Full text of Monetary Trends : November 2007
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MonetaryTrends November 2007 A Tale of Two Crises R 2007 Views expressed do not necessarily reflect official positions of the Federal Reserve System. research.stlouisfed.org 1998 ecent developments in financial markets have lately excluding a particularly large deviation on June 30 of that year. dominated discussions about monetary policy. Analysts The ratio of the post- to pre-crisis standard deviation is then 28/15, have noted that the effective federal funds rate has been or approximately 1.9; volatility definitely increased, almost doutrading relatively far from the target value set by the Federal bling after the onset of the crisis. In the more recent experience, Open Market Committee (FOMC). This is not uncommon in though, the ratio of the post- to pre-crisis standard deviation is the face of financial market uncertainty. One of the defining 18/3, or 6.0. This is perhaps what many have in mind in considfeatures of crises is that markets tend to be more volatile, and ering the 2007 event—volatility increased by a factor of six after the volatility can make it more difficult for the Fed to maintain the onset of the crisis. the effective federal funds rate at the FOMC target. However, this increase occurred mainly because the pre-crisis To obtain some perspective on how the effective federal standard deviation is so small: only 3 basis points in this calcufunds rate behaves in times of turmoil, we compare the recent lation. This could be viewed as a testament to the Fed’s ability behavior of the effective federal funds rate to its behavior in to maintain the effective federal funds rate close to target during 1998. In the autumn of that year, the collapse of Long Term tranquil times. With such a small pre-crisis standard deviation, Capital Management (LTCM) sent shock waves through finanmost disruptions are going to seem relatively large. From a hiscial markets somewhat similarly to recent events involving the torical perspective, the 18-basis-point standard deviation of recent subprime mortgage market. weeks is not particularly disturbing. The chart shows daily data on the federal funds target and —James B. Bullard and Geetanjali Pande the associated effective federal funds rate for two episodes— the 1998 collapse of LTCM and the current case. (The 2007 data are in the lower portion of the chart and use the left axis, while the 1998 data are in the upper portion of the chart and use the right axis.) The Effective Federal Funds Rate Versus Target During Two Crises data are aligned to the dates when each crisis Jan 98 Feb 98 Mar 98 Apr 98 May 98 Jun 98 Jul 98 Aug 98 Sep 98 Oct 98 Nov 98 Dec 98 became especially pronounced: September 23, 7.5 1998, the date of the LTCM collapse; and, recently, August 9, 2007. 7 The data in the lower portion of the chart have often been cited in recent discussions. The effec6.5 September 23, 1998 tive federal funds rate hovered near target until 6 August 9, then deviated relatively far from target after that date. For the 1998 episode, the pre5.5 crisis effective federal funds rate was somewhat more volatile than in the current episode. In both 5 cases, volatility rose sharply at the height of the crisis. The standard deviation of the difference 5.5 4.5 between the effective federal funds rate and the target during the 1998 post-crisis data is 28 basis 4 5 points through the end of 1998. The post-crisis August 9, 2007 Federal Funds Target 2007 standard deviation for the current episode so far Federal Funds Rate 2007 is only 18 basis