Full text of Monetary Trends : September 2014
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MonetaryTrends September 2014 This publication contains charts and tables compiled by the Data Desk staff of the Federal Reserve Bank of St. Louis. The data are related to U.S. monetary and financial conditions, with an emphasis on various measures of the monetary policy stance. Contents Page 3 4 6 7 8 9 10 11 12 14 15 16 18 Monetary and Financial Indicators at a Glance Monetary Aggregates and Their Components Reserves Markets and Short-Term Credit Flows Senior Loan Officer Opinion Survey on Bank Lending Practices Measures of Expected Inflation Interest Rates Policy-Based Inflation Indicators Implied Forward Rates, Futures Contracts, and Inflation-Indexed Securities Velocity, Gross Domestic Product, and M2 Bank Credit Stock Market Index and Foreign Inflation and Interest Rates Reference Tables Definitions, Notes, and Sources Conventions used in this publication: 1. Unless otherwise indicated, data are monthly. 2. Shaded areas indicate recessions, as determined by the National Bureau of Economic Research. 3. Percent change at an annual rate is the simple, not compounded, monthly percent change multiplied by 12. For example, using consecutive months, the percent change at an annual rate in x between month t –1 and the current month t is: [(xτ /x τ – 1 )–1] × 1200. Note that this differs from National Economic Trends. In that publication, monthly percent changes are compounded and expressed as annual growth rates. 4. The percent change from year ago refers to the percent change from the same period in the previous year. For example, the percent change from year ago in x between month t –12 and the current month t is: [(xτ /x τ – 12 )–1] × 100. We welcome your comments addressed to: Editor, Monetary Trends Research Division Federal Reserve Bank of St. Louis P.O. Box 442 St. Louis, MO 63166-0442 On March 23, 2006, the Board of Governors of the Federal Reserve System ceased the publication of the M3 monetary aggregate. It also ceased publishing the following components: large-denomination time deposits, RPs, and eurodollars. or to: stlsFRED@stls.frb.org Monetary Trends is published monthly by the Research Division of the Federal Reserve Bank of St. Louis. Visit the Research Division’s website at research.stlouisfed.org/publications/mt to download the current version of this publication or register for e-mail notification updates. For more information on data in the publication, please visit research.stlouisfed.org/fred2 or call (314) 444-8590. updated through 09/03/14 Monetary Trends M2 and MZM Treasury Yield Curve Billions of dollars Percent 4.0 13000 12500 3.5 12000 Week Ending Friday: 08/30/13 08/01/14 08/29/14 3.0 11500 MZM 11000 2.5 10500 2.0 10000 M2 1.5 9500 1.0 9000 8500 0.5 2011 2012 2013 5y 2014 Adjusted Monetary Base 7y 10y 20y Real Treasury Yield Curve Percent change at an annual rate Percent 1.5 120 100 1.0 Week Ending Friday: 08/30/13 08/01/14 08/29/14 80 0.5 60 0.0 40 20 -0.5 0 -1.0 -20 -40 -1.5 2011 2012 2013 5y 2014 Reserve Market Rates 7y 10y 20y Inflation-Indexed Treasury Yield Spreads Percent 1.00 2.6 Effective Federal Funds Rate Intended Federal Funds Rate* 2.4 0.75 Week Ending Friday: 08/30/13 08/01/14 08/29/14 Primary Credit Rate 2.2 0.50 2.0 0.25 1.8 0.00 1.6 2011 2012 2013 2014 5y 7y 10y 20y *Note: Effective December 16, 2008, FOMC reports the Intended Federal Funds Rate as a range. Currently, Intended Federal Funds Rate is not plotted on this chart due to the note above. Research Division Federal Reserve Bank of St. Louis 3 updated through 09/03/14 Monetary Trends M1 Percent change from year ago 24 18 12 6 0 -6 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 02 03 04 05 06 07 08 09 10 11 12 13 14 MZM Percent change from year ago 25 20 15 10 5 0 -5 97 98 99 M2 Percent change from year ago 12 9 6 3 0 -3 97 98 99 Monetary Services Index - M2 Percent change from year ago 15 12 9 6 3 0 -3 97 98 99 00 01 Research Division 4 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Adjusted Monetary Base Percent change from year ago 120 100 80 60 40 20 0 -20 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 14 13 