monetary trends - monetary aggregates and their …may 2014 sep 2014 may 2015 sep 2015 jan 2016 may...

Monetary Trends - Monetary Aggregates and Their Components

M2andMZM

M2minussmall-denominationtimedeposits,plusinstitutionalmoneymarketmutualfunds(thatis,thoseincludedinM3butexcludedfromM2).ThelabelMZMwascoinedbyWilliamPoole(1991);theaggregateitselfwasproposedearlierbyMotley(1988).M2:M1plussavingsdeposits(includingmoneymarketdepositaccounts)andsmall-denomination(under$100,000)timedepositsissuedbyfinancialinstitutions;andsharesinretailmoneymarketmutualfunds(fundswithinitial

investmentsunder$50,000),netofretirementaccounts.

AdjustedMonetaryBase

AdjustedMonetaryBase:ThesumofcurrencyincirculationoutsideFederalReserveBanksandtheU.S.Treasury,depositsofdepositoryfinancialinstitutionsatFederalReserveBanks,andanadjustmentfortheeffectsofchangesinstatutoryreserverequirementsonthequantityofbasemoneyheldbydepositories.Thisseriesisasplicedchainindex;seeAndersonandRasche(1996a,b,2001,2003).

Billionsofdollars

Jan2015May2014 Sep2014 May2015 Sep2015 Jan2016 May2016 Sep2016 Jan2017 May2017 Sep2017 Jan2018

1960 1970 1980 1990 2000 2010

12,000

14,000

16,000

11,000

13,000

15,000

MZMMoneyStockM2MoneyStock

BillionsofDo

llars

ShadedareasindicateU.S.recessions Source:BoardofGovernorsoftheFederalReserveSystem(US) 2018fred.stlouisfed.org

SeasonallyAdjusted

May2014 Sep2014 Jan2015 May2015 Sep2015 Jan2016 May2016 Sep2016 Jan2017 May2017 Sep2017 Jan2018

1920 1940 1960 1980 2000

0

-60

-40

-20

20

40

60

80

100

St.LouisAdjustedMonetaryBase

Comp

ounded

AnnualRateo

fChange


Monetary and Financial Indicators at a Glance 1


ReserveMarketRates

PrimaryCreditRate,DiscountRate,andIntendedFederalFundsRateshowninthechartReserveMarketRatesareplottedasofthedateofthechange,whiletheEffectiveFederalFundsRateisplottedasoftheendofthemonth.InterestratesinthetablearemonthlyaveragesfromtheBoardofGovernorsH.15StatisticalRelease.

TreasuryYieldCurve

TheTreasuryYieldCurveshowsconstantmaturityyieldscalculatedbytheU.S.Treasuryforsecurities5,7,10,and20yearstomaturity.

2015-01-012013-07-01 2014-01-01 2014-07-01 2015-07-01 2016-01-01 2016-07-01 2017-01-01 2017-07-01 2018-01-01

1960 1970 1980 1990 2000 2010

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0

2.2

PrimaryCreditRateFederalFundsRangeMidpoint

EffectiveFederalFundsRate

Percent


Percent,WeeklyEndingFriday

5-Year 7-Year 10-year 20-year1.8

2.0

2.2

2.4

2.6

2.8

3.0

3.2

2018-02-162018-01-192017-02-17




RealTreasuryYieldCurve

TheTreasuryYieldCurveshowsconstantmaturityyieldscalculatedbytheU.S.Treasuryforsecurities5,7,10,and20yearstomaturity.

Inflation-IndexedTreasuryYieldSpreads

Inflation-IndexedTreasuryYieldSpreadsareameasureofinflationcompensationatthosehorizons,anditissimplythenominalconstantmaturityyieldlesstherealconstantmaturityyield.Dailydataanddescriptionsareavailableatfred.stlouisfed.org.SeealsoStatisticalSupplementtotheFederalReserveBulletin,table1.35.The30-yearconstantmaturityserieswasdiscontinuedbytheTreasuryasofFebruary18,2002.

Percent

5-Year 7-Year 10-year 20-year-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

2018-02-162018-01-192017-02-17


Percent

5-Year 7-Year 10-year 20-year1.85

1.90

1.95

2.00

2.05

2.10

2.15

2018-02-162018-01-192017-02-17




M1

M1:Thesumofcurrencyheldoutsidethevaultsofdepositoryinstitutions,FederalReserveBanks,andtheU.S.Treasury;travelerschecks;anddemandandothercheckabledepositsissuedbyfinancialinstitutions(exceptdemanddepositsduetotheTreasuryanddepositoryinstitutions),minuscashitemsinprocessofcollectionandFederalReservefloat.

