb 6.53 11.52 8.42 7.69 . Mar 2.04 3.13 0.17 1.85 . Apr -14.60 -0.05 -2.61 0.42 . May 10.95 14.89 14.39 9.51 . Jun 5.93 9.50 6.85 5.36 . Jul 7.17 10.34 10.48 7.27 . Aug -11.10 9.07 8.30 10.19 . Sep 6.25 5.38 5.54 6.15 . Oct 11.20 0.90 8.28 1.01 . Nov -0.85 21.83 8.14 17.26 . Dec 7.74 8.94 3.14 7.81 -0.59 2003 Jan 1.71 -0.36 6.05 . Feb 19.29 7.85 11.20 7.29 . Mar 2.92 1.10 2.76 1.30 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: M2 minus small-denomination time deposits, plus institutional money market mutual funds. The label MZM was coined by William Poole (1991) for this aggregate, proposed earlier by Motley (1988). M2: M1 plus savings deposits (including money market deposit accounts) and small-denomination (less than $100,000) time deposits issued by financial institutions; and shares in retail money market mutual funds (funds with initial investments of less than $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). 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 series, a 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) and research.stlouisfed.org/aggreg/newbase.html. 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; additional data are available 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 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: MZM, or “Money, Zero Maturity,” includes the zero maturity, or immediately available, components of M3. MZM equals M2 minus smalldenomination time deposits, plus institutional money market mutual funds (that is, the money market mutual funds included in M3 but excluded from M2). 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. For analytical purposes, Research Division Federal Reserve Bank of St. Louis MZM largely replaces M1. The 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 shows constant maturity yields calculated by the U.S. Treasury Department for securities with 3 months and 1, 2, 3, 5, 7, and 10 years to maturity. Daily data and descriptions are available at research.stlouisfed.org/ fred/data/wkly.html. See also Federal Reserve Bulletin, table 1.35. The 30-year constant maturity series was discontinued by the Treasury Department 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 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 Humphrey-Hawkins Act testimony each year. Beginning February 2000, the FOMC began using the personal consumption expenditures (PCE) price index to report its inflation range and therefore is not 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 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 + 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 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* = π* + (10-year moving average growth of real GDP) – (4-year moving average of base velocity growth) to five alternative target inflation rates, π* = 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) × 4 × 100, where yt is the log of real GDP. The fouryear 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 19 Monetary Trends 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 available at research.stlouisfed.org/aggreg/swdata.html. Bureau of Economic Analysis GDP. 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), Chicago Board of Trade Federal funds futures contract. 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 Fed Funds Futures Contracts each trace through time the yield on three specific contracts. Implied Yields on Fed Funds Futures displays a single day’s snapshot of yields for contracts expiring in the months shown on the horizontal axis. Inflation-Protected Treasury Yields are yields on the most recently issued inflation-protected securities of 10- and 30-year original maturities. Inflation-Protected Treasury Yield Spreads equal, for 10- and 30-year maturities, the difference between the yields on the most recently issued inflation-protected securities and the unadjusted bond yields of similar maturity. Inflation-Indexed 30-Year Bonds shows the yield of an inflation-indexed bond that is scheduled to mature in approximately (but not greater than) 30 years. The current bond for Canada has a maturity date of 12/01/2031, the current U.K. bond has a maturity date of 7/22/2030, and the current U.S. bond has a maturity date of 4/15/2032. Inflation-Indexed 10-Year Bonds shows the yield of an inflation-indexed bond that is scheduled to mature in approximately (but not greater than) 10 years. The current U.K. bond has a maturity date of 8/23/2011 and the current U.S. bond has a maturity date of 7/15/2012. 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. Bureau of Labor Statistics CPI. 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 & Poors Inc. 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. inflation-protected 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, 1994-1999,” Federal Reserve Bank of St. Louis Review, January/February, pp. 51-72. ____ , 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. Page 13: Real Gross Domestic Product is GDP as measured in chained 1996 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 1996 dollars. 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. 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. Nelson, Charles R. and Andrew F. Siegel (1987). “Parsimonious Modeling of Yield Curves,” Journal of Business, October, pp. 473-89. Sources 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. Bank of Canada Canadian inflation-linked bond yields. ____(1993). “Specification and Analysis of a Monetary Policy Rule for Japan,” Bank of Japan Monetary and Economic Studies, November, pp. 1-45. Bank of England U.K. inflation-linked bond yields. Sharpe, William F. (1997). Macro-Investment Analysis, on-line textbook available at www.stanford.edu/~wfsharpe/mia/mia.htm. 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. 20 Taylor, John B. (1993). “Discretion versus Policy Rules in Practice,” CarnegieRochester Conference Series on Public Policy, vol. 39, pp. 195-214. Note: Articles from this Bank’s Review are available on the Internet at research.stlouisfed.org/publications/review/. Research Division Federal Reserve Bank of St. Louis
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