Domestic Nonfinancial Debt Currency Held by the Nonbank Public Percent change from year ago Percent change from year ago 40 10 9 30 8 20 Total Federal 7 10 6 0 5 2007 2008 2009 2010 2011 2012 2013 2014 2011 2012 Small Denomination Time Deposits Checkable Deposits Percent change from year ago Percent change from year ago -7 35 -11 28 -15 21 -19 14 -23 2013 2014 2013 2014 2013 2014 7 2011 2012 2013 2014 2011 2012 Money Market Mutual Fund Shares Savings Deposits Percent change from year ago Percent change from year ago 16 5 0 14 Retail Funds -5 12 -10 10 Institutional Funds -15 8 -20 6 2011 2012 2013 2014 2011 2012 Research Division Federal Reserve Bank of St. Louis 5 updated through 09/03/14 Monetary Trends Adjusted and Required Reserves Billions of dollars 3000 2500 2000 1500 1000 500 Adjusted Required 0 97 98 99 00 01 02 03 04 05 Total Borrowings 06 07 08 09 10 11 12 13 14 Excess Reserve Balances Billions of dollars Billions of dollars 2800 800 2400 600 2000 1600 400 1200 800 200 400 0 0 2007 2008 2009 2010 2011 2012 2013 2014 03 04 2007 2008 2009 2010 2011 2012 2013 2014 07 08 09 10 11 12 13 14 10 11 12 13 14 Nonfinancial Commercial Paper Percent change from year ago 60 30 0 -30 -60 97 98 99 00 01 02 05 06 As of April 10, 2006, the Federal Reserve Board made major changes to its commercial paper calculations. For more information, please refer to http://www.federalreserve.gov/releases/cp/about.htm. Consumer Credit Percent change from year ago 20 10 0 -10 97 98 99 00 01 02 03 04 05 06 07 08 09 Research Division 6 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Net Percentage of Domestic Banks Tightening Standards for Commercial and Industrial Loans Percentage 90 Large & Medium Firms 60 30 Small Firms 0 -30 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 Net Percentage of Domestic Banks Tightening Standards for Commercial Real Estate Loans Percentage 90 60 30 0 -30 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 Net Percentage of Domestic Banks Tightening Standards for Residential Mortgage Loans Percentage 80 60 40 20 0 -20 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 11 12 13 14 Net Percentage of Domestic Banks Tightening Standards for Consumer Loans Percentage 90 60 Credit Card Loans 30 0 Other Consumer Loans -30 97 98 99 00 01 02 03 04 05 06 07 08 09 10 Research Division Federal Reserve Bank of St. Louis 7 updated through 09/03/14 Monetary Trends CPI Inflation and 1-Year-Ahead CPI Inflation Expectations Percent 6 CPI Inflation 5 Humphrey-Hawkins CPI Inflation Range 4 3 | | | | | | | | | | | | | 2 1 University of Michigan 0 -1 Federal Reserve Bank of Philadelphia -2 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 14 13 15 The shaded region shows the Humphrey-Hawkins CPI inflation range. Beginning in January 2000,the Humphrey-Hawkins inflation range was reported using the PCE price index and therefore is not shown on this graph. 10-Year Ahead PCE Inflation Expectations and Realized Inflation Percent 8 6 4 2 Expected Realized 0 65 70 75 80 85 90 95 00 05 10 See the notes section for an explanation of the chart. Treasury Security Yield Spreads Real Interest Rates Yield to maturity Percent, Real rate = Nominal rate less year-over-year CPI inflation 4 4 10-Year less 3-Month T-Bill 1-Year Treasury Yield 2 2 0 0 | | | -2 05 06 -2 3-Year less 3-Month T-Bill 10-Year less 3-Year Note || | | Federal Funds Rate 07 08 09 10 11 12 13 14 -4 05 06 07 08 09 10 11 12 13 14 Research Division 8 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Short-Term Interest Rates Percent 12 10 8 6 90-Day Commercial Paper Prime Rate 4 2 3-Month Treasury Yield 0 -2 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 11 12 13 14 Long-Term Interest Rates Percent 10 Conventional Mortgage 7 | | | | | 4 Corporate Aaa 10-Year Treasury Yield 1 97 98 99 00 01 02 03 04 05 06 07 08 09 10 Long-Term Interest Rates Short-Term Interest Rates Percent Percent 8 0.25 Corporate Baa 0.20 6 90-Day Commercial Paper 0.15 4 0.10 2 0.05 10-Year Treasury Yield 0 3-Month Treasury Yield 0.00 2011 2012 2013 2014 2011 2012 2013 2014 FOMC Intended Federal Funds Rate, Discount Rate, and Primary Credit Rate Percent 8 Intended Federal Funds Rate 6 4 Discount Rate