Accessible Version

Are Stocks Pricing in Recession Risks? Evidence from Dividend Futures, Accessible Data

Figure 1: Expected Dividends Implied by Dividend Futures and Adjusted by Risk Premiums

Jan. 04 = 100

Date S&P 500 EuroStoxx 50 FTSE 100 Nikkei 225
2022 2023 Index 2022 2023 Index 2022 2023 Index 2022 2023 Index
1/4/2022 100 100 100 100 100 100 100 100 100 100 100 100
1/5/2022 100.12 100.27 98.06 100.30 100.40 100.56 100.15 100.70 100.16 100.04 100.30 100.10
1/6/2022 100.08 100.43 97.97 100.27 100.18 99.02 99.93 99.76 99.27 100.30 100.05 97.22
1/7/2022 100.16 100.40 97.57 100.49 100.24 98.59 99.97 100.76 99.74 100.24 100.19 97.19
1/10/2022 100.08 100.11 97.43 100.57 100.25 97.07 99.99 100.88 99.20 100.23 100.17 NA
1/11/2022 100.25 100.40 98.32 100.38 100.42 98.03 100.07 101.06 99.82 100.07 99.74 96.32
1/12/2022 100.12 100.68 98.60 100.47 100.48 98.83 100.19 101.54 100.62 99.94 100.16 98.17
1/13/2022 100.33 100.63 97.19 100.53 100.34 98.82 100.31 101.62 100.78 100.10 100.03 97.23
1/14/2022 100.37 100.58 97.27 100.87 100.40 97.82 100.48 101.44 100.50 100.31 99.86 95.98
1/18/2022 100.43 100.77 95.48 101.55 101.15 97.49 101.29 101.18 100.78 100.70 100.55 96.44
1/19/2022 100.54 100.86 94.56 102.97 102.50 97.73 100.97 101.49 101.13 100.23 99.37 93.74
1/20/2022 100.73 100.96 93.52 102.75 102.51 98.44 101.19 101.38 101.06 100.15 99.59 94.78
1/21/2022 100.97 100.79 91.75 102.84 102.67 96.84 101.23 100.84 99.85 100.33 99.69 93.93
1/24/2022 100.98 100.31 92.00 103.37 101.83 92.83 100.51 100.15 97.23 100.10 99.38 94.15
1/25/2022 100.96 100.60 90.88 103.51 102.47 93.37 100.84 101.41 98.22 100.04 98.68 92.59
1/26/2022 101.14 100.98 90.75 103.31 102.88 95.35 101.23 101.33 99.53 99.85 98.44 92.18
1/27/2022 100.95 100.62 90.26 103.65 103.15 95.82 100.97 101.40 100.66 99.13 97.60 89.31
1/28/2022 100.50 100.34 92.45 103.79 103.13 94.72 100.78 101.59 99.48 98.84 97.86 91.18
1/31/2022 100.26 100.00 94.20 103.68 103.71 95.58 100.56 101.57 99.46 98.49 97.76 92.15
2/1/2022 100.00 99.72 94.85 103.59 104.03 96.72 101.18 101.43 100.41 98.49 97.40 92.41
2/2/2022 99.93 99.44 95.74 103.46 104.31 96.67 100.52 101.57 101.04 98.10 97.58 93.97
2/3/2022 100.47 99.79 93.41 103.65 104.04 94.81 100.49 100.96 100.32 97.84 97.07 92.97
2/4/2022 100.48 100.04 93.89 104.13 104.43 93.57 100.49 100.47 100.15 98.27 97.38 93.65
2/7/2022 100.44 99.94 93.54 104.00 104.60 94.34 100.71 100.82 100.91 98.09 96.45 92.99
2/8/2022 100.06 99.51 94.33 104.00 105.00 94.54 100.30 101.18 100.83 98.02 96.47 93.12