MZM

MZM(money,zeromaturity):M2minussmall-denominationtimedeposits,plusinstitutionalmoneymarketmutualfunds(thatis,thoseincludedinM3butexcludedfromM2).ThelabelMZMwascoinedbyWilliamPoole(1991);theaggregateitselfwasproposedearlierbyMotley(1988).

20102002 2004 2006 2008 2012 2014 2016 2018

1970 1980 1990 2000 2010

-5

0

5

10

15

20

25

M1MoneyStock

Perce

ntC

hang

efro

mYe

arA

go

ShadedareasindicateU.S.recessions Source:FederalReserveBankofSt.Louis 2018fred.stlouisfed.org

20102002 2004 2006 2008 2012 2014 2016 2018

1970 1980 1990 2000 2010

0

10

20

-5

5

15

25

MZMMoneyStock

Perce

ntC

hang

efrom

YearAgo


Aggregates 4


M2

M2:M1plussavingsdeposits(includingmoneymarketdepositaccounts)andsmall-denomination(under$100,000)timedepositsissuedbyfinancialinstitutions;andsharesinretailmoneymarketmutualfunds(fundswithinitialinvestmentsunder$50,000),netofretirementaccounts.

MonetaryServicesIndex-M2

MonetaryServicesIndex:Anindexthatmeasurestheflowofmonetaryservicesreceivedbyhouseholdsandfirmsfromtheirholdingsofliquidassets;seeAnderson,Jones,andNesmith(1997).IndexesareshownfortheassetsincludedinM2,withadditionaldataatresearch.stlouisfed.org/msi/index.html.

20102002 2004 2006 2008 2012 2014 2016 2018

1970 1980 1990 2000 2010

5

10

1

2

3

4

6

7

8

9

11

M2MoneyStock

Perce

ntC

hang

efro

mYe

arA

go


2005 20102001 2002 2003 2004 2006 2007 2008 2009 2011 2012 2013

1970 1980 1990 2000 2010

0.0

2.5

5.0

7.5

10.0

12.5

MonetaryServicesIndex:M2(preferred)

Perce

ntC

hang

efrom

YearAgo


Aggregates 5


AdjnstedMonetaryBase

AdjustedMonetaryBase:ThesumofcurrencyincirculationoutsideFederalReserveBanksandtheU.S.Treasury,depositsofdepositoryfinancialinstitutionsatFederalReserveBanks,andanadjustmentfortheeffectsofchangesinstatutoryreserverequirementsonthequantityofbasemoneyheldbydepositories.Thisseriesisasplicedchainindex;seeAndersonandRasche(1996a,b,2001,2003).

DomesticNonfinancialDebt

DomesticNonfinancialDebt:TotalcreditmarketliabilitiesoftheU.S.Treasury,federallysponsoredagencies,stateandlocalgovernments,households,andnonfinancialfirms.End-of-periodbasis.

Percentchangefromayearago

20102002 2004 2006 2008 2012 2014 2016 2018

1920 1940 1960 1980 2000

-20

0

20

40

60

80

100

120

St.LonisAdjnstedMonetaryBase

Perce

ntChangefromYearAgo



Q12015Q32010 Q12011 Q32011 Q12012 Q32012 Q12013 Q32013 Q12014 Q32014 Q32015 Q12016 Q32016 Q12017Q32017

1950 1960 1970 1980 1990 2000 2010

0.0

5.0

10.0

15.0

20.0

2.5

7.5

12.5

17.5

TotalFederal

Perce

ntChangefromYearAgo


Monetary Components 6


CnrrencyHeldbytheNonbankPnblic

SmallDenominationTimeDeposits

TimeDepositshaveaminimuminitialmaturityof7days.



1950 1960 1970 1980 1990 2000 2010

7.5

6.0

6.5

7.0

8.0

8.5

9.0

CnrrencyComponentofM1

Perce

ntChangefromYearAgo




1970 1980 1990 2000 2010

-20

-10

0

10

20

-25

-15

-5

5

15

SmallTimeDeposits-Total

Perce

ntChangefromYearAgo




CheckableDeposits

CheckableDepositsisthesumofdemandandothercheckabledeposits.

MoneyMarketMntnalFnndShares

RetailMoneyMarketMutualFundsareincludedinM2.InstitutionalmoneymarketfundsarenotincludedinM2.



