Macroeconomic Sources of Recent Interest Rate Fluctuations, Accessible Data
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Figure 1: U.S. and Euro-Area 10-Year Sovereign Bond Yields
Chart plots daily data on 10-year U.S. nominal Treasury yields and 10-year German bund yields between June 6, 2005 and December 16, 2015, together with three vertical lines delineating the starting points of the three sub periods: July 30, 2007, April 30, 2010, and May 30, 2014. The U.S. Treasury yield rose slightly from 4 percent to 4.8 percent between June 2005 and July 2007, while the German bund yield rose from 3.3 percent to 4.4 percent over the same period. Both yields then trended down over time, reaching 2.3 percent and 0.72 percent, respectively, by December 2015. The comovement between the two yields was especially notably between mid-2007 and early 2013.
Source: Thomson Reuters Tick History.
Figure 2: U.S. and Euro-Area 10-Year Inflation Compensation
Chart plots daily data on 10-year U.S. inflation compensation and 10-year German inflation swap rate between June 6, 2005 and December 16, 2015, together with three vertical lines delineating the starting points of the three sub periods: July 30, 2007, April 30, 2010, and May 30, 2014. Both series fluctuated between 2 and 3 percent before the onset of the crisis, declined sharply in the last quarter of 2008 but quickly rebounded to just below or at the per-crisis level by early 2010, and fluctuated with a relatively narrow range until mid-2014, when both series trended down sharply. The two series stood at 1.4 percent for the U.S. and 1.3 percent for Germany by mid-December 2015.
Source: Thomson Reuters Tick History.