2/9/2022 99.94 99.59 95.70 103.83 105.75 96.26 100.25 101.29 101.84 98.21 96.92 94.12
2/10/2022 100.25 99.92 93.96 103.91 105.69 96.10 100.20 101.12 102.23 98.04 97.65 94.52
2/11/2022 100.69 100.37 92.18 104.22 105.39 95.14 100.03 101.63 102.08 98.23 98.02 NA
2/14/2022 100.71 100.24 91.83 104.33 104.31 93.06 100.71 101.48 100.35 99.19 97.38 92.42
2/15/2022 100.46 100.51 93.27 104.08 104.51 94.87 100.40 101.58 101.38 100.30 98.44 91.68
2/16/2022 100.42 100.46 93.36 104.06 103.99 94.72 100.19 101.17 101.31 100.89 98.74 93.72
2/17/2022 101.10 100.59 91.38 104.24 103.34 94.17 100.44 100.99 100.43 101.69 100.22 92.94
2/18/2022 101.01 100.85 90.72 104.53 103.22 93.28 100.31 100.96 100.11 103.52 102.29 92.56
2/22/2022 101.35 101.09 89.80 104.98 103.04 91.25 100.20 100.39 99.85 103.12 101.51 90.27
2/23/2022 101.74 101.18 88.15 105.61 103.69 90.97 100.35 101.56 99.91 103.24 101.62 NA
2/24/2022 101.46 100.87 89.47 105.13 102.11 87.67 100.85 99.57 96.03 102.47 100.88 88.63
2/25/2022 101.15 100.05 91.47 105.01 104.07 90.91 100.27 101.38 99.79 101.96 100.91 90.36
2/28/2022 100.85 99.48 91.25 104.65 101.48 89.85 99.72 100.03 99.38 101.52 100.28 90.53
3/1/2022 101.12 99.64 89.83 102.30 96.33 86.22 98.07 98.69 97.67 102.00 100.72 91.61
3/2/2022 100.00 98.04 91.51 100.01 95.05 87.48 97.34 96.86 98.99 101.30 100.38 90.07
3/3/2022 99.11 96.56 91.03 99.18 92.97 85.67 97.22 95.76 96.45 100.08 98.09 90.70
3/4/2022 97.83 94.12 90.31 96.98 86.01 81.42 94.67 92.44 93.10 98.92 97.09 88.68
3/7/2022 98.84 94.05 87.64 99.09 83.22 80.41 92.30 90.92 92.73 95.37 93.60 86.07
3/8/2022 99.27 91.56 87.01 100.54 83.87 80.26 96.48 91.44 92.79 94.20 88.74 84.61
3/9/2022 100.58 95.65 89.24 102.40 90.90 86.23 98.56 95.53 95.81 90.47 81.14 84.36
3/10/2022 100.21 94.57 88.86 102.37 89.87 83.60 97.72 94.75 94.59 95.31 89.02 87.68
3/11/2022 101.13 96.40 87.71 102.81 90.76 84.41 98.26 95.84 95.34 94.98 87.54 85.87
3/14/2022 101.03 96.19 87.06 103.31 91.86 85.66 98.56 95.59 95.85 95.83 88.39 86.37
3/15/2022 100.04 95.78 88.92 103.55 91.49 85.59 98.42 95.26 95.61 95.21 87.23 86.50
3/16/2022 100.50 95.99 90.91 103.48 94.46 89.06 98.07 96.20 97.16 94.90 86.66 87.92
3/17/2022 100.70 97.73 92.03 103.12 93.90 88.96 97.95 95.62 98.40 96.33 89.72 90.96
3/21/2022 101.13 97.97 93.07 102.78 95.06 88.88 97.60 96.32 99.16 95.96 89.71 NA
3/22/2022 101.11 98.05 94.12 102.99 96.39 89.89 97.89 97.23 99.62 96.31 90.00 92.91
3/23/2022 101.22 97.88 92.96 103.00 95.34 88.59 97.89 97.94 99.41 97.42 93.18 95.69