1970 1980 1990 2000 2010

10.0

2.5

5.0

7.5

12.5

15.0

TotalCheckableDeposits

Perce

ntChangefromYearAgo




1980 1990 2000 2010

0

-10

-5

5

10

15

20

InstitntionalMoneyFnndsRetailMoneyFnnds

Perce

ntChangefromYearAgo




SavingsDeposits

SavingsDepositsisthesumofmoneymarketdepositaccountsandpassbookandstatementsavings.



1970 1980 1990 2000 2010

2

3

4

5

6

7

8

9

SavingsDeposits-Total

Perce

ntChangefromYearAgo




AdjnstedandRequiredReserves

AdjustedReserves:ThesumofvaultcashandFederalReserveBankdepositsheldbydepositoryinstitutionsandanadjustmentfortheeffectsofchangesinstatutoryreserverequirementsonthequantityofbasemoneyheldbydepositories.ThissplicedchainindexisnumericallylargerthantheBoardofGovernors’measure,whichexcludesvaultcashnotusedtosatisfystatutoryreserverequirementsandFederalReserveBankdepositsusedtosatisfyrequiredclearingbalancecontracts;seeAndersonandRasche(1996a,2001,2003).ExcessReserveBalancesequalstheamountofreservebalancesmaintainedatdepositoryinstitutions(DIs)lessreservebalancerequirementsatDepository

Institutions.

TotalBorrowings

TotalBorrowingsfromtheFederalReserveisthesumofcreditextendedundertheprimary,second,andseasonalprograms,aswellascreditextendedundertheTermAsset-BackedSecuritiesLoanFacility,andothercreditextensions.[NOTE:Excessreservesandtotalborrowingsarenotseasonallyadjusted.]TheexcessreservescalculationwaschangedwiththeintroductionofthenewH.3statisticalrelease,“AggregateReservesofDepositoryInstitutionsandthe

MonetaryBase”onJuly11,2013.Seehttp://www.federalreserve.gov/releases/h3/current/.

Billionsofdollars

20102002 2004 2006 2008 2012 2014 2016 2018

1920 1940 1960 1980 2000

0

400

800

1,200

1,600

2,000

2,400

2,800

3,200

150

25

50

75

100

125

175

200

225

St.LouisAdjustedReserves(left)RequiredReservesofDepositoryInstitutions(right)

BillionsofDollars BillionsofDollars

ShadedareasindicateU.S.recessions Sources:BoardofGovernors,St.LouisFed 2018fred.stlouisfed.org

Billionsofdollars

Jan2011 Jan2012 Jan2013 Jan2014 Jan2015 Jan2016 Jan2017 Jan2018

1920 1940 1960 1980 2000

0

100

-20

20

40

60

80

120

TotalBorrowingsofDepositoryInstitutionsfromtheFederalReserve

BillionsofDollars


Reserves Markets and Short-Term Credit Flow 10


ExcessReserveBalances

NonfinancialCommercialPaper

Billionsofdollars

Jan2012 Jan2014 Jan2016 Jan2018Jan2011 Jan2013 Jan2015 Jan2017

1985 1990 1995 2000 2005 2010 2015

800,000

1,200,000

1,600,000

2,000,000

2,400,000

2,800,000

1,000,000

1,400,000

1,800,000

2,200,000

2,600,000

ExcessReservesofDepositoryInstitutions

MillionsofDollars



2004 2006 2008 2010 2012 2014 2016 2018

2004 2006 2008 2010 2012 2014 2016 2018

-60

-40

-20

0

20

40

60

NonfinancialCommercialPaperOutstanding

PercentChangefromYearAgo




ConsumerCreditW ercentchangefromayearago

20102002 2004 2006 2008 2012 2014 2016

1950 1960 1970 1980 1990 2000 2010

0.0

10.0

-5.0

-2.5

2.5

5.0

7.5

12.5

15.0

TotalConsumerCreditOwnedandSecuritized,Outstanding

PercentChangefromYearAgo




NetPercentageofDomesticBanksTighteningStandardsforCommercialandIndustrialLoans

DataarereportedintheSeniorLoanOfficerOpinionSurveyonBankLendingPractices.

