Meeting of the Federal Open Market Committee
December 11, 2001 Presentation Materials -- Text Version
Presentation Materials (449 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: September 3, 2001 through December 7, 2001
Description: U.S. and Euro-area forward rates declined modestly until they began to pick back up in early November 2001.
Bottom panel
Title: Continuation of Top Panel
Series: Japan Libor fixing, 3M forward, and 9M forward rates
Horizon: September 3, 2001 through December 7, 2001
Description: Japan forward rates rose steadily over the period shown.
Page 2
Top left panel
Title: Treasury Coupon Yields
Series: Target federal funds rate and yield on benchmark 2-year U.S. Treasury security, 5-year, 10- year, and 30-year U.S. Treasury securities
Horizon: September 3, 2001 through December 7, 2001
Description: The 2-year Treasury was declining in sync with the target federal funds rate until early November 2001 when the target federal funds rate remained steady and the 2-year sharply increased.
Top right panel
Title: Treasury Coupon Yields
Series: Yields on benchmark 10- year and 30-year U.S. Treasury securities
Horizon: September 3, 2001 through December 7, 2001
Description: The 10-year and 30-year Treasury yields were declining over the over period shown until early November 2001 when they both sharply increased.
Bottom panel
Title: 2-Year Treasury Volatility1 vs. Fed Funds Target Rate
Series: Target federal funds rate (RHS) and 2-year Treasury volatility (LHS)
Horizon: February 1988 through December 2001
Description: Movements in the 2-year Treasury, in general, were in sync with the target federal funds rate over the period until mid 2001 when the target federal funds rate was decreasing and the 2-year Treasury yield was increasing.
Page 3
Top panel
Title: Outstanding Agency-Guaranteed Mortgage-Backed Securities and Outstanding Publicly Held Marketable Treasury Debt
Series: Outstanding publicly held marketable Treasury debt and outstanding agency-guaranteed mortgage-backed securities*
Horizon: May 1997 through October 2001
Description: Outstanding publicly held marketable Treasury debt has steadily declined since May 1997 while outstanding agency-guaranteed mortgage-backed securities has steadily increased, bringing the two measures to similar levels in October 2001.
Source: Lehman Brothers and Bureau of the Public Debt
Bottom panel
Title: 10-Year Treasury Yield and Duration of the MBS Market
Series: 10-year Treasury note yield (LHS) and option-adjusted duration* (RHS)
Horizon: September 4, 2001 through December 7, 2001
Description: The 10-year Treasury note yield and option-adjusted duration have reacted closely together over the period shown and both increased dramatically since early November 2001.
Source: Goldman Sachs and Bloomberg
Page 4
Top panel
Title: 10-Year Industrial Corporate Debt Spreads to AAA
Series: BBB -- AAA spread and A -- AAA spread
Horizon: September 4, 2001 through December 7, 2001
Description: Over the period shown, the A -- AAA spread remained relatively level while the BBB -- AAA spread widened significantly.
Bottom 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 commercial paper spreads have widened, reaching levels above those seen in 1997-1998.
Bottom 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 commercial paper spreads have widened, reaching levels above those seen in 1997-1998.
Page 5
Top panel
Title: Yen per Dollar
Series: Yen currency performance in yen/dollar
Horizon: September 3, 2001 through December 7, 2001
Description: The yen continually depreciated against the dollar over the course of the period shown.
Middle panel
Title: 10-Year Japanese Government Bond Yield
Series: 10-year Japanese government bond yield
Horizon: September 3, 2001 through December 7, 2001
Description: The 10-year Japanese government bond yield declined over the third quarter of 2001 until it picked back up in early November 2001 and has since returned similar levels seen in early September 2001.
Bottom panel
Title: Topix and Topix Bank Sub-Index
Series: Topix index (LHS) and Topix bank sub-index (RHS)
Horizon: September 3, 2001 through December 7, 2001
Description: Both indices declined continually over the period shown with significant declines in late 2001 coming after downgrades by S&P and Moody's (both labeled with tripwires).
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