3/24/2022 100.89 97.80 94.30 103.03 94.48 88.46 97.38 98.36 99.50 97.47 93.07 95.93
3/25/2022 100.97 97.67 94.77 102.71 94.48 88.55 97.60 98.47 99.71 97.68 93.01 96.07
3/28/2022 100.81 97.61 95.45 102.66 95.41 89.00 98.42 99.32 99.57 97.55 92.39 95.37
3/29/2022 100.75 98.26 96.62 102.53 96.81 91.63 98.25 100.17 100.43 97.33 93.14 96.42
3/30/2022 100.93 98.14 96.01 102.57 96.76 90.65 98.15 100.27 100.98 98.14 93.67 95.65
3/31/2022 100.93 97.95 94.51 102.63 95.81 89.35 97.34 99.91 100.14 98.43 94.06 94.95
4/1/2022 100.74 98.20 94.83 102.66 96.65 89.72 97.29 100.39 100.44 98.99 94.61 94.42
4/4/2022 100.72 97.81 95.60 102.34 96.78 90.46 97.27 100.22 100.72 98.91 94.83 94.66
4/5/2022 100.83 97.71 94.40 102.59 96.35 89.70 97.45 100.19 101.45 99.22 94.95 94.83
4/6/2022 100.68 96.66 93.48 102.72 94.57 87.57 97.30 99.80 101.10 99.70 94.56 93.34
4/7/2022 100.71 96.82 93.88 102.61 94.72 87.05 97.47 100.08 100.62 98.51 93.03 91.76
4/8/2022 100.70 96.69 93.63 102.52 95.50 88.34 98.16 100.14 102.19 98.05 92.86 92.10
4/11/2022 100.72 96.39 92.05 102.80 96.16 87.91 98.44 100.40 101.51 98.09 92.89 91.54
4/12/2022 100.51 95.90 91.74 102.82 96.42 87.72 98.22 100.38 100.95 97.73 92.10 89.87
4/13/2022 100.11 95.35 92.76 102.93 96.25 87.64 98.97 100.97 101.01 97.82 92.20 91.61
4/14/2022 100.00 95.54 91.64 102.80 96.81 88.12 99.41 101.03 101.48 98.25 93.09 92.73
4/19/2022 100.16 95.06 93.09 102.84 97.00 87.71 99.70 101.47 101.28 98.14 93.72 92.09
4/20/2022 100.61 95.66 93.03 102.92 98.11 89.22 99.48 101.66 101.65 99.20 94.66 92.89
4/21/2022 100.90 96.34 91.66 102.81 98.80 89.94 99.26 102.07 101.64 99.28 94.82 94.03
4/22/2022 101.35 96.66 89.12 103.17 98.25 87.92 99.03 102.07 100.22 99.36 95.03 92.50
4/25/2022 100.96 95.74 89.62 103.34 97.03 86.03 99.55 101.45 98.34 99.55 94.49 90.75
4/26/2022 101.46 96.83 87.10 103.43 96.54 85.20 99.61 101.53 98.41 99.56 94.58 91.12
4/27/2022 101.59 96.87 87.28 103.34 96.26 85.51 99.71 101.50 98.94 99.75 94.44 90.05
4/28/2022 101.22 96.45 89.44 103.41 96.32 86.48 99.27 101.99 100.05 99.70 94.50 91.63
4/29/2022 101.68 96.54 86.20 103.44 96.59 87.07 99.36 102.45 100.52 99.76 94.58 NA
5/2/2022 101.55 96.29 86.69 103.65 95.82 85.46 99.38 102.48 NA 99.50 94.71 91.53
5/3/2022 101.54 96.60 87.11 103.47 96.37 86.12 99.30 102.51 100.75 99.49 94.70 NA
5/4/2022 101.25 96.55 89.71 103.38 96.23 85.29 99.23 102.48 99.84 99.49 94.68 NA
5/5/2022 102.07 97.53 86.51 103.55 96.12 84.64 99.80 102.58 99.97 99.48 94.67 NA