NetPercentageofDomesticBanksTighteningStandardsforCommercialRealEstateLoans


Percentage

2002 2004 2006 2008 2010 2012 2014 2016 2018

1995 2000 2005 2010 2015

-40

-20

0

20

40

60

80

100

Large&MediumFirmsSmallFirms

Perce

nt


Percentage

2002 2004 2006 2008 2010 2012 2014 2016 2018

1995 2000 2005 2010 2015

-40

-20

0

20

40

60

80

100

Total ConstructionandLandDevelopmentPurposes SecuredbyMultifamilyResidentialStructuresSecuredbyNonfarm,NonresidentialStructures

Perce

nt


Senior Loan Officer Opinion Survey on Bank Lending Practices 13


NetPercentageofDomesticBanksTighteningStandardsforResidentialMortgageLoans


NetPercentageofDomesticBanksTighteningStandardsforConsumerLoans


Percentage

2002 2004 2006 2008 2010 2012 2014 2016

20001995 2005 2010 2015

-20

-10

0

10

20

30

40

50

60

70

80

ResidentialMortgageLoans

(Perce

ntag

e)


Percentage

2002 2004 2006 2008 2010 2012 2014 2016 2018

2000 2005 2010 2015

-30

-20

-10

0

10

20

30

40

50

60

70

CreditCardsAutoLoansExcludingCreditCardsExcludingCreditCardsandAutoLoans

(Perce

ntag

e)


Senior Loan Officer Opinion Survey on Bank Lending Practices 14


CPIInfIationand1-yearCPIInfIationExpectations

InflationExpectationsmeasuresincludethequarterlyFederalReserveBankofPhiladelphiaSurveyofProfessionalForecasters,themonthlyUniversityofMichiganSurveyResearchCenter’sSurveysofConsumers,andtheannualFederalOpenMarketCommittee(FOMC)rangeasreportedtotheCongressintheFebruarytestimonythataccompaniestheMonetaryPolicyReporttotheCongress.BeginningFebruary2000,theFOMCbeganusingthepersonalconsumption

expenditures(PCE)priceindextoreportitsinflationrange;theFOMCthenswitchedtothePCEchain-typepriceindexexcludingfoodandenergyprices(“core”)beginningJuly2004.Accordingly,neitherareshownonthisgraph.CPIInflationisthepercentagechangefromayearagointheconsumerpriceindexforallurbanconsumers.

10YearAheadPCEInfIationExpectationsandReaIizedInfIation

From1991tothepresentthesourceofthelong-termPCEinflationexpectationsdataistheFederalReserveBankofPhiladelphia’sSurveyofProfessionalForecasters.Priorto1991,thedatawereobtainedfromtheBoardofGovernorsoftheFederalReserveSystem.Realized(actual)inflationistheannualizedrateofchangeforthe40-quarterperiodthatcorrespondstotheforecasthorizon(theexpectationsmeasure).Forexample,in1965:Q1,annualizedPCEinflationoverthenext40quarterswasexpectedtoaverage1.7percent.Inactuality,theaverageannualizedrateofchangemeasured4.8percentfrom1965:Q1to1975:Q1.Thus,theverticaldistancebetweenthetwolinesinthechartatanypointisthe

forecasterror.

PercentChange

20102002 2004 2006 2008 2012 2014 2016 2018

1920 1940 1960 1980 2000

0

5

-3

-2

-1

1

2

3

4

6

ConsumerPriceIndexforAIIUrbanConsumers:AIIItemsUniversityofMichigan:InfIationExpectationFederaIReserveBankofPhiIadeIphia

Perce

ntC

hang

efro

mYe

arA

go,

Perce

nt

ShadedareasindicateU.S.recessions Source:U.S.BureauofLaborStatistics,UniversityofMichigan 2018fred.stlouisfed.org

PercentChange

1980 1985 1990 1995 2000 2005 2010 20151970 1975

1980 1990 2000 20101970

5

1

2

3

4

6

7

8

PCEExpectationsPCEReaIized

Perce

nt


Measures of Expected Inflation 16


TreasurySecurityYieIdSpreads

ReaIInterestRates

YieldtoMaturity

Jan2010 Jan2015Jan2011 Jan2012 Jan2013 Jan2014 Jan2016 Jan2017 Jan2018

1980 1990 2000 2010

0.0

1.0

2.0

3.0

4.0

0.5

1.5

2.5

3.5

10-YearIess3-MonthT-BiII10-YearIess2-YearNote2-YearIess3-MonthT-BiII

Perce

nt,

%-%


Percent,Realrate=Nominalratelessyear-over-yearCPIinflation

Jan2010 Jan2015Jan2011 Jan2012 Jan2013 Jan2014 Jan2016 Jan2017 Jan2018

1960 1970 1980 1990 2000 2010

0

-4

-3

-2

-1

1

2

3

EffectiveFederaIFundsRate-ConsumerPriceIndexforAIIUrbanConsumers:AIIItems1-YearTreasuryConstantMaturityRate-ConsumerPriceIndexforAIIUrbanConsumers:AIIItems

%-%

Chg.