points. By this measure, the 1998 4.5 Federal Funds Target 1998 post-crisis period was more volatile. Federal Funds Rate 1998 The increase in the standard deviation postcrisis versus pre-crisis, though, has been much 4 Nov 06 Dec 06 Jan 07 Feb 07 Mar 07 Apr 07 May 07 Jun 07 Jul 07 Aug 07 Sep 07 Oct 07 larger in the current episode. The 1998 pre-crisis standard deviation was about 15 basis points, 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 10/16/07 Monetary Trends M2 and MZM Treasury Yield Curve Billions of dollars Percent 6.5 7975 7725 6.0 MZM 7475 Week Ending Friday: 10/13/06 09/14/07 10/12/07 5.5 7225 5.0 6975 4.5 6725 M2 4.0 6475 3.5 6225 5975 3.0 2004 2004 2005 2005 2006 2006 2007 2007 5y Adjusted Monetary Base Percent 30 3.5 20 3.0 10 2.5 0 2.0 -10 1.5 -20 2004 2005 2006 2006 2007 2007 5y 7y 10y 20y 2008 Reserve Market Rates Inflation-Indexed Treasury Yield Spreads Percent Percent 6.5 3.5 Effective Federal Funds Rate Intended Federal Funds Rate 6.0 20y Week Ending Friday: 10/13/06 09/14/07 10/12/07 1.0 2005 10y Real Treasury Yield Curve Percent change at an annual rate 2004 7y 2008 5.5 5.0 Week Ending Friday: 10/13/06 09/14/07 10/12/07 3.0 4.5 Primary Credit Rate 4.0 3.5 2.5 3.0 2.5 2.0 2.0 1.5 1.0 0.5 1.5 2004 2004 2005 2005 2006 Data available as of September 2007. 2006 2007 2007 5y 7y 10y 20y 2008 Research Division Federal Reserve Bank of St. Louis 3 updated through 10/12/07 Monetary Trends MZM and M1 Percent change from year ago 25 20 15 10 MZM 5 0 M1 -5 -10 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 04 2005 05 2006 06 2007 07 2008 M2 Percent change from year ago 15 10 5 0 -5 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 04 2005 05 2006 06 2007 07 2008 M3* Percent change from year ago 15 10 5 0 -5 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 *See table of contents for changes to the series. 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 Monetary Services Index - M2** Percent change from year ago 15 10 5 0 -5 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 **We will not update the MSI series until we revise the code to accomodate the discontinuation of M3. 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 Research Division 4 Federal Reserve Bank of St. Louis updated through 10/16/07 Monetary Trends Adjusted Monetary Base Percent change from year ago 20 15 10 5 0 -5 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 04 2004 2005 05 2006 06 2007 Domestic Nonfinancial Debt Currency Held by the Nonbank Public Percent change from year ago Percent change from year ago 15 15 07 2008 10 5 10 Total Federal 0 5 -5 -10 0 2000 2001 2002 2003 2004 2005 2006 2007 2000 2001 2002 2003 2004 2005 2006 2007 2008 2004 2004 2005 2005 2006 2006 2007 Time Deposits* Checkable and Savings Deposits Percent change from year ago Percent change from year ago 30 30 25 Large Denomination 20 15 15 10 10 5 5 0 0 -5 -5 2004 2004 2005 2005 Savings Checkable -10 Small Denomination -15 2008 25 20 -10 2007 -15 2006 2006 2007 2007 *See table of contents for changes to the series. 2008 Money Market Mutual Fund Shares 2004 2004 2005 2005 2006 2006 2007 2007 2008 Repurchase Agreements and Eurodollars* Percent change from year ago Billions of dollars 40 Billions of dollars 600 500 Repos (left) 30 20 Institutional Funds 10 550 450 500 400 450 0 400 -10 Retail Funds -20 2004 2004 2005 2005 350 Eurodollars (right) 300 350 2006 2006 2007 2007 2008 250 2004 2005 2006 2007 *See table of contents for changes to these series. Research Division Federal Reserve Bank of St. Louis 5 updated through 10/12/07 Monetary Trends M1 Percent change at an annual rate 30 20 10 0 -10 -20 -30 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 1997 97 1998 98 1999 99 2000 00 2001 01 *Actual values for September and October 2001 are 55.87 and -38.35 percent rate, respectively. 