Accessible Version
Financial Conditions and Risks to the Economic Outlook, Accessible Data
Figure 1. Financial Conditions Impulse on Growth (FCI-G)
Left chart:
Line chart, by contributions to GDP growth over the next year in percentage points, January 1990 to September 2023. Data are monthly. There is one series, "FCI-G" (the Financial Conditions Impulse on Growth). The series starts slightly above 0, fluctuates between about 0.5 and -1.5 until 2007, increases to about 2 by 2008, generally declines to about -1 by 2011, fluctuates between about 0.5 and 1 until 2020, generally declines to almost -2 in 2021, generally increases to about 1 by the end of 2022, and fluctuates between 0.5 and 1 until about October 2023. It then drops to slightly below 0 by August 2024. Periods of recession (July 1990-March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020) are denoted with grey bars. Monetary policy tightening cycles (February 1994-March 1995, July 1999-July 2000, June 2004-August 2006, December 2015-July 2018, and March 2022-present) are given by black dashed bars.
Right chart:
Line chart, by contributions to GDP growth over the next year in percentage points, January 2020 to September 2023. Data are monthly. There is one series, "FCI-G" (the Financial Conditions Impulse on Growth). The series starts at around -0.5, increases to nearly 0 by the middle of 2020, generally declines to almost -2 by the middle of 2021, generally increases to 1 by the end of 2022, generally decreases to about 0.5 by the middle of 2023, increases to almost 1 by October 2023, and decreases to almost 0 by August 2024. One period of recession (February 2020-April 2020) is denoted with a grey bar. November 2021, October 2023, and August 2024 are marked in the time series with vertical lines.
Note: The figure shows the FCI-G. Positive (negative) values of the index denote headwinds (tailwinds) to GDP growth over the next year. The FCI-G value for August 2024 is estimated using data available as of August 30, 2024. Grey-shaded areas denote periods of recession as dated by the National Bureau of Economic Research: July 1990-March 1991, March 2001-November 2001, December 2007- June 2009, and February 2020-April 2020. The dashed bars represent monetary policy tightening cycles: February 1994-March 1995, July 1999-July 2000, June 2004-August 2006, December 2015-July 2018, and March 2022-present. Tightening cycles are defined to start on the month of the first federal funds rate increase and end after the last rate hike. The grey dot-dashed line displays the average value of the index computed since January 1990.
Source: Haver Analytics; Decennial Census of Population and Housing; CoreLogic; Authors’ calculations.
Figure 2. Distributions of average GDP growth
Left chart:
Line chart. The x-axis is 12-months-ahead GDP growth, starting from -5 and going to 6, and the y-axis shows distribution density. There are 3 series, "Aug. 2024", "Nov. 2021", and "Oct. 2023". The August 2024 series starts at approximately 0 between -5 and -4 on the x-axis, increases to about 0.4 by 3 on the x-axis, and declines to almost 0 by 6 on the x-axis. The November 2021 series starts at approximately 0 between -5 and 0 on the x-axis, increases to about 0.7 by 3.5 on the x-axis, and declines to almost 0 by 5 on the x-axis. The October 2023 series starts at approximately 0 at -5 on the x-axis, increases to about 0.25 by 2.5 on the x-axis, and declines to roughly 0 by 5 on the x-axis. The area beneath the August 2024 series where the x-axis is less than 0 is denoted with light shading.
Right chart:
Line chart. The x-axis is 12-months-ahead GDP growth, starting from -5 and going to 6, and the y-axis shows distribution density. There are 2 series, "Aug. 2024" and "Non-recessionary benchmark". The August 2024 series starts at approximately 0 between -5 and -4 on the x-axis, increases to about 0.4 by 3 on the x-axis, and declines to almost 0 by 6 on the x-axis. The non-recessionary benchmark series starts at approximately 0 between -5 and -1 on the x-axis, increases to about 0.45 by 3 on the x-axis, and declines to almost 0 by 6 on the x-axis. The area beneath each series where the x-axis is below 0 is denoted with light shading.
Note: This model assumes that moments (mean, variance, and skewness) of the distribution of one-year-ahead GDP growth (in annualized percentage points) depend linearly on the FCI-G. The red line in both the left and right panels show the June 2024 distribution. In the left panel, the dashed blue line shows the November 2021 distribution, and the dot-dashed green line shows the October 2023 distribution. In the right panel, the thin black line shows the non-recessionary benchmark.
Source: Authors’ calculations.