from

Yr.A

go


Measures of Expected Inflation 17


Short-TermInterestRates

Long-TermInterestRates

PercentMonthly

20102002 2004 2006 2008 2012 2014 2016 2018

1950 1960 1970 1980 1990 2000 2010

0

5

10

1

2

3

4

6

7

8

9

BankPrimeLoanRate3-MonthAANonfinancialCommercialPaperRate3-MonthTreasuryConstantMaturityRate

Perce

nt


PercentMonthly

20102002 2004 2006 2008 2012 2014 2016 2018

1960 1980 20001970 1990 2010

5

1

2

3

4

6

7

8

9

30-YearFixedRateMortgageAverageintheUnitedStates

10-YearTreasuryConstantMaturityRateCorporateAAA

Perce

nt


Interest Rates 18


Long-TermInterestRates

Short-TermInterestRates

PercentMonthly

Jan2015Sep2014 May2015 Sep2015 Jan2016 May2016 Sep2016 Jan2017 May2017 Sep2017 Jan2018

1960 1980 20001970 1990 2010

2.5

5.0

1.0

1.5

2.0

3.0

3.5

4.0

4.5

5.5

10-YearTreasuryConstantMaturityRateCorporateBAA

Perce

nt


PercentMonthly

Jan2016 Jan2018Sep2014 Jan2015 May2015 Sep2015 May2016 Sep2016 Jan2017 May2017 Sep2017

1985 1990 1995 2000 2005 2010 2015

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

3-MonthAANonfinancialCommercialPaperRate3-MonthTreasuryConstantMaturityRate

Perce

nt


Interest Rates 19


FOMCIntendedFederalFundsRate,DiscountRate,PrimaryCreditRate

FOMCIntendedFederalFundsRateisthelevel(ormidpointoftherange,ifapplicable)ofthefederalfundsratethatthestaffoftheFOMCexpectedtobeconsistentwiththedesireddegreeofpressureonbankreservepositions.Inrecentyears,theFOMChassetanexplicittargetforthefederalfundsrate.

PercentMonthly

2014 2016 20181998 2000 2002 2004 2006 2008 2010 2012

1960 1970 1980 1990 2000 2010

0

1

2

3

4

5

6

7

DiscountRate(DISCONTINUED)

FederalFundsTargetRate(DISCONTINUED)PrimaryCreditRate

IntendedFederalFundsRate

Perce

nt,

(%+%

)/2


Interest Rates 20


FederalFundsRateandInflationTargets

FederalFundsRateandInflationTargetsshowstheobservedfederalfundsrate,quarterly,andthelevelofthefundsrateimpliedbyapplyingTaylor’s(1993)equationtofivealternativetargetinflationrates,=0,1,2,3,4percent,whereft*istheimpliedfederalfundsrate,t–1isthepreviousperiod’sinflationrate(PCE)measuredonayear-over-yearbasis,yt–1isthelogofthepreviousperiod’slevelofrealgrossdomesticproduct(GDP),andyt–1Pisthelogofanestimateofthe

previousperiod’slevelofpotentialoutput.

ft*=2.5+t–1+(t–1–)/2+100×(yt–1–yt–1P)/2

ActualandPotentialRealGDP

PotentialRealGDPisestimatedbytheCongressionalBudgetOffice(CBO).

2010 20152011 2012 2013 2014 2016 2017

1960 1970 1980 1990 2000 2010

0

5

-5

-4

-3

-2

-1

1

2

3

4

6

EffectiveFederalFundsRate0% 1% 2% 3% 4%

Percent

ShadedareasindicateU.S.recessions Source:FederalReserveBankofSt.Louis,UniversityofMichigan 2018fred.stlouisfed.org

BillionsofChain-Weighted2009Dollars

Q12010 Q12015Q12011 Q12012 Q12013 Q12014 Q12016 Q12017 Q12018

1960 1980 2000 2020

14,000

16,000

14,400

14,800

15,200

15,600

16,400

16,800

17,200

17,600

RealGrossDomesticProductRealPotentialGrossDomesticProduct

BillionsofChaine

d2009D

ollars


Policy Based Inflation Indicators 21


PCEInflation

MonetaryBaseGrowthandInflationTargets

M onetaryBaseGrowthandInflationTargetsshowsthequarterlygrowthoftheadjustedmonetarybaseimpliedbyapplyingMcCallum’sequationtofivealternativetargetinflationrates,*=0,1,2,3,4percent,whereΔbt*istheimpliedgrowthrateoftheadjustedmonetarybase,Δyt*isthe10-yearmovingaveragegrowthinrealGDP,Δatistheaveragebasevelocitygrowth(calculatedrecursively),Δxt–1isthelaggrowthrateofnominalGDP,and=0.5.

