Accessible Version

Measuring the Severity of Stress-Test Scenarios, Accessible Data

Figure 1. Nominal HPI to Per Capita Disposable Personal Income (HPI-to-DPI)

Index, 2000:Q1=100
Quarterly

Date HPI-DPI Period from HPI-DPI Peak through HPI-DPI trough
31 March 1976 101.47 0
30 June 1976 99.47 0
30 September 1976 100.79 0
31 December 1976 102.75 0
31 March 1977 105.15 0
30 June 1977 106.81 0
30 September 1977 107.94 0
31 December 1977 108.12 0
31 March 1978 109.67 0
30 June 1978 110.54 0
30 September 1978 112.18 0
31 December 1978 113.38 0
31 March 1979 114.68 0
30 June 1979 117.74 0
30 September 1979 119.32 0
31 December 1979 120.63 0
31 March 1980 120.11 0
30 June 1980 121.43 1
30 September 1980 120.34 1
31 December 1980 118.18 1
31 March 1981 118.04 1
30 June 1981 118.31 1
30 September 1981 115.47 1
31 December 1981 114.87 1
31 March 1982 114.37 1
30 June 1982 113.21 1
30 September 1982 111.17 1
31 December 1982 110.18 1
31 March 1983 109.50 1
30 June 1983 109.28 1
30 September 1983 107.99 1
31 December 1983 106.59 1
31 March 1984 104.88 1
30 June 1984 103.64 1
30 September 1984 102.94 1
31 December 1984 102.74 1
31 March 1985 103.04 1
30 June 1985 102.11 1
30 September 1985 103.36 0
31 December 1985 103.49 0
31 March 1986 103.68 0
30 June 1986 104.62 0
30 September 1986 105.96 0
31 December 1986 107.62 0
31 March 1987 108.46 0
30 June 1987 111.36 0
30 September 1987 111.04 0
31 December 1987 111.04 0
31 March 1988 110.77 0
30 June 1988 110.92 0
30 September 1988 111.87 0
31 December 1988 112.84 0
31 March 1989 112.94 0
30 June 1989 113.95 0
30 September 1989 114.23 0
31 December 1989 114.39 1
31 March 1990 113.35 1
30 June 1990 112.56 1
30 September 1990 111.23 1
31 December 1990 110.52 1
31 March 1991 109.44 1
30 June 1991 108.48 1
30 September 1991 107.88 1
31 December 1991 106.22 1
31 March 1992 103.73 1
30 June 1992 102.34 1
30 September 1992 101.34 1
31 December 1992 100.87 1
31 March 1993 100.30 1
30 June 1993 100.10 1
30 September 1993 100.62 1
31 December 1993 100.58 1
31 March 1994 100.33 1
30 June 1994 99.49 1
30 September 1994 99.05 1
31 December 1994 97.95 1
31 March 1995 97.24 1
30 June 1995 97.24 1
30 September 1995 96.99 1
31 December 1995 96.92 1
31 March 1996 96.40 1
30 June 1996 95.87 1
30 September 1996 95.56 1
31 December 1996 95.28 1
31 March 1997 94.89 1
30 June 1997 94.97 0
30 September 1997 95.03 0
31 December 1997 95.01 0
31 March 1998 94.88 0
30 June 1998 95.17 0
30 September 1998 95.75 0
31 December 1998 96.79 0
31 March 1999 97.50 0
30 June 1999 98.77 0
30 September 1999 99.90 0
31 December 1999 100.18 0
31 March 2000 100.00 0
30 June 2000 101.31 0
30 September 2000 102.08 0
31 December 2000 103.69 0
31 March 2001 104.72 0
30 June 2001 106.62 0
30 September 2001 106.27 0
31 December 2001 109.67 0
31 March 2002 108.93 0
30 June 2002 110.32 0
30 September 2002 113.01 0
31 December 2002 114.72 0
31 March 2003 116.16 0
30 June 2003 117.00 0
30 September 2003 117.74 0
31 December 2003 120.82 0
31 March 2004 123.30 0
30 June 2004 126.15 0
30 September 2004 129.78 0
31 December 2004 132.14 0
31 March 2005 138.31 0
30 June 2005 142.23 0
30 September 2005 145.35 0
31 December 2005 147.95 1
31 March 2006 147.46 1
30 June 2006 146.82 1
30 September 2006 144.60 1
31 December 2006 142.76 1
31 March 2007 139.87 1
30 June 2007 135.51 1
30 September 2007 130.43 1
31 December 2007 125.21 1
31 March 2008 118.76 1
30 June 2008 109.94 1
30 September 2008 106.38 1
31 December 2008 102.00 1
31 March 2009 98.90 1
30 June 2009 97.02 1
30 September 2009 98.14 1
31 December 2009 98.21 1
31 March 2010 98.11 1
30 June 2010 96.65 1
30 September 2010 94.51 1
31 December 2010 92.27 1
31 March 2011 89.91 1
30 June 2011 88.68 1
30 September 2011 88.18 1
31 December 2011 88.13 1
31 March 2012 86.87 1
30 June 2012 87.93 0
30 September 2012 89.84 0
31 December 2012 89.02 0
31 March 2013 94.94 0
30 June 2013 97.14 0
30 September 2013 98.90 0
31 December 2013 100.65 0
31 March 2014 100.84 0
30 June 2014 100.11 0
30 September 2014 100.08 0
31 December 2014 100.76 0
31 March 2015 102.35 0
30 June 2015 102.49 0
30 September 2015 102.84 0
31 December 2015 103.43 0
31 March 2016 104.41 0
30 June 2016 104.73 0
30 September 2016 105.52 0