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 MZM Percent change at an annual rate 30 20 10 0 -10 -20 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 *Actual value for September 2001 is 39.41 percent rate. 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 M2 Percent change at an annual rate 20 10 0 -10 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 96 *Actual value for September 2001 is 24.90 percent rate. 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 M3* Percent change at an annual rate 30 20 10 0 -10 1990 90 1991 91 1992 92 1993 93 1994 94 1995 95 1996 *See table of contents for changes to the series. 96 1997 97 1998 98 1999 99 2000 00 2001 01 2002 02 2003 03 2004 04 2005 05 2006 06 2007 07 2008 Research Division 6 Federal Reserve Bank of St. Louis updated through 10/12/07 Monetary Trends Adjusted and Required Reserves Billions of dollars 120 100 Adjusted 80 60 Required 40 20 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 04 2005 05 2006 06 2007 Total Borrowings, nsa Excess Reserves plus RCB Contracts Billions of dollars Billions of dollars 1.8 16 07 2008 1.5 1.2 12 0.9 0.6 8 0.3 0.0 4 2000 2001 2002 2003 2004 2005 2006 2007 2000 2001 2002 2003 2004 2005 2006 2007 2008 2000 2001 2002 2003 2004 2005 2006 2007 2000 2001 2002 2003 2004 2005 2006 2007 2008 *Actual value for September 2001 is $3.4 billion. *Actual value for September 2001 is $26.43 billion. Nonfinancial Commercial Paper Percent change from year ago 60 40 20 0 -20 -40 -60 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 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. 2004 04 2005 05 2006 06 2007 07 2008 Consumer Credit Percent change from year ago 20 15 10 5 0 -5 -10 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 04 2005 05 2006 06 2007 07 2008 Research Division Federal Reserve Bank of St. Louis 7 updated through 10/02/07 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 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 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 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 04 2005 05 2006 06 2007 07 2008 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 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 04 2005 05 2006 06 2007 07 2008 Research Division 8 Federal Reserve Bank of St. Louis updated through 10/02/07 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 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 04 2005 05 2006 06 2007 07 2008 Long-Term Interest Rates Percent 13 11 Conventional Mortgage 9 7 5 Corporate Aaa 10-Year Treasury Yield 3 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 04 Long-Term Interest Rates Short-Term Interest Rates Percent Percent 8 2005 05 2006 06 2007 07 2008 6 5 7 90-Day Commercial Paper Corporate Baa 4 6 3-Month Treasury Yield 3 5 2 4 1 10-Year Treasury Yield 3 0 2004 2004 2005 2005 2006 2006 2007 2007 2008 2004 2004 2005 2005 2006 2006 2007 2007 2008 *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 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 04 2005 05 2006 06 2007 07 2008 Data available as of September 2007. Research Division Federal Reserve Bank of St. Louis 9 updated through 10/12/07 Monetary Trends Federal Funds Rate and Inflation Targets Percent 12 4% 3% 2% 1% 0% Target Inflation Rates 9 6 3 Actual 0 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 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 