Primary Credit Rate 2 0 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 Research Division Federal Reserve Bank of St. Louis 9 updated through 09/03/14 Monetary Trends Federal Funds Rate and Inflation Targets Percent 10 4% 3% 2% 1% 0% Target Inflation Rates 5 Actual 0 -5 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Calculated federal funds rate is based on Taylor's rule. Components of Taylor's Rule Actual and Potential Real GDP PCE Inflation Billions of chain-weighted 2009 dollars Percent change from year ago 5 17000 Potential 4 16000 3 15000 2 Actual 1 14000 0 13000 -1 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 See notes section for further explanation. Monetary Base Growth and Inflation Targets Percent 30 Actual Target Inflation Rates 0% 1% 2% 3% 4% 15 0 -15 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Calculated base growth is based on McCallum's rule. Actual base growth is percent change from the previous quarter. Stars represent actual values for 2008:Q4, 2009:Q1, 2009:Q4, 2011:Q1, 2011:Q2, 2013:Q1, 2013:Q2 and 2013:Q3 are 188.33%, 60.16%, 56.53%, 45.93%, 58.75%, 30.24%, 36.03% and 33.88%, respectively. Components of McCallum's Rule Monetary Base Velocity Growth Real Output Growth Percent Percent 20 10 Recursive Average 10-Year Moving Average || 0 || || | 5 -20 0 -40 Change from a Year Ago -60 Quarter to Quarter Growth Rate -5 -80 -10 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Research Division 10 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Implied One-Year Forward Rates Rates on 3-Month Eurodollar Futures Percent 6 Percent, daily data 0.26 Week Ending: 08/30/13 08/01/14 08/29/14 5 4 Oct 2014 0.25 3 Sep 2014 0.24 2 1 Aug 2014 0 2y 5y 3y 7y 10y 0.23 06/30 Rates on Selected Federal Funds Futures Contracts 07/14 07/21 07/28 08/04 08/11 08/18 08/25 09/01 Rates on Federal Funds Futures on Selected Dates Percent, daily data Percent 0.4 0.36 Week Ending: 07/07/14 08/04/14 08/29/14 0.31 0.3 0.26 12-Month Futures 0.2 07/07 0.21 6-Month Futures 0.1 0.16 | | 0.11 1st Expiring Contract 3-Month Futures 0.0 0.06 06/30 07/07 07/14 07/21 07/28 08/04 08/11 08/18 08/25 09/01 1st-Expiring Contract 3-Month 12-Month 6-Month Contract Settlement Month Inflation-Indexed Treasury Securities Inflation-Indexed Treasury Yield Spreads Weekly data Weekly data Percent Percent 4.00 4.00 1.67 1.67 -0.67 -0.67 20 -3.00 2012 15 10 2013 . 2014 2015 5 Maturity 20 -3.00 2012 15 10 2013 . Note: Yields are inflation-indexed constant maturity U.S. Treasury securities 2014 2015 5 Horizon Note: Yield spread is between nominal and inflation-indexed constant maturity U.S. Treasury securities. Inflation-Indexed 10-Year Government Notes Inflation-Indexed 10-Year Government Yield Spreads Percent, weekly data Percent, weekly data 3 3 2 2 U.S. U.S. 1 1 0 0 -1 2010 2011 2012 2013 2014 2010 2011 2012 2013 2014 Note: Data is temporarily unavailable for the French and U.K. 10-Year Notes and Government Yield Spreads. Research Division 11 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Velocity Nominal GDP/MZM, Nominal GDP/M2 (Ratio Scale) 2.75 2.50 MZM 2.25 2.00 M2 1.75 1.50 1.25 13515 97 13880 98 14245 99 14610 00 14976 01 15341 02 15706 03 16071 04 16437 05 16802 06 17167 07 17532 08 17898 09 18263 10 18628 11 18993 12 19359 13 19724 14 20089 Interest Rates Percent 8 6 3-Month T-Bill 4 M2 Own 2 MZM Own 0 97 98 99 00 01 02 03 04 05 06 08 09 10 11 12 13 MZM Velocity and Interest Rate Spread M2 Velocity and Interest Rate Spread Ratio Scale Ratio Scale 3.50 14 2.25 Velocity = Nominal GDP / M2 Velocity = Nominal GDP / MZM 07 3.00 2.50 2.00 1.50 2.00 1.75 1.50 1974Q1 to 1993Q4 1994Q1 to present 1974Q1 to 1993Q4 1994Q1 to present 1.25 1.00 -1 0 3 5 6 8 9 10 11 1 2 4 7 Interest Rate Spread = 3-Month T-Bill less MZM Own Rate -1 0 3 5 6 1 2 4 Interest Rate Spread = 3-Month T-Bill less M2 Own Rate Research Division 12 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Gross Domestic Product Percent change from year ago 10 8 6 4 2 0 -2 -4 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 02 03 04 05 06 07 08 09 10 11 12 13 14 Dashed lines indicate 10-year moving averages. Real Gross Domestic Product Percent change from year ago 