5/6/2022 102.34 97.43 86.02 103.95 96.08 83.09 99.85 101.81 98.44 98.95 94.58 92.16
5/9/2022 102.55 96.68 83.26 104.12 94.59 80.75 100.21 101.93 96.16 99.94 94.46 89.82
5/10/2022 102.53 96.72 83.47 103.96 93.94 81.39 99.93 100.78 96.51 100.33 94.67 89.30
5/11/2022 102.68 95.92 82.09 103.53 95.23 83.52 99.88 101.02 97.90 100.93 94.26 89.46
5/12/2022 102.26 94.32 81.99 103.77 95.23 82.73 99.76 100.20 96.38 102.03 93.17 87.87
5/13/2022 102.02 94.01 83.94 103.45 96.30 84.79 99.37 101.19 98.84 102.45 93.44 90.19
5/16/2022 101.76 93.52 83.61 103.43 96.41 84.38 99.93 101.04 99.46 102.27 93.66 90.60
5/17/2022 101.62 94.01 85.30 103.30 97.46 85.66 99.88 100.74 100.18 101.71 93.48 90.98
5/18/2022 102.01 93.97 81.85 103.51 96.95 84.50 99.95 100.44 99.11 100.67 92.92 91.84
5/19/2022 101.82 92.98 81.38 103.70 96.35 83.35 100.15 100.43 97.30 100.53 92.99 90.11
5/20/2022 101.80 92.75 81.39 103.41 95.99 83.73 99.67 100.06 98.47 100.56 92.39 91.25
5/23/2022 101.81 93.30 82.90 103.35 96.35 84.91 99.49 99.94 100.11 100.53 92.78 92.15
5/24/2022 101.75 93.22 82.22 103.58 96.22 83.51 99.33 100.75 99.72 100.44 92.26 91.29
5/25/2022 101.57 93.91 83.00 103.56 97.25 84.19 99.33 99.40 100.23 100.57 92.26 91.04
5/26/2022 101.84 94.97 84.65 103.39 98.10 85.64 99.17 100.65 100.80 100.21 92.02 90.80
5/27/2022 101.70 95.47 86.75 103.18 98.42 87.21 98.94 100.38 101.07 100.97 91.84 91.40
5/31/2022 101.43 95.83 86.20 103.38 98.32 86.76 99.24 100.57 101.37 100.82 94.01 93.10
6/1/2022 101.71 95.62 85.56 103.42 97.98 86.08 99.50 100.90 100.37 100.56 94.85 93.71
6/2/2022 101.61 95.19 87.13 103.29 98.27 86.89 99.44 100.81 NA 100.81 95.37 93.56
6/3/2022 101.95 95.70 85.71 103.28 98.29 86.63 99.38 100.71 NA 100.78 95.28 94.74
6/6/2022 101.86 95.89 85.98 103.38 98.89 87.88 99.06 100.62 101.37 100.75 95.94 95.27
6/7/2022 101.92 95.97 86.80 103.46 98.70 87.16 99.42 100.78 101.25 101.58 97.52 95.37
6/8/2022 101.85 96.03 85.86 103.43 98.51 86.75 99.40 100.77 101.17 101.26 98.31 96.36
6/9/2022 102.28 96.04 83.82 103.80 98.01 85.27 99.94 101.12 99.61 102.17 99.77 96.40
6/10/2022 102.44 96.09 81.38 104.10 96.47 82.41 100.11 100.13 97.50 102.29 99.43 94.96
6/13/2022 103.28 96.12 78.22 104.47 94.99 80.19 100.48 99.92 96.01 101.65 97.72 92.10
6/14/2022 103.08 95.94 77.93 104.45 94.45 79.57 100.48 99.97 95.77 100.90 96.41 90.88
6/15/2022 103.03 96.09 79.06 104.09 95.76 80.88 100.37 99.92 96.91 100.93 96.47 89.84
6/16/2022 103.32 96.37 76.49 104.16 94.55 78.48 99.91 97.50 93.87 100.87 96.52 90.20