Figure 3. Range of FCI−G consistent with sustained growth
Line chart, by contributions to GDP growth over the next year in percentage points, January 1990 to September 2023. Data are monthly. There are 3 series, "FCI-G" (the Financial Conditions Impulse on Growth), "95% confidence" and "90% confidence." The FCI-G series starts slightly above 0, fluctuates between about 0.5 and -1.5 until 2007, increases to about 2 by 2008, generally declines to about -1 by 2011, fluctuates between about 0.5 and 1 until 2020, generally declines to almost -2 in 2021, generally increases to about 1 by the end of 2022, and fluctuates between 0.5 and 1 until about October 2023. It then drops to slightly below 0 by August 2024. The 90% confidence series is an interval. The top of the interval generally fluctuates around 0. The bottom of the interval starts around -2, generally increases to about -1 by 2000, and fluctuates around -1 thereafter. The 95% confidence series is an interval whose top lies above the 90% confidence series top. Between 1990-1993, the top is about 1 percentage point greater than the 90% confidence series top. From 1993-2023, the top of the 95% confidence series is about 0.25 to 0.5 percentage points greater than the 90% confidence series top. The bottom of the 95% confidence series lies below the 90% confidence series bottom by about 0.25 to 0.5 percentage points. Periods of recession (July 1990-March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020) are denoted with grey bars.
Note: The green shaded region represents the four-quarter (backward) moving average of the range of financial conditions consistent with sustained growth, assuming either a 90 percent (dark green) or a 95 percent confidence level (light green). Grey-shaded areas denote periods of recession as dated by the National Bureau of Economic Research: July 1990-March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020.
Source: Haver Analytics; Decennial Census of Population and Housing; CoreLogic; Authors’ calculations.
Figure 4. Distributions of core PCE inflation (left) and average employment growth (right)
Left chart:
Line chart. The x-axis is 12-months-ahead core PCE inflation, starting from 0 and going to 7, and the y-axis shows distribution density. There are 4 series, "Aug. 2024", "Nov. 2021", "Oct. 2023", "Non-recessionary benchmark." The August 2024 series remains at nearly 0 from 0 to nearly 1 on the x-axis. It increases to over 1 by 2.5 on the x-axis. It declines to nearly 0 by 3.5 on the x-axis and remains there until 7 on the x-axis. The November 2021 series remains at nearly 0 from 0 to nearly 3 on the x-axis. It increases to about 0.5 by 4 on the x-axis. It declines to nearly 0 by 7 on the x-axis. The October 2023 series starts at approximately 0 between 0 and almost 2 on the x-axis, increases to about 1.75 by 3 on the x-axis, gradually declines to roughly 0 by 3.5 on the x-axis, and remains there until 7 on the x-axis. The non-recessionary benchmark series remains at nearly 0 from 0 to nearly 1 on the x-axis. It increases to about 0.5 by 1.5 on the x-axis. It declines to nearly 0 by 5 on the x-axis, and it remains there until 7 on the x-axis.
Right chart:
Line chart. The x-axis is 12-months-ahead employment growth, starting from -2 and going to 5, and the y-axis shows distribution density. There are 4 series, "Sept. 2023", "Nov. 2021", "Non-recessionary benchmark" and "Sept. 2008." The August 2024 series starts at approximately 0 between -2 and -1 on the x-axis, increases to about 0.5 by 1.5 on the x-axis, declines to roughly 0 by 3 on the x-axis, and remains there until 5 on the x-axis. The November 2021 series starts at approximately 0 between -3 and 2 on the x-axis, increases to about 1.5 by 4 on the x-axis, declines to roughly 0 by 4.5 on the x-axis, and remains there until 5 on the x-axis. The October 2023 series starts at approximately 0 at -2 on the x-axis, increases to about 0.5 by 1 on the x-axis, declines to roughly 0 by 2 on the x-axis, and remains there until 5 on the x-axis. The non-recessionary benchmark series starts at approximately 0 at -2 on the x-axis, increases to about 0.5 by 2 on the x-axis, declines to roughly 0 by 4.5 on the x-axis, and remains there until 5 on the x-axis.
Note: This model assumes that moments (mean, variance, and skewness) of the distributions of one-year-ahead core PCE inflation (left, in annualized percentage points) and one-year-ahead employment growth (right, in annualized percentage points) depend linearly on the FCI-G and on their most recent realization. In both the left and right panels, the thick red lines show the August 2024 distributions, the dashed blue lines show the November 2021 distributions, the dot-dashed green lines show the October 2023 distributions, and the thin black lines show the non-recessionary benchmarks.
Source: Authors’ calculations.