Note: Gray shaded regions define the periods of the peak through the trough in the HPI-DPI ratio; these periods are 1980:Q2–1985:Q2, 1989:Q4–1997:Q1, and 2005:Q4–2012:Q1.

Source: CoreLogic; BEA.

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Figure 2. Gross Private Real Residential Investment (RRI)

Natural Logarithm
Quarterly

Date RRI Period from Peak through the Trough in RRI
31 March 1976 4.42 0
30 June 1976 4.45 0
30 September 1976 4.43 0
31 December 1976 4.55 0
31 March 1977 4.58 0
30 June 1977 4.68 0
30 September 1977 4.68 0
31 December 1977 4.66 0
31 March 1978 4.67 0
30 June 1978 4.72 0
30 September 1978 4.73 1
31 December 1978 4.73 1
31 March 1979 4.71 1
30 June 1979 4.69 1
30 September 1979 4.68 1
31 December 1979 4.64 1
31 March 1980 4.55 1
30 June 1980 4.35 1
30 September 1980 4.38 1
31 December 1980 4.47 1
31 March 1981 4.44 1
30 June 1981 4.41 1
30 September 1981 4.33 1
31 December 1981 4.22 1
31 March 1982 4.16 1
30 June 1982 4.13 1
30 September 1982 4.13 1
31 December 1982 4.20 0
31 March 1983 4.36 0
30 June 1983 4.47 0
30 September 1983 4.57 0
31 December 1983 4.61 0
31 March 1984 4.64 0
30 June 1984 4.65 0
30 September 1984 4.64 0
31 December 1984 4.64 0
31 March 1985 4.65 0
30 June 1985 4.65 0
30 September 1985 4.67 0
31 December 1985 4.69 0
31 March 1986 4.73 0
30 June 1986 4.79 0
30 September 1986 4.80 0
31 December 1986 4.81 0
31 March 1987 4.80 0
30 June 1987 4.81 1
30 September 1987 4.80 1
31 December 1987 4.80 1
31 March 1988 4.78 1
30 June 1988 4.80 1
30 September 1988 4.80 1
31 December 1988 4.80 1
31 March 1989 4.79 1
30 June 1989 4.76 1
30 September 1989 4.76 1
31 December 1989 4.73 1
31 March 1990 4.74 1
30 June 1990 4.70 1
30 September 1990 4.65 1
31 December 1990 4.59 1
31 March 1991 4.53 1
30 June 1991 4.57 0
30 September 1991 4.60 0
31 December 1991 4.62 0
31 March 1992 4.67 0
30 June 1992 4.71 0
30 September 1992 4.71 0
31 December 1992 4.75 0
31 March 1993 4.75 0
30 June 1993 4.76 0
30 September 1993 4.80 0
31 December 1993 4.85 0
31 March 1994 4.86 0
30 June 1994 4.89 0
30 September 1994 4.88 0
31 December 1994 4.86 0
31 March 1995 4.84 0
30 June 1995 4.81 0
30 September 1995 4.84 0
31 December 1995 4.86 0
31 March 1996 4.89 0
30 June 1996 4.93 0
30 September 1996 4.93 0
31 December 1996 4.92 0
31 March 1997 4.92 0
30 June 1997 4.94 0
30 September 1997 4.95 0
31 December 1997 4.96 0
31 March 1998 4.98 0
30 June 1998 5.01 0
30 September 1998 5.04 0
31 December 1998 5.06 0
31 March 1999 5.07 0
30 June 1999 5.08 0
30 September 1999 5.09 0
31 December 1999 5.10 0
31 March 2000 5.10 0
30 June 2000 5.10 0
30 September 2000 5.08 0
31 December 2000 5.08 0
31 March 2001 5.09 0
30 June 2001 5.10 0
30 September 2001 5.11 0
31 December 2001 5.10 0
31 March 2002 5.13 0
30 June 2002 5.16 0
30 September 2002 5.16 0
31 December 2002 5.18 0
31 March 2003 5.20 0
30 June 2003 5.21 0
30 September 2003 5.27 0
31 December 2003 5.30 0
31 March 2004 5.31 0
30 June 2004 5.34 0
30 September 2004 5.35 0
31 December 2004 5.36 0
31 March 2005 5.39 0
30 June 2005 5.40 0
30 September 2005 5.42 1
31 December 2005 5.41 1
31 March 2006 5.40 1
30 June 2006 5.35 1
30 September 2006 5.29 1
31 December 2006 5.25 1
31 March 2007 5.20 1
30 June 2007 5.16 1
30 September 2007 5.09 1
31 December 2007 5.01 1
31 March 2008 4.92 1
30 June 2008 4.88 1
30 September 2008 4.83 1
31 December 2008 4.73 1
31 March 2009 4.63 1
30 June 2009 4.57 1
30 September 2009 4.61 1
31 December 2009 4.61 1
31 March 2010 4.58 1
30 June 2010 4.63 1
30 September 2010 4.54 1
31 December 2010 4.56 0
31 March 2011 4.56 0
30 June 2011 4.57 0
30 September 2011 4.59 0
31 December 2011 4.62 0
31 March 2012 4.68 0
30 June 2012 4.69 0
30 September 2012 4.71 0
31 December 2012 4.76 0
31 March 2013 4.80 0
30 June 2013 4.83 0
30 September 2013 4.84 0
31 December 2013 4.83 0
31 March 2014 4.83 0
30 June 2014 4.85 0
30 September 2014 4.86 0
31 December 2014 4.89 0
31 March 2015 4.92 0
30 June 2015 4.96 0
30 September 2015 4.99 0
31 December 2015 5.01 0
31 March 2016 5.03 0
30 June 2016 5.01 0
30 September 2016 5.00 0
31 December 2016 5.02 0