6 3 0 -3 -6 97 98 99 00 01 Dashed lines indicate 10-year moving averages. Gross Domestic Product Price Index Percent change from year ago 5 4 3 2 1 0 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 02 03 04 05 06 07 08 09 10 11 12 13 14 Dashed lines indicate 10-year moving averages. M2 Percent change from year ago 12 9 6 3 0 97 98 99 00 01 Dashed lines indicate 10-year moving averages. Research Division Federal Reserve Bank of St. Louis 13 updated through 09/03/14 Monetary Trends Bank Credit Percent change from year ago 15 10 5 0 -5 -10 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2011 2012 2013 2014 2012 2013 2014 Investment Securities in Bank Credit at Commercial Banks Percent change from year ago 20 15 10 5 0 -5 2005 2006 2007 2008 2009 2010 Total Loans and Leases in Bank Credit at Commercial Banks Percent change from year ago 15 10 5 0 -5 -10 -15 2005 2006 2007 2008 2009 2010 2011 Commercial and Industrial Loans at Commercial Banks Percent change from year ago 30 15 0 -15 -30 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 Research Division 14 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Standard & Poor's 500 2000 150 1600 120 Composite Index (left) 1200 90 800 60 Price/Earnings Ratio (right) 400 30 0 0 97 98 99 00 01 02 *The S&P Dow Jones Indices LLC series are Copyright 03 04 05 06 07 08 09 10 11 13 12 14 2014, S&P Dow Jones Indices LLC. All rights reserved. Recent Inflation and Long-Term Interest Rates Consumer Price Inflation Rates Percent change from year ago 2013Q3 2013Q4 2014Q1 Long-Term Government Bond Rates 2014Q2 May14 Percent Jun14 Jul14 United States 1.22 1.40 2.06 2.56 2.60 Canada 1.15 0.93 1.39 2.22 2.32 2.30 . . France 0.95 0.65 0.72 0.63 1.84 1.71 1.56 . Germany 1.63 1.34 1.21 1.08 1.33 1.26 1.11 . Italy 1.13 0.69 0.50 0.44 3.12 2.92 2.79 . Japan 0.91 1.41 1.51 3.61 0.57 0.54 . . United Kingdom 2.69 2.09 1.76 1.72 2.69 2.91 2.83 . * Copyright 2.54 Aug14 1.54 2.42 , 2011, Organisation for Economic Cooperation and Development, OECD Main Economic Indicators (www.oecd.org). Inflation and Long-Term Interest Rate Differentials Percent Percent 1 4 Canada 0 2 U.K. U.K. -1 Canada 0 Germany Germany Japan -2 -2 Inflation differential = Foreign inflation less U.S. inflation Long-term rate differential = Foreign rate less U.S. rate -3 Japan -4 2011 2012 2013 2014 2011 2012 2013 2014 Research Division Federal Reserve Bank of St. Louis 15 updated through 09/03/14 Monetary Trends Money Stock M3* Bank Adjusted Credit Monetary Base M1 MZM M2 Reserves MSI M2** 2009. 1637.785 9546.337 8389.191 . 9170.195 1796.556 944.368 . 2010. 1742.109 9539.971 8596.337 . 9123.312 2031.689 1143.690 . 2011. 2009.722 10206.69 9224.519 . 9220.844 2538.959 1576.503 . 2012. 2311.577 11062.12 10013.71 . 9714.110 2661.969 1611.904 . 2013. 2545.873 11875.35 10689.27 . 10022.56 3271.717 2144.988 . 2012 1 2213.449 10766.39 9759.584 . 9533.971 2688.263 1662.512 . . 2 2258.263 10929.01 9900.251 . 9651.953 2651.102 1615.814 . . 3 2351.033 11155.61 10091.77 . 9777.522 2651.597 1601.127 . . 4 2423.564 11397.47 10303.22 . 9892.994 2656.914 1568.164 . 2013 1 2471.597 11621.60 10476.13 . 9986.695 2865.577 1760.056 . . 2 2524.347 11760.82 10598.36 . 10034.45 3135.692 2025.830 . . 3 2566.369 11960.83 10754.52 . 10011.15 3412.927 2287.552 . . 4 2621.179 12158.16 10928.08 . 10057.93 3672.670 2506.512 . 2014 1 2713.840 12337.83 11109.37 . 10199.95 3842.868 2658.992 . . 2 2802.496 12503.30 11293.85 . 10401.51 3956.035 2762.103 . 2012 Jul 2322.366 11070.46 10025.27 . 9741.325 2669.164 1621.476 . . Aug 2347.026 11156.29 10089.21 . 9777.571 2669.390 1626.136 . . Sep 2383.706 11240.08 10160.83 . 9813.669 2616.238 1555.769 . . Oct 2415.605 11300.89 10217.13 . 9834.510 2648.761 1584.758 . . Nov 2407.831 11370.86 10282.80 . 9885.668 2665.101 1581.304 . . Dec 2447.256 11520.66 10409.72 . 9958.805 2656.879 1538.430 . . 2013 Jan 2464.681 11588.05 10446.02 . 9984.986 2748.980 1594.014 . Feb 2473.709 11608.50 10458.44 . 9987.484 2874.405 1794.638 . . Mar 2476.402 11668.24 10523.94 . 9987.615 2973.347 1891.515 . . Apr 2517.837 11711.35 10557.98 . 10042.09 3045.674 1954.977 . . May 2525.865 11752.98 10594.60 . 10028.41 3139.116 2013.761 . . Jun 2529.339 11818.14 10642.51 . 