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Monetary Base Growth* and Inflation Targets Percent 12 Actual 9 6 3 Target Inflation Rates 0 1998 98 99 1999 2000 00 01 2001 02 2002 03 2003 0% 1% 2% 3% 4% 04 2004 05 2005 2006 06 07 2007 08 *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 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 04 2004 05 2005 06 2006 07 2007 08 98 1998 99 1999 00 2000 01 2001 02 2002 03 2003 04 2004 05 2005 06 2006 07 2007 08 Research Division 10 Federal Reserve Bank of St. Louis updated through 10/16/07 Monetary Trends Implied One-Year Forward Rates Rates on 3-Month Eurodollar Futures Percent 8 Percent, daily data 5.7 Week Ending: 10/13/06 09/14/07 10/12/07 6 5.5 Oct 2007 5.3 Nov 2007 5.1 4 4.9 Dec 2007 2 4.7 0 2y 5y 3y 7y 10y 4.5 08/13 08/20 08/27 09/03 09/10 09/17 09/24 10/01 10/08 10/15 Rates on Selected Federal Funds Futures Contracts Rates on Federal Funds Futures on Selected Dates Percent, daily data Percent 5.1 5.0 Oct 2007 4.9 4.8 09/14/2007 4.6 4.7 10/12/2007 Nov 2007 4.5 08/17/2007 4.4 Dec 2007 4.3 4.2 08/13 08/20 08/27 09/03 09/10 09/17 09/24 10/01 10/08 10/15 Oct Nov Dec Jan Feb Mar 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 2005 15 10 2006 2007 20 0.5 2005 Maturity 5 2008 . Note: Yields are inflation-indexed constant maturity U.S. Treasury securities 15 10 2006 2007 Horizon 5 2008 . 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.K. U.S. 3 U.S. 2 2 U.K. 1 France France 1 0 0 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 Research Division Federal Reserve Bank of St. Louis 11 updated through 10/12/07 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 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 03 16071 04 16437 05 16802 06 17167 07 17532 Interest Rates Percent 10 8 3-Month T-Bill 6 4 M2 Own MZM Own 2 0 10958 90 11323 91 11688 92 12054 93 12419 94 12784 95 13149 96 13515 97 13880 98 14245 14610 00 14976 01 15341 02 15706 03 16071 04 16437 05 16802 06 17167 MZM Velocity and Interest Rate Spread M2 Velocity and Interest Rate Spread Ratio Scale Ratio Scale 3.50 07 17532 2.25 Velocity = Nominal GDP / M2 Velocity = Nominal GDP / MZM 99 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 10/12/07 Monetary Trends Gross Domestic Product Percent change from year ago 20 15 10 5 0 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 04 2005 05 2006 06 2007 07 2008 Dashed lines indicate 10-year moving averages. Real Gross Domestic Product Percent change from year ago 15 10 5 0 -5 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 04 2005 05 2006 06 2007 07 2008 Dashed lines indicate 10-year moving averages. Gross Domestic Product Price Index Percent change from year ago 20 15 10 5 0 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 04 2005 05 2006 06 2007 07 2008 Dashed lines indicate 10-year moving averages. M2 Percent change from year ago 20 15 10 5 0 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 04 2005 05 2006 06 2007 07 2008 Dashed lines indicate 10-year moving averages. Research Division Federal Reserve Bank of St. Louis 13 updated through 10/15/07 Monetary Trends Bank Credit Percent change from year ago 20 15 10 5 0 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 Investment Securities in Bank Credit at Commercial Banks Percent change from year ago 25 20 15 10 5 0 -5 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 Total Loans and Leases in Bank Credit at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 Commercial and Industrial Loans at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 -10 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003 