Δbt=Δxt*-Δvat+(Δxt*-Δxt-1),Δxt*=*+Δyt*

Percentchangefromyearago

2010 20152011 2012 2013 2014 2016 2017

1950 1960 1970 1980 1990 2000 2010

0.0

2.5

-1.0

-0.5

0.5

1.0

1.5

2.0

3.0

PersonalConsumptionExpenditures:Chain-typePriceIndex

PercentC

hangefromYearAgo


Percent

2010 2011 2012 2013 2014 2015 2016 2017

1920 1940 1960 1980 2000

0

40

-30

-20

-10

10

20

30

50

60

70

0% 1% 2% 3% 4% Actual

(Perce

nt)

ShadedareasindicateU.S.recessions FederalReserveBankofSt.Louis 2018fred.stlouisfed.org



MonetaryBaseVelocityGrowth

RealOutputGrowth

Percent

2010 20152011 2012 2013 2014 2016 2017

1980 1990 2000 20101960 1970

-80

-70

-60

-50

-40

-30

-20

-10

0

10

20

RecursiveAverageChangefromaYearAgo

(Perce

nt)


Percent

2010 20152011 2012 2013 2014 2016 2017

1980 1990 2000 20101960 1970

-5.0

0.0

5.0

-7.5

-2.5

2.5

7.5

QuartertoQuarterGrowthRate10-YearMovingAverage

(Perce

nt)




ImpliedOne-YearForwardRates

ImpliedOne-YearForwardRatesarecalculatedbythisBankfromTreasuryconstantmaturityyields.Yieldstomaturity,R(m),forsecuritieswithm=1,...,10yearstomaturityareobtainedbylinearinterpolationbetweenreportedyields.TheseyieldsaresmoothedbyfittingtheregressionsuggestedbyNelsonandSiegel(1987),R(m)=a0+(a1+a2)(1–e )/(m/50)–a2×e ,andforwardratesarecalculatedfromthesesmoothedyieldsusingequation(a)intable13.1

ofShiller(1990),f(m)=[D(m)R(m)–D(m–1)]/[D(m)–D(m–1)],wheredurationisapproximatedasD(m)=(1–e–R(m)×m)/R(m).Theseratesarelinearapproximationstothetrueinstantaneousforwardrates;seeShiller(1990).Foradiscussionoftheuseofforwardratesasindicatorsofinflationexpectations,seeSharpe(1997).

Rateson3-MonthEurodollarFutures

Rateson3-MonthEurodollarFuturestracethroughtimetheyieldonthreespecificcontracts.

1.4

1.6

1.8

2.0

2.2

2.4

2.6

2.8

3.0

3.2

2-year 3-year 5-year 7-year 10-year

WeekEnding:01/26/1812/29/1701/27/17

(Percent)


–m/50 –m/50

Dailydata

2017-10-022:00:00

2017-10-092:00:00

2017-10-162:00:00

2017-10-232:00:00

2017-10-302:00:00

2017-11-062:00:00

2017-11-132:00:00

2017-11-202:00:00

2017-11-272:00:00

2017-12-…1.46

1.48

1.50

1.52

1.54

1.56

1.58

1.60

1.62

1.64

1.66

1.68

Feb2018Mar2018Apr2018

(Percent)


Implied Forward Rates, Futures Contracts, and Inflation-Indexed Securities 24


RatesonSelectedFederalFundsFuturesContracts

RatesonSelectedFederalFundsFuturesContractstracethroughtimetheyieldonthreespecificcontracts.

RatesonFederalFundsFuturesonSelectedDates

RatesonFederalFundsFuturesonSelectedDatesdisplaysasingleday’ssnapshotofyieldsforcontractsexpiringinthemonthsshownonthehorizontalaxis.