10032.87 3222.287 2108.753 . . Jul 2557.663 11897.39 10704.53 . 10027.22 3310.260 2184.857 . . Aug 2558.123 11955.31 10757.21 . 10003.04 3419.555 2303.546 . . Sep 2583.321 12029.79 10801.83 . 10003.18 3508.965 2374.254 . . Oct 2620.459 12130.85 10901.67 . 10032.20 3630.629 2500.930 . . Nov 2604.299 12150.34 10914.26 . 10051.24 3702.083 2545.482 . . Dec 2638.780 12193.29 10968.31 . 10090.34 3685.298 2473.124 . . 2014 Jan 2672.533 12252.64 11025.63 . 10124.01 3733.498 2471.946 . Feb 2722.278 12360.47 11133.50 . 10195.15 3869.437 2731.289 . . Mar 2746.709 12400.38 11168.97 . 10280.69 3925.669 2773.740 . . Apr 2780.131 12432.70 11227.47 . 10333.96 3965.001 2796.247 . . May 2792.554 12515.30 11302.77 . 10395.10 3932.332 2716.949 . . Jun 2834.802 12561.91 11351.31 . 10475.48 3970.772 2773.114 . . Jul 2856.442 12640.84 11422.26 . 10564.27 4008.859 2797.417 . Note: All values are given in billions of dollars. *See table of contents for changes to the series. Research Division 16 Federal Reserve Bank of St. Louis updated through 09/03/14 Monetary Trends Federal Primary Prime 3-mo Funds Credit Rate Rate CDs Treasury Yields 3-mo 3-yr 10-yr Corporate Municipal Aaa Bonds Aaa Bonds Conventional Mortgage 2009. 2010. 2011. 2012. 2013. 0.16 0.17 0.10 0.14 0.11 0.50 0.72 0.75 0.75 0.75 3.25 3.25 3.25 3.25 3.25 . . . . . 0.15 0.14 0.05 0.09 0.06 1.43 1.11 0.75 0.38 0.54 3.26 3.21 2.79 1.80 2.35 5.31 4.94 4.64 3.67 4.24 4.27 3.90 4.26 3.12 3.49 5.04 4.69 4.46 3.66 3.98 2012 . . . 1 2 3 4 0.10 0.15 0.14 0.16 0.75 0.75 0.75 0.75 3.25 3.25 3.25 3.25 . . . . 0.07 0.09 0.10 0.09 0.42 0.40 0.35 0.36 2.04 1.82 1.64 1.71 3.89 3.80 3.45 3.54 3.31 3.32 3.05 2.81 3.92 3.79 3.55 3.36 2013 . . . 1 2 3 4 0.14 0.12 0.08 0.09 0.75 0.75 0.75 0.75 3.25 3.25 3.25 3.25 . . . . 0.09 0.05 0.03 0.06 0.39 0.44 0.71 0.63 1.95 2.00 2.71 2.75 3.88 3.97 4.51 4.59 3.01 3.31 3.86 3.77 3.50 3.68 4.44 4.30 2014 . 1 2 0.07 0.09 0.75 0.75 3.25 3.25 . . 0.05 0.03 0.76 0.87 2.76 2.62 4.44 4.22 3.81 3.47 4.36 4.23 2012 Aug . Sep 0.13 0.14 0.75 0.75 3.25 3.25 . . 0.10 0.11 0.37 0.34 1.68 1.72 3.48 3.49 3.01 2.96 3.60 3.50 Oct Nov Dec 0.16 0.16 0.16 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.10 0.09 0.07 0.37 0.36 0.35 1.75 1.65 1.72 3.47 3.50 3.65 2.86 2.76 2.81 3.38 3.35 3.35 2013 Jan . Feb . Mar 0.14 0.15 0.14 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.07 0.10 0.09 0.39 0.40 0.39 1.91 1.98 1.96 3.80 3.90 3.93 2.83 3.08 3.13 3.41 3.53 3.57 . . . . . . Apr May Jun 0.15 0.11 0.09 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.06 0.04 0.05 0.34 0.40 0.58 1.76 1.93 2.30 3.73 3.89 4.27 3.11 3.13 3.70 3.45 3.54 4.07 . . . Jul Aug Sep 0.09 0.08 0.08 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.04 0.04 0.02 0.64 0.70 0.78 2.58 2.74 2.81 4.34 4.54 4.64 3.73 3.91 3.94 4.37 4.46 4.49 . . . Oct Nov Dec 0.09 0.08 0.09 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.05 0.07 0.07 0.63 0.58 0.69 2.62 2.72 2.90 4.53 4.63 4.62 3.60 3.56 4.15 4.19 4.26 4.46 2014 Jan . Feb . Mar 0.07 0.07 0.08 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.04 0.05 0.05 0.78 0.69 0.82 2.86 2.71 2.72 4.49 4.45 4.38 3.94 3.77 3.72 4.43 4.30 4.34 . . . Apr May Jun 0.09 0.09 0.10 0.75 0.75 0.75 3.25 3.25 3.25 . . . 0.03 0.03 0.04 0.88 0.83 0.90 2.71 2.56 2.60 4.24 4.16 4.25 3.57 3.43 3.41 4.34 4.19 4.16 . . Jul Aug 0.09 0.09 0.75 0.75 3.25 3.25 . . 0.03 0.03 0.97 0.93 2.54 2.42 4.16 4.08 3.38 . 4.13 4.12 Note: All values are given as a percent at an annual rate. Research Division Federal Reserve Bank of St. Louis 17 updated through 09/03/14 Monetary Trends M1 MZM M2 M3* Percent change at an annual rate 2009. 2010. 2011. 2012. 2013. 14.17 6.37 15.36 15.02 10.14 9.62 -0.07 6.99 8.38 7.35 8.02 2.47 7.31 8.56 6.75 . . . . . 2012 . . . 1 2 3 4 11.15 8.10 16.43 12.34 7.56 6.04 8.29 8.67 7.48 5.77 7.74 8.38 . . . . 2013 . . . 1 2 3 4 7.93 8.54 6.66 8.54 7.87 4.79 6.80 6.60 6.71 4.67 5.89 6.46 . . . . 2014 . 1 2 14.14 13.07 5.91 5.36 6.64 6.64 . . 2012 Jul . Aug . Sep 27.74 12.74 18.75 9.30 9.30 9.01 8.87 7.65 8.52 . . . Oct Nov Dec 16.06 -3.86 19.65 6.49 7.43 15.81 6.65 7.71 14.81 . . . 