6/17/2022 103.08 96.85 76.66 104.07 94.81 78.73 100.48 98.10 93.49 100.98 95.34 88.61
6/21/2022 103.13 97.22 78.54 103.74 96.29 80.00 99.07 99.39 95.30 100.78 95.32 89.57
6/22/2022 102.96 97.14 78.44 103.81 96.04 79.33 99.76 98.61 94.46 100.68 95.04 89.24
6/23/2022 102.97 97.29 79.18 103.79 95.44 78.68 99.84 98.77 93.54 100.37 95.29 89.32
6/24/2022 102.86 97.52 81.60 103.75 96.85 80.89 100.23 99.63 96.05 100.61 95.01 90.41
6/27/2022 102.66 97.68 81.36 103.61 96.48 81.03 100.02 99.20 96.71 100.47 95.59 91.71
6/28/2022 102.78 97.70 79.72 103.68 96.49 81.26 99.89 99.80 97.58 100.24 95.65 92.31
6/29/2022 102.84 98.06 79.67 103.83 96.10 80.46 100.31 100.29 97.43 100.41 95.58 91.48
6/30/2022 102.85 97.74 78.97 103.78 94.79 79.10 100.55 98.26 95.52 100.49 95.41 90.07
7/5/2022 102.60 95.79 79.93 103.71 89.67 76.93 100.25 92.50 93.61 100.50 92.86 90.18
7/6/2022 102.54 95.81 80.21 103.54 90.53 78.35 100.56 93.40 94.71 100.61 92.10 89.10
7/11/2022 102.37 95.81 80.41 103.23 91.29 79.49 100.72 94.94 95.89 100.22 93.69 91.50
7/12/2022 102.40 95.73 79.67 103.25 91.07 79.84 100.55 94.80 96.07 100.54 93.64 89.88
7/13/2022 102.20 95.40 79.31 103.35 90.25 79.08 100.37 94.47 95.35 100.69 93.93 90.37
7/14/2022 102.13 94.77 79.07 102.80 86.43 77.77 99.91 91.20 93.80 100.77 94.60 90.93
7/15/2022 101.91 94.52 80.59 102.85 88.35 79.61 99.90 91.84 95.39 100.73 93.67 91.42
7/18/2022 101.91 94.57 79.92 102.93 89.02 80.41 100.31 92.35 96.24 100.69 93.64 NA
7/19/2022 101.78 94.15 82.12 102.77 92.11 82.14 99.56 92.84 97.22 100.73 93.90 92.01
7/20/2022 101.73 94.26 82.61 102.90 91.85 82.09 99.47 91.80 96.79 100.89 95.03 94.47
7/21/2022 101.54 93.88 83.42 102.81 90.88 82.34 99.38 91.35 96.87 100.93 96.00 94.88
7/22/2022 101.45 93.87 82.65 102.66 90.89 82.34 99.17 91.76 96.95 100.77 95.99 95.27
7/25/2022 101.46 94.13 82.75 102.75 91.72 82.52 99.11 92.43 97.35 100.77 96.19 94.53
7/26/2022 101.54 94.23 81.80 102.76 91.38 81.86 99.33 92.58 97.35 100.77 96.10 94.38
7/27/2022 101.65 93.92 83.94 103.01 92.68 82.60 99.31 93.13 97.91 101.00 96.72 94.59
7/28/2022 101.61 94.23 84.96 103.17 93.48 83.62 99.19 93.54 97.87 101.01 97.69 94.93
7/29/2022 101.51 94.69 86.16 103.09 94.68 84.90 99.28 94.82 98.91 101.43 97.31 94.88
8/1/2022 101.59 94.78 85.92 103.14 94.25 84.87 99.10 95.52 98.78 101.45 96.93 95.53
8/4/2022 102.11 94.41 86.62 103.18 94.03 85.96 98.90 95.55 99.24 101.93 97.36 95.33
8/5/2022 102.22 94.58 86.47 103.31 93.30 85.30 98.58 95.39 99.13 101.89 97.61 96.16