2003 2004 2004 2005 2005 2006 2006 2007 2007 2008 Research Division 14 Federal Reserve Bank of St. Louis updated through 10/02/07 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 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 Recent Inflation and Long-Term Interest Rates Consumer Price Inflation Rates Long-Term Government Bond Rates Percent change from year ago 2006Q3 2006Q4 2007Q1 2007Q2 May07 Percent Jun07 Jul07 Aug07 United States 3.36 1.95 2.43 2.66 4.75 5.10 5.00 Canada 1.73 1.37 1.81 2.19 4.29 4.62 4.60 . France 1.68 1.34 1.16 1.18 4.34 4.62 . . Germany 1.56 1.31 1.74 1.88 4.28 4.56 4.50 . 4.67 Italy 2.17 1.82 1.73 1.59 4.49 4.77 4.76 . Japan 0.60 0.33 -0.10 0.00 1.68 1.90 1.90 1.67 United Kingdom 2.43 2.71 2.84 2.58 5.15 5.43 5.41 5.15 Inflation and Long-Term Interest Rate Differentials Percent Percent 3 3 Canada U.K. Canada 0 0 U.K. Germany Germany Japan -3 -3 Japan Inflation differential = Foreign inflation less U.S. inflation Long-term rate differential = Foreign rate less U.S. rate -6 01/01/2004 -6 2004 01/01/2005 2005 01/01/2006 2006 01/01/2007 2007 01/01/2008 01/01/2004 2004 01/01/2005 2005 01/01/2006 2006 01/01/2007 2007 01/01/2008 Research Division Federal Reserve Bank of St. Louis 15 updated through 10/15/07 Monetary Trends Money Stock Bank Adjusted M1 MZM M2 M3* Credit Monetary Base Reserves 2002. 2003. 1196.216 5890.222 5595.630 8259.055 5597.919 697.075 88.132 294.080 1273.521 6327.435 5986.754 8787.321 6118.655 740.938 93.325 315.192 2004. 2005. 1344.426 6579.108 6269.195 9234.718 6598.377 776.768 96.129 329.873 1371.784 6726.913 6548.158 9786.477 7241.439 806.626 96.558 343.539 2006. 1374.729 7001.821 6862.496 10270.74 7962.328 835.011 94.884 . MSI M2** 2005 1 1368.481 6663.276 6446.910 9528.052 6992.392 798.378 96.771 339.356 . 2 1368.666 6675.454 6500.139 9670.405 7158.427 802.565 95.997 341.280 . 3 1375.430 6745.070 6581.597 9859.294 7353.790 809.023 96.937 344.766 . 4 1374.558 6823.850 6663.987 10088.16 7461.149 816.537 96.524 348.753 2006 1 1379.219 6895.933 6757.218 . 7643.132 830.532 96.493 . . 2 1381.509 6944.603 6816.066 . 7889.920 836.330 95.025 . . 3 1369.521 7014.604 6884.346 . 8029.308 834.531 94.749 . . 4 1368.666 7152.143 6992.353 . 8286.953 838.651 93.270 . 2007 1 1367.365 7301.326 7119.533 . 8461.818 846.332 94.148 . . 2 1375.145 7506.386 7235.330 . 8554.877 849.921 93.556 . . 3 1369.453 7743.961 7328.377 . 8794.246 852.256 95.346 . 2005 Sep 1379.367 6779.942 6615.272 9950.818 7412.711 812.419 98.306 346.285 . Oct 1374.746 6808.538 6641.252 10031.96 7427.969 816.722 97.990 347.590 . Nov 1375.747 6819.656 6662.301 10078.49 7447.894 817.462 97.557 348.603 . Dec 1373.181 6843.357 6688.408 10154.03 7507.584 815.426 94.026 350.067 2006 Jan 1378.697 6885.406 6733.958 10242.79 7563.063 825.161 96.788 353.032 . Feb 1374.954 6894.486 6758.444 10298.68 7647.303 832.400 96.866 353.943 . Mar 1384.006 6907.906 6779.251 . 7719.029 834.035 95.825 . . Apr 1380.482 6927.943 6800.245 . 7810.575 835.306 95.577 . . May 1387.828 6940.391 6811.549 . 7924.711 836.887 94.200 . . Jun 1376.216 6965.474 6836.404 . 7934.475 836.796 95.298 . . 1372.260 6986.018 6860.449 . 7982.864 834.899 94.810 . . Jul Aug 1372.186 7015.213 6885.884 . 8042.186 834.567 94.644 . . Sep 1364.116 7042.582 6906.704 . 8062.875 834.128 94.794 . . Oct 1369.266 7100.943 6955.724 . 8223.791 837.899 93.970 . . Nov 1370.788 7145.767 6990.552 . 8277.180 840.381 94.762 . . Dec 1365.944 7209.718 7030.783 . 8359.887 837.672 91.078 . 2007 Jan 1371.817 7254.817 7085.739 . 8415.175 843.477 94.171 . . Feb 1360.561 7282.739 7108.410 . 8491.305 847.313 94.481 . . Mar 1369.717 7366.422 7164.449 . 