2013 Jan . Feb . Mar 8.54 4.40 1.31 7.02 2.12 6.17 4.18 1.43 7.52 . . . . . . . . . Apr May Jun 20.08 3.83 1.65 4.43 4.27 6.65 3.88 4.16 5.43 . . . . . . Jul Aug Sep 13.44 0.22 11.82 8.05 5.84 7.48 6.99 5.91 4.98 . . . . . . Oct Nov Dec 17.25 -7.40 15.89 10.08 1.93 4.24 11.09 1.39 5.94 . . . 2014 Jan . Feb . Mar 15.35 22.34 10.77 5.84 10.56 3.88 6.27 11.74 3.82 . . . . . . Apr May Jun 14.60 5.36 18.15 3.13 7.97 4.47 6.29 8.05 5.15 . . . . Jul 9.16 7.54 7.50 . *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 Research Division Federal Reserve Bank of St. Louis Release. The Treasury Yield Curve and Real Treasury Yield Curve show constant maturity yields calculated by the U.S. Treasury for securities 5, 7, 10, and 20 years to maturity. Inflation-Indexed Treasury Yield Spreads are a measure of inflation compensation at those horizons, and it is simply the nominal constant maturity yield less the real constant maturity yield. Daily data and descriptions are available at research.stlouisfed.org/fred2/. See also Statistical Supplement to the Federal Reserve Bulletin, table 1.35. The 30-year constant maturity series was discontinued by the Treasury as of February 18, 2002. Page 5: Checkable Deposits is the sum of demand and other checkable deposits. Savings Deposits is the sum of money market deposit accounts and passbook and statement savings. Time Deposits have a minimum initial maturity of 7 days. Retail Money Market Mutual Funds are included in M2. Institutional money market funds are not included in M2. Page 6: Excess Reserve Balances equals the amount of reserve balances maintained at depository institutions (DIs) less reserve balance requirements at DIs. Total Borrowings from the Federal Reserve is the sum of credit extended under the primary, second, and seasonal programs, as well as credit extended under the Term Asset-Backed Securities Loan Facility, and other credit extensions. [NOTE: Excess reserves and total borrowings are not seasonally adjusted.] The excess reserves calculation was changed with the introduction of the new H.3 statistical release, “Aggregate Reserves of Depository Institutions and the Monetary Base” on July 11, 2013. See http://www.federalreserve.gov/releases/h3/current/. Page 7: Data are reported in the Senior Loan Officer Opinion Survey on Bank Lending Practices. Page 8: Inflation Expectations measures include the quarterly Federal Reserve Bank of Philadelphia Survey of Professional Forecasters, the monthly University of Michigan Survey Research Center’s Surveys of Consumers, and the annual Federal Open Market Committee (FOMC) range as reported to the Congress in the February testimony that accompanies the Monetary Policy Report to the Congress. Beginning February 2000, the FOMC began using the personal consumption expenditures (PCE) price index to report its inflation range; the FOMC then switched to the PCE chain-type price index excluding food and energy prices (“core”) beginning July 2004. Accordingly, neither are shown on this graph. CPI Inflation is the percentage change from a year ago in the consumer price index for all urban consumers. Real Interest Rates are ex post measures, equal to nominal rates minus year-over-year CPI inflation. From 1991 to the present the source of the long-term PCE inflation expectations data is the Federal Reserve Bank of Philadelphia’s Survey of Professional Forecasters. Prior to 1991, the data were obtained from the Board of Governors of the Federal Reserve System. Realized (actual) inflation is the annualized rate of change for the 40-quarter period that corresponds to the forecast horizon (the expectations measure). For example, in 1965:Q1, annualized PCE inflation over the next 40 quarters was expected to average 1.7 percent. In actuality, the average annualized rate of change measured 4.8 percent from 1965:Q1 to 1975:Q1. Thus, the vertical distance between the two lines in the chart at any point is the forecast error. Page 9: FOMC Intended Federal Funds Rate is the level (or midpoint of the range, if applicable) of the federal funds rate that the staff of the FOMC expected to be consistent with the desired degree of pressure on bank reserve positions. In recent years, the FOMC has set an explicit target for the federal funds rate. Page 10: Federal Funds Rate and Inflation Targets shows the observed federal funds rate, quarterly, and the level of the funds rate implied by applying Taylor’s (1993) equation ft*= 2.5 + π t –1 + (π t –1 – π* )/2 + 100 × (yt –1 – yt –1P )/2 to five alternative target inflation rates, π* = 0, 1, 2, 3, 4 percent, where ft* is the implied federal funds rate, π t –1 is the previous period’s inflation rate (PCE) measured on a year-over-year basis, yt –1 is the log of the previous period’s level of real gross domestic product (GDP), and yt –1P is the log of an estimate of the previous period’s level of potential output. Potential Real GDP is estimated by the Congressional Budget Office (CBO). 19 Monetary Trends Monetary Base Growth and Inflation Targets shows the quarterly growth of the adjusted monetary base implied by applying McCallum’s (2000, p. 52) equation Δbt = Δxt* − Δvta + λ ( Δxt* − Δxt −1 ), Δxt* = π * + Δyt* to five alternative target inflation rates, π* = 0, 1, 2, 3, 4 percent, where Δbt is the implied growth rate of the adjusted monetary base, Δy*t is the 10-year moving average growth in real GDP, Δνta is the average base velocity growth (calculated recursively), Δxt–1 is the lag growth rate of nominal GDP, and λ = 0.5. Page 11: Implied One-Year Forward Rates are calculated by this Bank from Treasury constant maturity yields. Yields to maturity, R(m), for securities with m = 1,..., 10 years to maturity are obtained by linear interpolation between reported yields. These yields are smoothed by fitting the regression suggested by Nelson and Siegel (1987), R(m) = a0 + (a1 + a2 )(1 – e–m/50 )/(m/50) – a2 × e–m/50, and forward rates are calculated from these smoothed yields using equation (a) in table 13.1 of Shiller (1990), f(m) = [D(m)R(m) – D(m–1)] / [D(m) – D(m–1)], where duration is approximated as D(m) = (1 – e –R(m) × m)/R(m). These rates are linear approximations to the true instantaneous forward rates; see Shiller (1990). For a discussion of the use of forward rates as indicators of inflation expectations, see Sharpe (1997). Rates on 3-Month Eurodollar Futures and Rates on Selected Federal Funds Futures Contracts trace through time the yield on three specific contracts. Rates on Federal Funds Futures on Selected Dates displays a single day’s snapshot of yields for contracts expiring in the months shown on the horizontal axis. Inflation-Indexed Treasury Securities and Yield Spreads are those plotted on page 3. Inflation-Indexed 10-Year Government Notes shows the yield of an inflation-indexed note that is scheduled to mature in approximately (but not greater than) 10 years. The current French note has a maturity date of 7/25/2015, the current U.K. note has a maturity date of 4/16/2020, and the current U.S. note has a maturity date of 11/15/2020. Inflation-Indexed Treasury Yield Spreads and InflationIndexed 10-Year Government Yield Spreads equal the difference between the yields on the most recently issued inflation-indexed securities and the unadjusted security yields of similar maturity. Page 12: Velocity (for MZM and M2) equals the ratio of GDP, measured in current dollars, to the level of the monetary aggregate. MZM and M2 Own Rates are weighted averages of the rates received by households and firms on the assets included in the aggregates. Prior to 1982, the 3-month T-bill rates are secondary market yields. From 1982 forward, rates are 3-month constant maturity yields. Page 13: Real Gross Domestic Product is GDP as measured in chained 2009 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 2009 dollars. Sources Agence France Trésor: French note yields. Bank of Canada: Canadian note yields. Bank of England: U.K. note yields. Board of Governors of the Federal Reserve System : Monetary aggregates and components: H.6 release. Bank credit and components: H.8 release. Consumer credit: G.19 release. Required reserves, excess reserves, clearing balance contracts, and discount window borrowing: H.4.1 and H.3 releases. Interest rates: H.15 release. Nonfinancial commercial paper: Board of Governors website. Nonfinancial debt: Z.1 release. M2 own rate. Senior Loan Officer Opinion Survey on Bank Lending Practices. Bureau of Economic