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Meeting of the Federal Open Market Committee
June 27-28, 2007 Presentation Materials -- Text Version
Pages 219 to 261 of the Transcript
Appendix 1: Materials used by Mr. Dudley
Class II FOMC - Restricted FR
Page 1
Top panel
(1)
Title: Treasury Yield Curve Shifts Higher
Series: Constant maturity Treasury yield curve as of 3/20/2007, 5/8/2007, and 6/25/2007
Horizon: March 20, 2007 - June 25, 2007
Description: The Treasury yield curve has shifted higher since the last two FOMC meetings.
Source: Bloomberg
Middle panel
(2)
Title: 10-Year Treasury Inflation Protected and Nominal Treasury Yields
Series: 10-Year Nominal Treasury yield and 10-Year inflation protected Treasury yield
Horizon: January 1, 2007 - June 25, 2007
Description: Both nominal and inflation protected Treasury yields have increased since the last FOMC meeting.
Source: Bloomberg
Bottom panel
(3)
Title: TIPS Inflation Compensation: 5-10 Year Horizon
Series: 5-10 Year Horizon TIPS inflation compensation
Horizon: June 1, 2006 - June 25, 2007
Description: TIPS inflation compensation over a 5-10 year horizon has increased recently.
Source: Federal Reserve Board
Page 2
Top panel
(4)
Title: Eurodollar Futures Curve Flattens
Series: Eurodollar futures curve as of 3/20/2007, 5/8/2007, and 6/25/2007
Horizon: March 20, 2007 - June 25, 2007
Description: As of 6/25/2007, Eurodollar futures contracts show that there are reduced
expectations for a rate cut by the end of 2008, where before there were at least two twenty-five basis point
rate cuts priced in.
Source: Bloomberg
Middle panel
(5)
Title: Distribution of Expected Policy Target Among Primary Dealers Prior to May 9 FOMC Meeting
Series: Dealer expectations for policy target rate by quarter, average forecast for policy target
by quarter, and market rate for policy expectation by quarter as of 5/1/2007
Horizon: Q2 2007 - Q4 2008
Description: There is more dispersion regarding where dealers expect the policy rate to be in Q4
2008. Dealers on average expect higher rates than what is currently priced into eurodollar futures.
Source: Dealer Policy Survey
Bottom panel
(6)
Title: Distribution of Expected Policy Target Among Primary Dealers Prior to June 28 FOMC Meeting
Series: Dealer expectations for policy target rate by quarter, average forecast for policy target by
quarter, and market rate for policy expectation by quarter as of 6/18/2007
Horizon: Q2 2007 - Q4 2008
Description: Compared to the May policy survey, there is less dispersion of policy rate expectation
for Q4 2008. Market expectations are more in line with dealer forecasts.
Source: Dealer Policy Survey
Page 3
Top-left panel
(7)
Title: Primary Dealers' GDP Forecasts
Series: Average GDP forecast from current survey, average GDP forecast from previous survey,
minimum and maximum dealer GDP forecast.
Horizon: Q2 2007 - Q1 2008
Description: There has been a significant upward shift in primary dealers' GDP forecasts for
Q2 2007.
Source: Dealer Policy Survey
Top-right panel
(8)
Title: Reduced Uncertainty Regarding GDP Forecasts
Series: Uncertainty regarding GDP forecast from current and previous survey
Horizon: Q2 2007 - Q1 2008
Description: There is reduced uncertainty regarding GDP forecast among dealers in the
current survey as compared to the previous survey.
Source: Dealer Policy Survey
Middle panel
(9)
Title: 30-Year Conventional Mortgage-Backed Security Coupon Stacks
Series: Coupon stacks of 30-Year conventional mortgages, 30-year conventional mortgage rate
as of 5/30 and 6/25
Horizon: May 30, 2007 - June 25, 2007
Description: As the average mortgage rate shifted from 6.31 percent on May 30 to 6.60 percent
on June 25, there are fewer mortgages eligible for refinancing.
Source: Bloomberg
Bottom panel
(10)
Title: Mortgage Convexity Hedging Drives Up 10-Year Treasury Yields
Series: 2-Year, 5-Year, 10-Year, and 30-Year Treasury yields
Horizon: May 10, 2007 - June 13, 2007
Description: 10-Year Treasury Yields increased sharply as a result of mortgage
convexity hedging.
Source: Bloomberg
Page 4
Top panel
(11)
Title: Custody Holdings of Treasury Securities at FRBNY Level Off Since Mid-April
Series: FRBNY custody holding of Treasury securities
Horizon: January 1, 2007 - June 13, 2007
Description: Custody holding of Treasury securities at FRBNY has leveled off since mid-April
Source: Federal Reserve Bank of New York
Middle panel
(12)
Title: Ripple Effects in U.S. Equity Market were Modest
Series: S&P 500 index and Nasdaq index
Horizon: January 1, 2007 - June 25, 2007
Description: Although equity markets declined modestly in reaction to higher U.S. rates, the
move was less sharp than the price action witnessed at the end of February.