8478.974 848.205 93.791 . . Apr 1379.271 7455.040 7218.339 . 8515.095 848.961 93.602 . . May 1379.291 7513.782 7237.798 . 8552.668 849.648 92.803 . . Jun 1366.872 7550.336 7249.853 . 8596.868 851.153 94.264 . . Jul Aug 1369.740 7609.273 7274.377 . 8665.629 851.987 94.704 . . 1370.099 7748.847 7338.779 . 8794.544 853.492 96.638 . . Sep 1368.521 7873.764 7371.975 . 8922.564 851.290 94.695 . 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 10/02/07 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 2002. 2003. 2004. 2005. 2006. 1.67 1.13 1.35 3.21 4.96 . 2.11 2.34 4.19 5.96 4.68 4.12 4.34 6.19 7.96 1.73 1.15 1.56 3.51 5.15 1.63 1.03 1.40 3.21 4.85 3.10 2.11 2.78 3.93 4.77 4.61 4.02 4.27 4.29 4.79 6.49 5.67 5.63 5.23 5.59 4.87 4.52 4.50 4.28 4.15 6.54 5.82 5.84 5.86 6.41 1 2 3 4 2.47 2.94 3.46 3.98 3.44 3.91 4.43 4.97 5.44 5.91 6.43 6.97 2.78 3.23 3.74 4.30 2.58 2.93 3.43 3.91 3.61 3.73 3.98 4.37 4.30 4.16 4.21 4.49 5.32 5.15 5.09 5.38 4.23 4.15 4.28 4.45 5.76 5.72 5.76 6.22 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 5.26 5.25 5.07 6.25 6.25 5.93 8.25 8.25 8.18 5.31 5.32 5.42 5.12 4.87 4.42 4.68 4.76 4.41 4.68 4.85 4.73 5.36 5.58 5.75 3.91 4.13 . 6.22 6.37 6.55 2005 Sep 3.62 4.59 6.59 3.87 3.49 3.96 4.20 5.13 4.34 5.77 Oct Nov Dec 3.78 4.00 4.16 4.75 5.00 5.15 6.75 7.00 7.15 4.13 4.31 4.45 3.79 3.97 3.97 4.29 4.43 4.39 4.46 4.54 4.47 5.35 5.42 5.37 4.49 4.42 4.46 6.07 6.33 6.27 2006 Jan . Feb Mar . 4.29 4.49 4.59 5.26 5.50 5.53 7.26 7.50 7.53 4.56 4.72 4.88 4.34 4.54 4.63 4.35 4.64 4.74 4.42 4.57 4.72 5.29 5.35 5.53 4.27 4.33 4.29 6.15 6.25 6.32 . . . Apr May Jun 4.79 4.94 4.99 5.75 5.93 6.02 7.75 7.93 8.02 5.03 5.15 5.35 4.72 4.84 4.92 4.89 4.97 5.09 4.99 5.11 5.11 5.84 5.95 5.89 4.36 4.38 4.35 6.51 6.60 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 6.70 6.57 6.38 2005 . . . 2006 . . . 2007 . . . . . . Note: All values are given as a percent at an annual rate. Research Division Federal Reserve Bank of St. Louis 17 updated through 10/12/07 Monetary Trends M1 MZM M2 M3* Percent change at an annual rate 2002. 2003. 2004. 2005. 2006. 4.91 6.46 5.57 2.03 0.21 12.77 7.42 3.98 2.25 4.09 7.48 6.99 4.72 4.45 4.80 7.98 6.40 5.09 5.97 4.95 1 2 3 4 -0.58 0.05 1.98 -0.25 0.03 0.73 4.17 4.67 3.23 3.30 5.01 5.01 5.63 5.98 7.81 9.29 1 2 3 4 1.36 0.66 -3.47 -0.25 4.23 2.82 4.03 7.84 5.60 3.48 4.01 6.28 . . . . 1 2 3 -0.38 2.28 -1.66 8.34 11.23 12.66 7.28 6.51 5.14 . . . 2005 Sep 0.84 6.60 6.10 10.48 Oct Nov Dec -4.02 0.87 -2.24 5.06 1.96 4.17 4.71 3.80 4.70 9.79 5.57 8.99 2006 Jan . Feb Mar . 4.82 -3.26 7.90 7.37 1.58 2.34 8.17 4.36 3.69 10.49 6.55 . . . Apr May Jun -3.06 6.39 -10.04 3.48 2.16 4.34 3.72 1.99 4.38 . . . . . . Jul Aug Sep -3.45 -0.06 -7.06 3.54 5.01 4.68 4.22 4.45 3.63 . . . . . . Oct Nov Dec 4.53 1.33 -4.24 9.94 7.57 10.74 8.52 6.01 6.91 . . . 2007 Jan . Feb Mar . 5.16 -9.85 8.08 7.51 4.62 13.79 9.38 3.84 9.46 . . . . . . Apr May Jun 8.37 0.02 -10.80 14.44 9.46 5.84 9.03 3.23 2.00 . . . . . . Jul Aug Sep 2.52 0.31 -1.38 9.37 22.01 19.34 4.06 10.62 5.43 . . . 2005 . . . 2006 . . . 2007 . . . . . . *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 Research Division Federal Reserve Bank of St. Louis 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 30year 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-over-year 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 ΔMBt* = 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 ΔMBt* 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 7/15/2017. 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
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