Source: Bloomberg; Board of Governors of the Federal Reserve System; Board staff calculations.

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Figure 2: Cyclical Component of GDP and Dividend Growth

Standard deviations

Date United States (S&P 500) Europe (Euro Stoxx 50) United Kingdom (FTSE 100) Japan (Nikkei 225)
Real dividend growth Real GDP growth Real dividend growth Real GDP growth Real dividend growth Real GDP growth Real dividend growth Real GDP growth
1/1/1985 NA NA NA NA NA NA NA NA
4/1/1985 NA NA NA NA NA NA NA NA
7/1/1985 NA NA NA NA NA NA NA NA
10/1/1985 NA NA NA NA NA NA NA NA
1/1/1986 NA NA NA NA NA NA NA NA
4/1/1986 NA NA NA NA NA NA NA NA
7/1/1986 NA NA NA NA NA NA NA NA
10/1/1986 NA NA NA NA NA NA NA NA
1/1/1987 NA NA NA NA NA NA NA NA
4/1/1987 NA NA NA NA NA NA NA NA
7/1/1987 NA NA NA NA NA NA NA NA
10/1/1987 0.09 -0.07 NA NA NA NA NA NA
1/1/1988 -0.15 -0.14 NA NA NA NA NA NA
4/1/1988 0.01 0.26 NA NA NA NA NA NA
7/1/1988 0.00 0.06 NA NA NA NA NA NA
10/1/1988 0.51 0.41 NA NA NA NA NA NA
1/1/1989 0.82 0.55 NA NA NA NA NA NA
4/1/1989 0.18 0.31 NA NA NA NA NA NA
7/1/1989 0.52 0.31 NA NA 0.12 -0.24 NA NA
10/1/1989 0.96 -0.43 NA NA -0.23 -0.19 NA NA
1/1/1990 0.92 0.03 NA NA 0.24 -0.45 NA NA
4/1/1990 0.43 -0.35 NA NA 0.07 -0.25 NA NA
7/1/1990 0.59 -0.52 NA NA 0.25 -1.04 NA NA
10/1/1990 0.51 -1.45 NA NA -0.04 -1.35 NA NA
1/1/1991 0.26 -2.06 NA NA -0.71 -1.27 NA NA
4/1/1991 -0.14 -1.89 NA NA -0.92 -1.53 NA NA
7/1/1991 -0.62 -1.96 NA NA -0.48 -1.50 NA NA
10/1/1991 -0.65 -1.77 NA NA -0.57 -1.38 NA NA
1/1/1992 -0.27 -1.89 NA NA -0.51 -1.78 NA NA
4/1/1992 -0.77 -1.54 NA NA -0.47 -1.98 NA NA
7/1/1992 -0.61 -0.96 NA NA -0.95 -0.96 NA NA
10/1/1992 -0.97 0.04 NA NA -0.90 -0.70 NA NA
1/1/1993 -0.35 0.23 NA NA 0.02 -0.63 NA NA
4/1/1993 -0.22 -0.28 NA NA -0.67 -0.48 NA NA
7/1/1993 -1.06 -0.29 NA NA -0.99 -0.19 NA NA
10/1/1993 -0.32 0.27 NA NA -0.82 -0.15 NA NA
1/1/1994 -0.80 -0.02 NA NA -1.47 0.17 NA NA
4/1/1994 -0.64 0.04 NA NA -0.97 0.61 NA NA
7/1/1994 -0.49 0.00 NA NA -0.39 0.52 NA NA
10/1/1994 -0.22 0.05 NA NA -0.24 0.38 NA NA
1/1/1995 -0.44 0.35 NA NA 0.13 0.25 NA NA
4/1/1995 -0.39 0.22 NA NA 0.54 0.30 NA NA
7/1/1995 0.12 0.30 NA NA 0.61 0.29 NA NA
10/1/1995 -0.05 -0.13 NA NA 0.88 0.16 NA NA
1/1/1996 -0.24 -0.19 NA NA 1.26 -0.12 NA NA
4/1/1996 -0.12 -0.04 NA NA 1.27 -0.40 NA NA
7/1/1996 0.42 0.23 NA NA 1.64 -0.34 NA NA
10/1/1996 -0.08 0.17 NA NA 1.36 0.05 NA NA
1/1/1997 0.57 0.39 NA NA 0.87 0.77 NA NA
4/1/1997 0.33 1.06 NA NA 1.00 0.86 NA NA
7/1/1997 -0.26 1.04 NA NA -0.29 0.55 NA NA
