Meeting of the Federal Open Market Committee
November 6, 2001 Presentation Materials -- Text Version

Presentation Materials (252 KB PDF)

APPENDIX
Charts used by Mr. Kos.

Page 1

Top panel

Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements
Series: U.S. and Euro-area Libor fixing, 3M forward, and 9M forward rates
Horizon: August 1, 2001 through November 2, 2001
Description: All forward rates declined significantly after 9/11/2001 (labeled with a tripwire).

Bottom panel

Title: Japanese Yield Curve
Series: The yield curve, including Japanese 3-month, 1-year, 2-year, 3-year, 7-year, 10-year, 20-year, and 30-year yields
Horizon: There are three curves shown for the dates of 2/28/2001, 8/14/2001, and 11/5/2001.
Description: Longer-term Japanese rates edged higher over the course of 2001.

Sources: Bloomberg

Page 2

Top panel

Title: 5-Year Japanese Government Bond Yield and Swap Rate
Series: 5-year JGB yield and 5-year swap rate
Horizon: January 3, 2000 through November 2, 2001
Description: 5-year JGB yield and swap rates declined steadily between September 2000 and November 2001.

Middle panel

Title: 10-Year Japanese Government Bond Yield and Swap Rate
Series: 10-year JGB yield and 10-year swap rate
Horizon: January 3, 2000 through November 2, 2001
Description: 10-year JGB yield and swap rates declined steadily between September 2000 and November 2001.

Bottom panel

Title: Topix Composite and Topic Bank Sub-Index
Series: Topix composite index and Topix bank sub-index, (indexed to 100 on 1/3/2000)
Horizon: January 3, 2000 through November 2, 2001
Description: The Topix equity index and bank sub-index declined sharply between January 2000 and November 2001.

Sources: Bloomberg

Page 3

Top panel

Title: Foreign Currency per Dollar
Series: Japanese yen, Swiss franc, and euro currency performance, (indexed to 100 on 8/1/2001)
Horizon: August 1, 2001 through November 2, 2001
Description: The dollar depreciated in the week following September 11 (labeled with a tripwire), although it regained much of its value by the beginning of November 2001.

Source: Bloomberg

Middle panel

Title: 1-Month Option Implied Volatility for G-3 Currency Pairs
Series: 1-month euro-dollar, 1-month dollar-yen, and 1-month euro-yen option volatility
Horizon: August 1, 2001 through November 2, 2001
Description: Implied volatilities in the euro-dollar and dollar-yen currency pairs increased sharply following 9/11/2001, although they quickly reversed these increases and returned to previous levels by November 2001.

Source: JP Morgan Chase

Bottom panel

Title: 1-Month Risk Reversals for G-3 Currency Pairs
Series: Euro-dollar, euro-yen, and dollar-yen 1-month risk reversals
Horizon: August 1, 2001 through November 2, 2001
Description: Risk reversals favored dollar weakness following 9/11/2001. By November 2001, they returned to levels observed prior to the attacks.

Source: JP Morgan Chase

Page 4

Top panel

Title: Major Global Equity Indices
Series: NASDAQ composite index, S&P 500 index, DAX index, TSE 300 index, FTSE 100 index, Topix index, and CAC 40 index, all indexed to 100 on 9/10/2001
Horizon: August 1, 2001 through November 2, 2001
Description: Major global equity indices declined following 9/11/2001, although they returned to levels observed prior to the attacks by 11/1/2001.

Middle panel

Title: Major Emerging Market Equity Indices
Series: Merval index, Hang Seng index, Mexican Bolsa index, Brazil Bovespa index, and Singapore index, all indexed to 100 on 9/10/2001
Horizon: August 1, 2001 through November 2, 2001
Description: After immediately declining following 9/11/2001, major emerging market equity indices regained much of their losses in the following weeks.

Bottom panel

Title: S&P 100 Volatility Index (VIX)
Series: VIX index
Horizon: August 1, 2001 through November 2, 2001
Description: The VIX index increased sharply following 9/11/2001. It subsequently declined between late September and early November 2001, although it remains at elevated levels.