Dailydata

Dec2017

Jan'17 Apr'17 Jul'17 Oct'17

1.2

1.4

1.6

1.8

1.1

1.3

1.5

1.7

1stExpiringContract3-MonthFutures6-MonthFutures12-MonthFutures

(Percent)


ContractSettlementMonth

1.1

1.2

1.3

1.4

1.5

1.6

1.7

1.8

1st-ExpiringContract 3-Month 6-Month 12-Month

01/26/1812/29/1701/27/17

(Percent)




Inflation-IndexedTreasurySecurities

Inflation-IndexedTreasuryYieldSpreads

W eeklydata

2015-01-01 2016-01-01 2017-01-01 2018-01-012015-05-01 2015-09-01 2016-05-01 2016-09-01 2017-05-01 2017-09-01

2004 2006 2008 2010 2012 2014 2016 2018

0.0

1.0

-0.6

-0.4

-0.2

0.2

0.4

0.6

0.8

1.2

5-YearTreasuryInflation-IndexedSecurity,ConstantMaturity10-YearTreasuryInflation-IndexedSecurity,ConstantMaturity20-YearTreasuryInflation-IndexedSecurity,ConstantMaturity

Percent


Weeklydata

2015-01-01 2016-01-01 2017-01-01 2018-01-012015-05-01 2015-09-01 2016-05-01 2016-09-01 2017-05-01 2017-09-01

2004 2006 2008 2010 2012 2014 2016 2018

1.0

2.0

0.8

1.2

1.4

1.6

1.8

2.2

5-yearInflationYieldSpread10-yearInflationYieldSpread20-yearInflationYieldSpread

%-%



Monetary Trends - Velocity, Gross Domestic Product, and M2

Velocity

Velocity(forMZMandM2)equalstheratioofGDP,measuredincurrentdollars,tothelevelofthemonetaryaggregate.

InterestRates

MZMandM2OwnRatesareweightedaveragesoftheratesreceivedbyhouseholdsandfirmsontheassetsincludedintheaggregates.

NominalGDP/MZM,NominalGDP/M2(RatioScale)

20102002 2004 2006 2008 2012 2014 2016

1960 1970 1980 1990 2000 2010

2.0

1.2

1.4

1.6

1.8

2.2

2.4

VelocityofM2MoneyStockVelocityofMZMMoneyStock

Ratio

ShadedareasindicateU.S.recessions Sources:BEA,BoardofGovernors,St.LouisFed 2018fred.stlouisfed.org

Percent

20102002 2004 2006 2008 2012 2014 2016 2018

1940 1960 1980 2000

0

5

1

2

3

4

6

7

M2OwnRateMZMOwnRate3-MonthTreasuryBill:SecondaryMarketRate

Perce

nt


Velocity 27


MZMVelocityandInterestRateSpread

M2VelocityandInterestRateSpread

RatioScale

1980 1985 1990 1995 2000 2005 2010 2015

1980 1990 2000 2010

-2.5

0.0

2.5

5.0

7.5

10.0

12.5

GrossDomesticProduct/MZMMoneyStock3-MonthTreasuryBill:SecondaryMarketRate-MZMOwnRate

Bil.

of$/

Bil.

of$,

%-%


RatioScale

1980 1985 1990 1995 2000 2005 2010 2015

1960 1970 1980 1990 2000 2010

-1

0

1

2

3

4

5

6

3-MonthTreasuryBill:SecondaryMarketRate-M2OwnRateGrossDomesticProduct/M2MoneyStock

%-%

,Bil.

of$/

Bil.

of$


Velocity 28


GrossDomesticProduct

RealGrossDomesticProductisGDPasmeasuredinchained2009dollars.

RealGrossDomesticProduct

TheGrossDomesticProductPriceIndexistheimplicitpricedeflatorforGDP,whichisdefinedbytheBureauofEconomicAnalysis,U.S.DepartmentofCommerce,astheratioofGDPmeasuredincurrentdollarstoGDPmeasuredinchained2009dollars.


20102002 2004 2006 2008 2012 2014 2016

1950 1960 1970 1980 1990 2000 2010

-5.0

0.0

5.0

10.0

-2.5

2.5

7.5

GrossDomesticProduct10-YearMovingAverage

Perce

ntC

hang

efro

mYe

arA

go

ShadedareasindicateU.S.recessions Sources:BEA,BLS 2018fred.stlouisfed.org


20102002 2004 2006 2008 2012 2014 2016

1950 1960 1970 1980 1990 2000 2010

-5

0

5

-4

-3

-2

-1

1

2

3

4

6

RealGrossDomesticProduct10-YearMovingAverage

Perce

ntC

hang

efro

mYe

arA

go


Gross Domestic Product and M2 29


GrossDomesticProductPriceIndex

M2:M1plussavingsdeposits(includingmoneymarketdepositaccounts)andsmall-denomination(under$100,000)timedepositsissuedbyfinancialinstitutions;andsharesinretailmoneymarketmutualfunds(fundswithinitialinvestmentsunder$50,000),netofretirementaccounts.