Note: Gray shaded regions define the periods of the peak through the trough in the natural logarithm of RRI; these periods are 1978:Q3–1982:Q3, 1987:Q2–1991:Q1, and 2005:Q3–2010:Q3.

Source: BEA.

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Figure 3. Severity Scores

Index
Annual

Top Row

  Bars Line
CCAR Real Variables Score GDP Score Unemployment Change Score Unemployment Level Score Great Recession Moderate Recession (Overall) Moderate Recession (GDP) Moderate Recession (Unemployment rate change) Moderate Recession (Unemployment rate level)
2013 117.55 115.25 65.08 172.33 100 5.98 17.92 0.01 0
2014 108.20 111.56 65.71 147.33 100 5.98 17.92 0.01 0
2015 94.26 111.39 65.40 106 100 5.98 17.92 0.01 0
2016 117.71 150.36 98.10 104.67 100 5.98 17.92 0.01 0
2017 124.02 161.09 106.98 104 100 5.98 17.92 0.01 0

Middle Row

  Bars Line
CCAR House Price Variables Score Nominal HPI Score HPI-DPI Change Score HPI-DPI Level Score Great Recession Moderate Recession (Overall) Moderate Recession (Nominal HPI) Moderate Recession (HPI-DPI Change Score) Moderate Recession (HPI-DPI Level)
2013 77.06 82.05 13.90 135.21 100 5.98 5.98 5.98 5.98
2014 91.03 90.66 45.78 136.66 100 5.98 5.98 5.98 5.98
2015 88.35 90.66 41.93 132.46 100 5.98 5.98 5.98 5.98
2016 84.32 89.44 39.83 123.68 100 5.98 5.98 5.98 5.98
2017 77.92 89.52 33.01 111.23 100 5.98 5.98 5.98 5.98

Bottom Row

  Bars Line
CCAR Financial Variables Score VIX Score BBB Spread Change Score Equity Score Great Recession Moderate Recession (Overall) Moderate Recession (VIX) Moderate Recession (BBB Spread Change) Moderate Recession (Equity)
2013 90.58 96.47 63.54 111.72 100 1.41 n.a. 26.82 -23.99
2014 77.55 68.10 61.33 103.21 100 1.41 n.a. 26.82 -23.99
2015 100.36 95.46 74.07 131.55 100 1.41 n.a. 26.82 -23.99
2016 87.95 81.40 75.11 107.35 100 1.41 n.a. 26.82 -23.99
2017 83.52 70.24 76.82 103.49 100 1.41 n.a. 26.82 -23.99

Note: Figures in leftmost column are computed by taking a simple average of the scores shown in the other three charts in the same row. Thick red line represents the score of the financial or housing crisis. Dashed black line shows the score a moderate recession would receive.Year labels represent the CCAR cycles. A score of 100 means a scenario is as severe as the Great Recession, while a score of 0 signifies a scenario as severe as the average U.S mild recession. VIX Score does not contain a moderate recession line because of data restrictions.

"Source: Staff estimates from public CCAR release and historical data from BEA, BLS, Wall Street Journal, Chicago Board Options Exchange (CBOE), Global Financial Data, https://www.globalfinancialdata.com/index.html; BofA Merrill Lynch Global Research, Bond Indices; Standard & Poor’s, S&P 500 Index, accessed via Bloomberg."

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Last Update: May 04, 2017