10/1/1997 0.07 1.11 -0.23 -0.51 -0.79 1.02 NA NA
1/1/1998 -0.24 1.26 -0.24 -0.45 -0.88 1.13 NA NA
4/1/1998 0.16 0.74 1.18 -0.53 -1.89 1.27 NA NA
7/1/1998 -0.40 1.02 1.08 -0.53 -2.11 0.96 NA NA
10/1/1998 -0.30 1.37 1.04 -0.36 -1.77 0.69 NA NA
1/1/1999 0.39 1.53 0.94 -0.11 -1.48 0.20 NA NA
4/1/1999 0.06 1.02 -1.34 -0.50 -1.50 0.28 NA NA
7/1/1999 -0.15 1.06 -1.38 -0.34 -0.04 0.80 NA NA
10/1/1999 -0.30 1.60 -1.44 0.11 0.47 0.70 NA NA
1/1/2000 -0.34 1.34 -1.61 0.25 -0.33 0.70 NA NA
4/1/2000 -0.95 1.68 -1.43 0.65 -0.32 0.68 NA NA
7/1/2000 -0.98 1.18 -1.51 0.46 -0.55 0.63 NA NA
10/1/2000 -0.60 0.68 -1.42 0.67 -0.69 0.39 NA NA
1/1/2001 -1.57 0.36 -1.39 0.64 -0.74 0.63 NA NA
4/1/2001 -1.37 0.42 -0.26 0.37 -0.76 1.00 NA NA
7/1/2001 -1.59 -0.41 -0.29 0.34 -1.20 0.30 NA NA
10/1/2001 -1.60 -1.05 -0.45 -0.14 -1.70 -0.14 NA NA
1/1/2002 -1.32 -0.52 -0.31 -0.22 -0.91 0.10 NA NA
4/1/2002 -1.02 -1.19 -0.40 -0.23 -0.57 0.22 NA NA
7/1/2002 -0.29 -0.85 -0.41 -0.11 -0.74 0.41 NA NA
10/1/2002 -0.78 -0.88 -0.24 -0.36 -0.98 0.61 NA NA
1/1/2003 -0.38 -0.49 -0.32 -1.00 -1.45 0.20 NA NA
4/1/2003 0.16 -0.49 -1.04 -0.76 -1.31 0.25 NA NA
7/1/2003 -0.81 0.43 -1.09 -0.40 -0.92 0.48 NA NA
10/1/2003 -0.33 0.77 -1.08 -0.56 -0.32 0.73 NA NA
1/1/2004 0.53 0.39 -1.07 -0.41 -0.30 0.77 NA NA
4/1/2004 -0.18 0.52 -0.47 -0.43 -0.55 0.69 NA NA
7/1/2004 1.49 0.86 -0.53 -0.46 -0.64 0.49 NA NA
10/1/2004 0.86 1.29 -0.45 -0.13 -0.53 0.30 NA NA
1/1/2005 0.49 1.45 -0.41 0.10 -0.15 0.33 NA NA
4/1/2005 1.93 1.15 0.44 0.11 0.00 0.38 NA NA
7/1/2005 0.80 0.62 0.45 -0.09 0.11 0.27 0.31 0.20
10/1/2005 -0.45 0.50 0.57 0.03 0.21 0.46 0.25 0.07
1/1/2006 0.40 1.08 0.67 0.42 0.31 0.72 0.47 -0.01
4/1/2006 1.04 0.85 1.17 0.69 0.72 0.76 0.41 0.09
7/1/2006 0.77 0.45 1.24 0.81 1.07 0.76 0.91 -0.09
10/1/2006 1.49 0.37 1.50 1.17 1.02 0.82 1.22 0.40
1/1/2007 0.44 0.06 1.28 1.18 0.86 0.68 0.67 0.53
4/1/2007 0.10 0.29 2.27 1.26 0.84 0.34 0.62 0.38
7/1/2007 1.14 0.22 2.19 1.10 0.75 0.29 0.86 0.03
10/1/2007 0.67 0.23 2.20 1.25 0.84 0.01 0.82 0.18
1/1/2008 0.70 -0.60 2.07 1.20 0.98 0.28 0.23 0.29
4/1/2008 0.77 -0.27 2.18 0.69 0.96 0.25 0.35 0.05
7/1/2008 0.31 -0.35 2.09 0.53 0.75 -0.18 0.08 -0.32
10/1/2008 -0.39 -1.80 2.09 -0.44 0.93 -1.00 -0.35 -1.45
1/1/2009 -0.45 -2.30 2.01 -1.85 -0.15 -1.94 -0.85 -3.24
4/1/2009 -1.23 -2.60 0.29 -1.80 -0.42 -2.06 -1.60 -2.52
7/1/2009 -2.70 -2.74 -0.04 -1.95 -1.02 -2.21 -2.74 -2.43
10/1/2009 -3.44 -2.52 0.05 -1.91 -1.30 -2.22 -2.69 -2.12
1/1/2010 -3.50 -1.91 -0.16 -2.01 -1.35 -2.14 -2.95 -1.85
