Full text of Monetary Trends : September 2007
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MonetaryTrends September 2007 Measure for Measure: Headline versus Core Inflation W hen discussing long-run inflation trends, members of the Federal Open Market Committee (FOMC) have tended to emphasize the “core” measure— which excludes food and energy prices—over the corresponding headline measure, which does not. It is not that policymakers believe that food and energy prices do not affect economic decisions; they know very well it is headline inflation that matters for household welfare. Rather, as Chairman Bernanke noted in his July 18 monetary policy report to Congress, the emphasis on core measures is motivated by a desire to track and predict persistent inflation: “Food and energy prices tend to be quite volatile, so that, looking forward, core inflation (which excludes food and energy prices) may be a better gauge than overall [headline] inflation of underlying inflation trends.” Despite close, long-run similarities between core and headline inflation, not all measures are created equal. As noted recently in this publication, there has been considerable persistence in the difference between the headline and core inflation measures for the PCE and the CPI.1 For example, from November 2002 to August 2006, average yearover-year headline CPI inflation was 1.04 percentage points higher than for core CPI. Over this same period, average year-over-year headline PCE inflation was 0.70 percentage points higher than for core PCE. This means that, based on the CPI measure, consumers experienced a 4 percent larger decline in purchasing power than the core measure would have indicated. Over the same period, the cumulative decline in purchasing power based on the PCE measure was smaller, 2.7 percent, but still significant. Consequently, even over fairly long periods of time, core inflation measures distort the inflation picture. If the core measure is misleading as an indicator of changes in purchasing power, can it still be useful? The core measure may indeed be useful to both consumers and policymakers if it does a better job of predicting future headline inflation than the corresponding headline measure does. In recent research comparing core and headline CPI inflation, evidence suggests that core CPI inflation better predicts future headline CPI inflation. For example, if headline CPI inflation is below the corresponding core measure, and the core measure is a better predictor of future headline inflation, one might conclude that headline CPI inflation is likely to increase in the future. Unfortunately, the same is not true for the PCE measure. Current research indicates that headline PCE inflation is a better predictor of future headline PCE inflation than is core PCE inflation.2 Consequently, core PCE inflation appears to provide no useful information about future PCE inflation. It is the case, however, that over sufficiently long periods of time, CPI inflation averages about a half of a percentage point higher than PCE inflation—apparently reflecting a larger bias in the former measure relative to the latter. For this reason, one might think that one could forecast future headline PCE inflation by using the core CPI forecast of headline CPI and simply subtracting a half of a percentage point from the headline CPI forecast. Unfortunately, as is the case with the difference between the headline and core measures of these indices, there is considerable persistence in the difference between the CPI and PCE inflation measures. Hence, the differences between these measures averaged over a period of several years can be considerably larger or smaller than 50 basis points. Because of this, core CPI inflation is unlikely to be useful for forecasting future headline PCE inflation. The alternative is to consider different measures of “core” inflation and not rely on the measures that exclude simply food and energy prices. There is some evidence, in fact, that alternative measures of core PCE inflation may have superior predictive power for headline PCE inflation.3 In any event, although preliminary, current research suggests that policymakers and the public may want to pay more attention to headline PCE inflation and less attention to core PCE inflation. —Daniel L. Thornton 1 DiCecio, Riccardo “Inflation Disconnect?” Federal Reserve Bank of St. Louis Monetary Trends, July 2007. 2 See Khettry, N. Neil K. and Mester, Loretta J. “Core Inflation as a Predictor of Total Inflation.” Federal Reserve Bank of Philadelphia Research Rap—Special Report. April 26, 2006; and Smith, Julie K. “PCE Inflation and Core Inflation.” Unpublished manuscript, Department of Economics and Business, Lafayette College, July 6, 2006. 