Analysis: GDP. Bureau of Labor Statistics: CPI. Chicago Board of Trade: Federal funds futures contract. Chicago Mercantile Exchange: Eurodollar futures. Congressional Budget Office: Potential real GDP. Federal Reserve Bank of Philadelphia: Survey of Professional Forecasters inflation expectations. Federal Reserve Bank of St. Louis: Adjusted monetary base and adjusted reserves, monetary services index, MZM own rate, one-year forward rates. Organization for Economic Cooperation and Development: International interest and inflation rates. S&P Dow Jones Indices LLC Copyright © 2014, S&P Dow Jones Indices LLC. All rights reserved. Reproduction of Standard and Poor's 500 with Reinvested Dividends in any form is prohibited except with the prior written permission of S&P Dow Jones Indices LLC (“S&P”). S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions, regardless of the cause or for the results obtained from the use of such information. S&P DISCLAIMS ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. In no event shall S&P be liable for any direct, indirect, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with subscriber’s or others’ use of S&P 500. Permission to reproduce this series can be requested from index_services@spdji.com. More contact details are available from http://us.spindices.com/contact-us/, including phone numbers for all of its regional offices. U.S. Department of the Treasury : U.S. security yields. Page 14: Investment Securities are all securities held by commercial banks in both investment and trading accounts. Page 15: Inflation Rate Differentials are the differences between the foreign consumer price inflation rates and year-over-year changes in the U.S. all-items Consumer Price Index. Page 17: Treasury Yields are Treasury constant maturities as reported in the Board of Governors of the Federal Reserve System’s H.15 release. 20 Research Division Federal Reserve Bank of St. Louis Monetary Trends References Anderson, Richard G. and Robert H. Rasche (1996a). “A Revised Measure of the St. Louis Adjusted Monetary Base,” Federal Reserve Bank of St. Louis Review, March/April, 78(2), pp. 3-13.* ____ and ____(1996b). “Measuring the Adjusted Monetary Base in an Era of Financial Change,” Federal Reserve Bank of St. Louis Review, November/ December, 78(6), pp. 3-37.* ____ and ____(2001). “Retail Sweep Programs and Bank Reserves, 19941999,” Federal Reserve Bank of St. Louis Review, January/February, 83(1), pp. 51-72.* ____ and ____ , with Jeffrey Loesel (2003). “A Reconstruction of the Federal Reserve Bank of St. Louis Adjusted Monetary Base and Reserves,” Federal Reserve Bank of St. Louis Review, September/October, 85(5), pp. 39-70.* ____ , Barry E. Jones and Travis D. Nesmith (1997). “Special Report: The Monetary Services Indexes Project of the Federal Reserve Bank of St. Louis,” Federal Reserve Bank of St. Louis Review, January/February, 79(1), pp. 31-82.* McCallum, Bennett T. (2000). “Alternative Monetary Policy Rules: A Comparison with Historical Settings for the United States, the United Kingdom, and Japan,” Federal Reserve Bank of Richmond Economic Quarterly, vol. 86/1, Winter. Motley, Brian (1988). “Should M2 Be Redefined?” Federal Reserve Bank of San Francisco Economic Review, Winter, pp. 33-51. Nelson, Charles R. and Andrew F. Siegel (1987). “Parsimonious Modeling of Yield Curves,” Journal of Business, October, pp. 473-89. Poole, William (1991). Statement before the Subcommittee on Domestic Monetary Policy of the Committee on Banking, Finance and Urban Affairs, U.S. House of Representatives, November 6, 1991. Government Printing Office, Serial No. 102-82. Sharpe, William F. (1997). Macro-Investment Analysis, on-line textbook available at www.stanford.edu/~wfsharpe/mia/mia.htm. Shiller, Robert (1990). “The Term Structure of Interest Rates,” Handbook of Monetary Economics, vol. 1, B. Friedman and F. Hahn, eds., pp. 627-722. Taylor, John B. (1993). “Discretion versus Policy Rules in Practice,” CarnegieRochester Conference Series on Public Policy, vol. 39, pp. 195-214. Note: *Available on the Internet at research.stlouisfed.org/publications/review/. Research Division Federal Reserve Bank of St. Louis 21
@FedFRASER