Sources: Bloomberg

Page 5

Top panel

Title: Emerging Market and U.S. High Yield Spreads
Series: JPM EMBI+ sovereign spread and Merrill Lynch High-Yield spread
Horizon: August 1, 2001 through November 2, 2001
Description: Emerging market and U.S. high yield spreads increased between 9/11/2001 and 11/1/2001.

Source: Bloomberg, JP Morgan Chase

Middle panel

Title: 10-Year U.S. Investment Grade Credit Spreads
Series: A2 industrial corporates, 10-year swap, and Fannie Mae 6% (5/15/2011)
Horizon: August 1, 2001 through November 2, 2001
Description: 10-year investment grade credit spreads remained relatively stable following 9/11/2001.

Source: Bloomberg

Bottom panel

Title: Implied Volatility on Options on the December Eurodollar Futures Contract
Series: December 2001 Eurodollar Contract Volatility
Horizon: August 1, 2001 through November 2, 2001
Description: Implied volatility on eurodollar futures contracts increased following 9/11/2001.

Source: Bloomberg

Page 6

Top panel

Title: U.S. Treasury Coupon Yields
Series: Target federal funds rate, yields on benchmark 2-year, 5-year, 10- year, and 30-year U.S. Treasury securities
Horizon: August 1, 2001 through November 2, 2001
Description: On-the-run Treasury coupon yields declined following 9/11/2001, with the short-end of the curve outperforming as the FOMC eased policy.

Bottom left panel

Title: U.S. Benchmark Yield Curves
Series: A2 industrial corporates, Fannie Mae, swaps, and Treasuries
Horizon: Yield Curves as of 9/10/2001
Description: Benchmark U.S. yield curves were upward sloping prior to 9/11/2001.

Bottom right panel

Title: Continuation of Bottom Left Panel
Series: A2 industrial corporates, Fannie Mae, swaps, and Treasuries
Horizon: Yield Curves as of 11/02/2001 (comparing to yield curves back on 9/10/2001)
Description: Benchmark U.S. yield curves steepened sharply following 9/11/2001.

Sources: Bloomberg

Page 7

Top left panel

Title: Commercial Paper Spreads
Series: 30-day A2/P2 - A1/P1 spreads
Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002
Description: 30-day A2/P2 - A1/P1 spreads increased following 9/11/2001.

Top right panel

Title: Commercial Paper Spreads
Series: 90-day A2/P2 - A1/P1 spreads
Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002
Description: 90-day A2/P2 - A1/P1 spreads increased following 9/11/2001.

Bottom left panel

Title: Commercial Paper Spreads
Series: 90-day A1/P1 - 3-month Treasury bill spreads
Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002
Description: The level of 90-day A1/P1 - 3-month Treasury bill spreads has been comparable to previous periods.

Bottom right panel

Title: Commercial Paper Spreads
Series: 90-day A2/P2 - 3-month Treasury bill spreads
Horizon: August through February: 1997-1998, 2000-2001, and 2001-2002
Description: The level of 90-day A2/P2 - 3-month Treasury bill spreads have widened slightly more than comparable periods..

Sources: Bloomberg

Page 8

Top panel

Title: General Collateral Repo Rate, On-the-Run Treasury Specials Rate and Primary Dealer Fails to Deliver: 5-Year On-the-Run Treasury
Series: 5-year specials rate (LHS), GC rate (LHS), and 5-year fails (RHS)
Horizon: January 1, 2001 through November 2, 2001 ¹
Description: 5-year fails in the overnight repo market increased sharply following 9/11/2001.

Bottom panel

Title: General Collateral Repo Rate, On-the-Run Treasury Specials Rate and Primary Dealer Fails to Deliver: 10-Year On-the-Run Treasury
Series: 10-year specials rate (LHS), GC rate (LHS), and 10-year fails (RHS)
Horizon: January 1, 2001 through November 2, 2001 ¹
Description: 10-year fails in the overnight repo market increased sharply following 9/11/2001.

Sources: Govpx, FR2004

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