3 For example, see Smith (2006). Views expressed do not necessarily reflect official positions of the Federal Reserve System. research.stlouisfed.org Contents Page 3 4 6 7 8 9 10 11 12 14 15 16 18 Monetary and Financial Indicators at a Glance Monetary Aggregates and Their Components Monetary Aggregates: Monthly Growth Reserves Markets and Short-Term Credit Flows Measures of Expected Inflation Interest Rates Policy-Based Inflation Indicators Implied Forward Rates, Futures Contracts, and Inflation-Indexed Securities Velocity, Gross Domestic Product, and M2 Bank Credit Stock Market Index and Foreign Inflation and Interest Rates Reference Tables Definitions, Notes, and Sources Conventions used in this publication: 1. Unless otherwise indicated, data are monthly. 2. Shaded areas indicate recessions, as determined by the National Bureau of Economic Research. 3. Percent change at an annual rate is the simple, not compounded, monthly percent change multiplied by 12. For example, using consecutive months, the percent change at an annual rate in x between month t –1 and the current month t is: [(xt /x t – 1 )–1] × 1200. Note that this differs from National Economic Trends. In that publication, monthly percent changes are compounded and expressed as annual growth rates. 4. The percent change from year ago refers to the percent change from the same period in the previous year. For example, the percent change from year ago in x between month t –12 and the current month t is: [(xt /x t – 12 )–1] × 100. We welcome your comments addressed to: Editor, Monetary Trends Research Division Federal Reserve Bank of St. Louis P.O. Box 442 St. Louis, MO 63166-0442 On March 23, 2006, the Board of Governors of the Federal Reserve System ceased the publication of the M3 monetary aggregate. It also ceased publishing the following components: large-denomination time deposits, RPs, and eurodollars. or to: stlsFRED@stls.frb.org Monetary Trends is published monthly by the Research Division of the Federal Reserve Bank of St. Louis. Visit the Research Division’s website at research.stlouisfed.org/publications/mt to download the current version of this publication or register for e-mail notification updates. For more information on data in the publication, please visit research.stlouisfed.org/fred2 or call (314) 444-8590. updated through 08/22/07 Monetary Trends M2 and MZM Treasury Yield Curve Billions of dollars Percent 7725 6.5 7475 6.0 MZM 7225 5.5 6975 5.0 6725 Week Ending Friday: 08/18/06 07/20/07 08/17/07 4.5 M2 6475 4.0 6225 3.5 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: 08/18/06 07/20/07 08/17/07 1.0 2005 10y Real Treasury Yield Curve Percent change at an annual rate 2004 7y 2008 5.5 5.0 Week Ending Friday: 08/18/06 07/20/07 08/17/07 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 Data available as of July 2007. 2006 2006 2007 2007 5y 7y 10y 20y 2008 Research Division Federal Reserve Bank of St. Louis 3 updated through 08/21/07 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 08/21/07 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 30 Billions of dollars 600 500 Repos (left) 20 Institutional Funds 10 0 550 450 500 400 450 -10 400 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 08/21/07 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 08/21/07 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 0.8 16 07 2008 0.6 12 0.4 8 0.2 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 08/15/07 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 08/22/07 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 July 2007. Research Division Federal Reserve Bank of St. Louis 9 updated through 08/21/07 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 08/21/07 Monetary Trends Implied One-Year Forward Rates Rates on 3-Month Eurodollar Futures Percent 8 Percent, daily data 5.6 Week Ending: 08/18/06 07/20/07 08/17/07 6 5.5 Aug 2007 5.4 Sep 2007 5.3 4 5.2 5.1 2 Oct 2007 5.0 0 2y 5y 3y 7y 10y 4.9 06/18 06/25 07/02 07/09 07/16 07/23 07/30 08/06 08/13 08/20 Rates on Selected Federal Funds Futures Contracts Rates on Federal Funds Futures on Selected Dates Percent, daily data Percent 5.3 5.4 Aug 2007 5.2 06/15/2007 5.2 || || 5.1 07/13/2007 5.0 Sep 2007 4.8 5.0 Oct 2007 4.9 4.6 4.8 4.4 08/17/2007 06/18 06/25 07/02 07/09 07/16 07/23 07/30 08/06 08/13 08/20 Aug Sep Oct Nov Dec Jan 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 08/21/07 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 08/21/07 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 08/21/07 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 08/15/07 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 Percent May07 Jun07 Apr07 Jul07 United States 3.36 1.95 2.43 2.66 4.69 4.75 5.10 5.00 Canada 1.73 1.37 1.81 2.19 4.16 4.29 4.62 4.60 France 1.68 1.34 1.16 1.18 4.21 4.34 4.62 . Germany 1.56 1.31 1.74 1.88 4.15 4.28 4.56 4.50 Italy 2.17 1.82 1.73 1.59 4.37 4.49 4.77 4.76 Japan 0.60 0.33 -0.10 0.00 1.68 1.68 1.90 1.90 United Kingdom 2.43 2.71 2.84 2.58 5.04 5.15 5.43 5.41 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 08/21/07 Monetary Trends Money Stock Bank Adjusted M1 MZM M2 M3* Credit Monetary Base Reserves 2002. 