4/1/2010 -3.33 -1.90 -0.48 -1.36 -1.88 -1.37 -2.26 -1.29
7/1/2010 -2.86 -1.27 -0.61 -0.99 -1.68 -0.28 -1.83 -0.43
10/1/2010 -2.11 0.39 -0.69 -0.31 -1.90 0.51 -1.87 -0.25
1/1/2011 -0.86 0.54 -0.63 1.14 -1.02 0.95 -0.13 0.30
4/1/2011 0.59 0.38 0.23 0.01 -0.39 0.45 -0.50 -0.55
7/1/2011 1.46 0.07 0.64 -0.88 0.14 0.23 0.36 0.19
10/1/2011 2.11 -0.05 0.48 0.11 0.30 0.16 -0.14 0.04
1/1/2012 0.93 0.21 0.77 0.11 0.37 0.08 -0.61 0.28
4/1/2012 0.11 0.01 0.27 -0.35 0.74 -0.38 -0.33 -0.20
7/1/2012 0.85 -0.25 0.29 -0.45 0.94 -0.17 -0.73 -0.66
10/1/2012 1.79 -0.28 -0.04 -0.55 1.14 0.04 -0.01 -0.46
1/1/2013 1.46 0.36 -0.07 -1.19 1.22 0.07 -0.52 0.25
4/1/2013 1.18 -0.02 -0.41 -0.76 0.94 0.27 -0.53 0.65
7/1/2013 1.61 0.35 -0.63 -0.57 0.48 0.41 -0.21 0.45
10/1/2013 0.68 0.04 -0.34 -0.60 0.38 0.57 -0.16 0.47
1/1/2014 1.25 -0.49 -0.39 -0.36 0.29 0.47 0.29 0.56
4/1/2014 1.59 0.05 -0.07 -0.43 0.17 0.87 -0.15 0.11
7/1/2014 0.74 0.53 -0.03 -0.18 0.26 0.42 0.01 0.25
10/1/2014 0.09 0.69 0.07 0.11 0.35 0.86 0.30 0.36
1/1/2015 1.31 0.47 0.11 0.51 0.50 0.91 0.42 0.60
4/1/2015 1.13 0.76 0.23 0.19 0.34 0.63 0.64 0.50
7/1/2015 0.53 0.54 0.24 0.28 0.36 0.46 0.88 0.40
10/1/2015 1.49 0.24 0.04 0.77 0.57 0.56 0.90 0.40
1/1/2016 0.56 0.94 -0.05 0.72 0.57 0.42 0.49 0.50
4/1/2016 0.09 0.25 0.20 0.76 0.71 0.38 0.80 0.82
7/1/2016 0.41 -0.16 0.18 0.82 0.66 0.37 0.51 0.85
10/1/2016 0.25 0.19 0.15 0.89 0.84 0.37 0.11 0.73
1/1/2017 -0.44 0.04 0.44 0.99 0.94 0.38 0.62 0.74
4/1/2017 0.08 0.01 -0.03 1.16 1.27 0.20 -0.21 0.90
7/1/2017 0.47 0.29 -0.01 1.41 1.60 0.30 -0.27 1.18
10/1/2017 -0.22 0.66 -0.05 1.48 1.44 0.20 0.54 1.23
1/1/2018 0.07 0.62 -0.31 1.33 1.42 0.26 0.76 1.12
4/1/2018 0.48 0.86 0.13 1.50 1.75 0.24 1.23 1.29
7/1/2018 0.30 0.80 0.09 1.42 1.78 0.31 1.42 1.03
10/1/2018 0.29 0.68 0.09 1.20 1.72 0.14 1.15 0.92
1/1/2019 0.46 0.78 0.28 1.34 1.64 0.15 1.28 0.93
4/1/2019 0.26 0.86 -0.02 1.29 1.25 0.21 1.19 1.03
7/1/2019 0.26 0.80 0.09 1.19 1.35 0.21 1.07 0.92
10/1/2019 0.65 0.57 0.01 0.94 1.62 0.11 0.74 -0.03
1/1/2020 0.43 -0.20 -0.12 -0.22 1.60 -0.65 0.28 0.11
4/1/2020 0.42 -4.22 -2.09 -4.69 -1.50 -6.62 0.25 -2.79
7/1/2020 -0.30 -1.44 -1.76 -0.78 -2.36 -2.76 -0.37 -0.87
10/1/2020 -0.77 -0.97 -2.04 -0.96 NA NA -0.91 -0.21
1/1/2021 NA NA -2.15 -1.46 NA NA -0.54 -0.53

Source: Bloomberg; Bureau of Economic Analysis; Board of Governors of the Federal Reserve System; Board staff calculations.

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Last Update: August 18, 2022