M2


20102002 2004 2006 2008 2012 2014 2016

1950 1960 1970 1980 1990 2000 2010

0.0

2.5

0.5

1.0

1.5

2.0

3.0

3.5

GrossDomesticProduct:Chain-typePriceIndex10-YearMovingAverage

Perce

ntC

hang

efrom

YearAgo



20102002 2004 2006 2008 2012 2014 2016 2018

1970 1980 1990 2000 2010

5

10

1

2

3

4

6

7

8

9

11

M2MoneyStock10-YearMovingAverage

Perce

ntC

hang

efro

mYe

arA

go


Gross Domestic Product and M2 30


BankCredit

BankCredit:Allloans,leases,andsecuritiesheldbycommercialbanks.

InvestmentSecuritiesinBankCreditatCommercialBanks

InvestmentSecuritiesareallsecuritiesheldbycommercialbanksinbothinvestmentandtradingaccounts.


Jan2010 Jan2015Jan2009 Jan2011 Jan2012 Jan2013 Jan2014 Jan2016 Jan2017 Jan2018

1950 1960 1970 1980 1990 2000 2010

-5.0

0.0

5.0

10.0

-2.5

2.5

7.5

12.5

BankCreditatAllCommercialBanks

Perce

ntC

hang

efrom

YearAgo




1950 1960 1970 1980 1990 2000 2010

0.0

5.0

10.0

-2.5

2.5

7.5

12.5

SecuritiesinBankCreditatAllCommercialBanks

Perce

ntC

hang

efrom

YearAgo


Bank Credit 31


TotalLoansandLeasesinBankCreditatCommercialBanks

CommercialandIndustrialLoansatCommercialBanks



1950 1960 1970 1980 1990 2000 2010

-10

-5

0

5

10

15

LoansandLeasesinBankCredit,AllCommercialBanks

Perce

ntC

hang

efro

mYe

arA

go




1950 1960 1970 1980 1990 2000 2010

-30

-20

-10

0

10

20

30

CommercialandIndustrialLoans,AllCommercialBanks

Perce

ntC

hang

efrom

YearAgo


Bank Credit 32


RecentInflationandLong-TermInterestRates

UnitedStatesCanadaFranceGermanyItalyJapan

UnitedKingdom

ConsumerPriceInflationRates

Percentchangefromayearago2016Q4 2017Q1 2017Q2 2017Q31.81 2.57 1.91 1.961.39 1.91 1.32 1.370.5 1.23 0.89 0.871.12 1.88 1.68 1.730.13 1.34 1.5 1.130.3 0.33 0.37 0.61.2 2.17 2.76 2.81

Long-TermGovernmentBondRates

PercentAug17 Sep17 Oct17 Nov172.21 2.2 2.36 2.351.88 2.05 2.05 1.920.71 0.7 0.81 .0.35 0.35 0.37 0.312.11 2.11 2.07 1.790 0.06 0.07 .1.12 1.24 1.38 1.33

*Copyright©,2011,OrganisationforEconomicCooperationandDevelopment,OECDMainEconomicIndicators(www.oecd.org)

StandardandPoor's500

*TheS&PDowJonesIndicesLLCareCopyright©2014,S&PDowJonesIndicesLLC.Allrightsreserved

InflationandLong-TermInterestRateDifferentials

InflationRateDifferentialsarethedifferencesbetweentheforeignconsumerpriceinflationratesandyear-over-yearchangesintheU.S.all-itemsConsumerPriceIndex.

2014 20162013 2015 2017

20102000 2005 2015

1,200

1,600

2,000

2,400

1,400

1,800

2,200

2,600

15.0

16.5

18.0

19.5

21.0

22.5

24.0

25.5

CompositeIndex(left)Price/EarningsRatio(right)

Index

Index

ShadedareasindicateU.S.recessions Source:S&PDowJonesIndicesLLC 2018fred.stlouisfed.org

1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

1995 2000 2005 2010 2015

-3

-2

-1

0

1

2

CanadainflationdifferentialGermanyinflationdifferential

(Percent)


Stock Market Index, Foreign Inflation and Interest Rates 33


��flationandLong-TermInterestRateDifferentials

InflationRateDifferentialsarethedifferencesbetweentheforeignconsumerpriceinflationratesandyear-over-yearchangesintheU.S.all-itemsConsumerPriceIndex.

1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

1995 2000 2005 2010 2015

-5

-4

-3

-2

-1

0

1

2

3

JapaninflationdifferentialU.K.inflationdifferential

(Percent)


Stock Market Index, Foreign Inflation and Interest Rates 34

monetary trends - monetary aggregates and their …may 2014 sep 2014 may 2015 sep 2015 jan 2016 may...

Documents