2003. 1196.216 5888.211 5598.784 8259.055 5597.733 697.075 88.132 294.080 1273.497 6324.948 5988.524 8787.321 6118.567 740.938 93.321 315.192 2004. 2005. 1344.404 6576.260 6268.459 9234.718 6598.334 776.768 96.125 329.873 1371.683 6723.495 6540.902 9786.477 7242.139 806.626 96.546 343.539 2006. 1374.928 6998.183 6851.516 10270.74 7957.823 835.011 94.873 . MSI M2** 2005 1 1368.350 6660.098 6442.484 9528.052 6992.397 798.378 96.763 339.356 . 2 1368.566 6672.127 6493.200 9670.405 7158.555 802.565 95.987 341.280 . 3 1375.343 6741.629 6573.580 9859.294 7354.836 809.023 96.923 344.766 . 4 1374.471 6820.125 6654.344 10088.16 7462.769 816.537 96.510 348.753 2006 1 1379.238 6892.080 6746.178 . 7643.640 830.532 96.478 . . 2 1381.649 6940.252 6804.285 . 7890.432 836.330 95.014 . . 3 1369.915 7011.311 6872.906 . 8029.446 834.531 94.737 . . 4 1368.908 7149.088 6982.694 . 8267.775 838.651 93.264 . 2007 1 1367.619 7297.339 7106.924 . 8411.686 846.332 94.132 . . 2 1375.150 7499.933 7226.355 . 8535.153 849.921 93.526 . 1368.443 6709.066 6540.426 9762.435 7284.620 806.594 96.160 343.275 . Jul Aug 1378.316 6739.454 6573.873 9864.629 7365.033 808.055 96.319 344.739 . Sep 1379.269 6776.367 6606.440 9950.818 7414.855 812.419 98.291 346.285 2005 . Oct 1374.668 6804.816 6631.984 10031.96 7431.841 816.722 97.974 347.590 . Nov 1375.740 6815.893 6652.527 10078.49 7448.387 817.462 97.544 348.603 . Dec 1373.006 6839.665 6678.522 10154.03 7508.080 815.426 94.012 350.067 2006 Jan 1378.666 6881.812 6723.493 10242.79 7563.566 825.161 96.774 353.032 . Feb 1374.976 6891.047 6747.561 10298.68 7647.809 832.400 96.850 353.943 . Mar 1384.073 6903.382 6767.479 . 7719.544 834.035 95.810 . . Apr 1380.561 6923.655 6788.869 . 7811.091 835.306 95.563 . . May 1387.927 6935.664 6799.662 . 7925.221 836.887 94.190 . . Jun 1376.459 6961.437 6824.323 . 7934.984 836.796 95.290 . . Jul Aug 1372.561 6982.346 6848.346 . 7983.366 834.899 94.801 . . 1372.693 7012.024 6874.358 . 8042.683 834.567 94.631 . . Sep 1364.490 7039.563 6896.014 . 8062.288 834.128 94.779 . . Oct 1369.457 7097.902 6945.713 . 8213.433 837.899 93.958 . . Nov 1371.026 7142.598 6981.201 . 8264.430 840.381 94.758 . . Dec 1366.241 7206.764 7021.167 . 8325.461 837.672 91.077 . 2007 Jan 1372.185 7251.688 7073.260 . 8363.107 843.477 94.164 . . Feb 1360.822 7278.874 7095.924 . 8442.057 847.313 94.464 . . Mar 1369.849 7361.454 7151.589 . 8429.895 848.205 93.769 . . Apr 1379.341 7448.817 7206.095 . 8489.528 848.961 93.577 . . May 1379.278 7507.422 7229.080 . 8537.915 849.648 92.767 . . Jun 1366.832 7543.560 7243.889 . 8578.016 851.153 94.234 . . Jul 1368.778 7601.673 7269.228 . 8642.773 852.009 94.662 . 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 08/09/07 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 5.26 5.25 6.25 6.25 8.25 8.25 5.31 5.32 5.12 4.87 4.68 4.76 4.68 4.85 5.36 5.58 3.91 4.13 6.22 6.37 2005 Jul . Aug . Sep 3.26 3.50 3.62 4.25 4.44 4.59 6.25 6.44 6.59 3.57 3.77 3.87 3.29 3.52 3.49 3.91 4.08 3.96 4.18 4.26 4.20 5.06 5.09 5.13 4.18 4.33 4.34 5.70 5.82 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 5.26 6.25 8.25 5.32 4.96 4.82 5.00 5.73 4.24 6.70 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 08/21/07 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 0.24 12.76 7.42 3.97 2.24 4.09 7.47 6.96 4.67 4.35 4.75 7.98 6.40 5.09 5.97 4.95 1 2 3 4 -0.60 0.06 1.98 -0.25 0.03 0.72 4.17 4.66 3.10 3.15 4.95 4.91 5.63 5.98 7.81 9.29 1 2 3 4 1.39 0.70 -3.40 -0.29 4.22 2.80 4.10 7.86 5.52 3.45 4.03 6.39 . . . . 1 2 -0.38 2.20 8.29 11.11 7.12 6.72 . . 2005 Jul . Aug . Sep -10.65 8.66 0.83 3.87 5.44 6.57 4.21 6.14 5.94 4.58 12.56 10.48 Oct Nov Dec -4.00 0.94 -2.38 5.04 1.95 4.19 4.64 3.72 4.69 9.79 5.57 8.99 2006 Jan . Feb Mar . 4.95 -3.21 7.94 7.39 1.61 2.15 8.08 4.30 3.54 10.49 6.55 . . . Apr May Jun -3.04 6.40 -9.92 3.52 2.08 4.46 3.79 1.91 4.35 . . . . . . Jul Aug Sep -3.40 0.12 -7.17 3.60 5.10 4.71 4.22 4.56 3.78 . . . . . . Oct Nov Dec 4.37 1.37 -4.19 9.94 7.56 10.78 8.65 6.13 6.87 . . . 2007 Jan . Feb Mar . 5.22 -9.94 7.96 7.48 4.50 13.61 8.90 3.85 9.41 . . . . . . Apr May Jun 8.32 -0.05 -10.83 14.24 9.44 5.78 9.15 3.83 2.46 . . . . Jul 1.71 9.24 4.20 . 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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