Source: Bloomberg
Bottom panel
(13)
Title: Corporate Debt Spreads
Series: High-Yield and Investment Grade option adjusted spreads
Horizon: January 1, 2007 - June 25, 2007
Description: High-yield spreads have widened since the beginning of June 2007, while
investment grade spreads have remained relatively stable.
Source: Bloomberg
Page 5
Top panel
(14)
Title: Currency Performance Against the Japanese Yen
Series: EUR-YEN, USD-YEN, NZD-YEN, and AUD-YEN
Horizon: February 27 - June 25, 2007
Description: The yen depreciated against higher-yielding currencies during the
intermeeting period, suggesting risk appetite remained intact.
Source: Bloomberg
Middle panel
(15)
Title: Implied Volatility Low, Except for Treasuries
Series: MOVE index, VIX index, and 1-Month Dollar-Yen Volatility index
Horizon: January 1, 2007 - June 25, 2007
Description: Implied volatility was low for most markets except for the Treasury
market during the intermeeting period.
Source: Bloomberg
Bottom panel
(16)
Title: September 2008 Eurodollar, Euribor, and Euroyen Interest Rate Futures Contracts
Series: Eurodollar-Euribor Contract Spread and Eurodollar-Euroyen Contract Spread
Horizon: January 1, 2007 - June 25, 2007
Description: Spreads between September 2008 Eurodollar-Euribor and Eurodollar-Euroyen
contracts have widened since the May FOMC meeting.
Source: Bloomberg
Page 6
Top panel
(17)
Title: Dollar Strengthens
Series: Trade-weighted Dollar, Yen vs. USD, Euro vs. USD
Horizon: January 1, 2007 - June 25, 2007
Description: Since the beginning of the year, the U.S. dollar has softened against
the euro while it has appreciated against the Japanese yen. Overall, the trade-weighted dollar has also
declined since January 1, 2007.
Source: Bloomberg
Middle panel
(18)
Title: Japanese Yen Weakens
Series: Japanese Yen and Real Trade-Weighted Japanese Yen
Horizon: January 1995 - May 2007
Description: Although the yen has remained within a broad range against the dollar,
on a real trade-weighted basis it has reached a new low this year.
Source: Bloomberg and Bank for International Settlements
Bottom panel
(19)
Title: Subprime BBB-Rated MBS and Related Spreads
Series: MBS CDS BBB, ABX 06-2 BBB, and Cash MBS BBB
Horizon: January 1, 2007 - June 25, 2007
Description: Subprime BBB-rated cash, CDS, and ABX 06-2 widened since the beginning
of June 2007.
Source: JP Morgan
Appendix 2: Materials used by Mr. Wilcox, Ms. Liang, and Mr. Leahy
Material for Staff Presentation on the Economic Outlook
June 27, 2007
CLASS II FOMC - Restricted (FR)
Exhibit 1
Forecast Summary
Top-left panel
Real GDP
Period | Real GDP | May GB | June GB |
---|---|---|---|
2003 | 3.68 | ND | ND |
2004 | 3.40 | ND | ND |
2005 | 3.15 | ND | ND |
2006 | 3.13 | ND | ND |
2007 | ND | 1.97 | 2.18 |
2008 | ND | 2.37 | 2.52 |
ND No data Return to table
Top-right panel
Real GDP
May GB | June GB | ||
---|---|---|---|
2007: | Q2 | 2.6 | 3.0 |
Q3 | 2.0 | 2.5 | |
Q4 | 2.1 | 2.2 | |
2008* | 2.4 | 2.5 |
* 2008:Q4 / 2007:Q4 Return to table
Middle-left panel
Unemployment Rate
Period | Unemployment Rate | May GB | June Forecast |
---|---|---|---|
2003:Q1 | 5.87 | ND | ND |
2003:Q2 | 6.14 | ND | ND |
2003:Q3 | 6.11 | ND | ND |
2003:Q4 | 5.82 | ND | ND |
2004:Q1 | 5.67 | ND | ND |
2004:Q2 | 5.58 | ND | ND |
2004:Q3 | 5.45 | ND | ND |
2004:Q4 | 5.40 | ND | ND |
2005:Q1 | 5.26 | ND | ND |
2005:Q2 | 5.10 | ND | ND |
2005:Q3 | 4.99 | ND | ND |
2005:Q4 | 4.96 | ND | ND |
2006:Q1 | 4.70 | ND | ND |
2006:Q2 | 4.65 | ND | ND |
2006:Q3 | 4.67 | ND | ND |
2006:Q4 | 4.46 | ND | ND |
2007:Q1 | 4.49 | 4.49 | ND |
2007:Q2 | ND | 4.56 | 4.48 |
2007:Q3 | ND | 4.66 | 4.60 |
2007:Q4 | ND | 4.75 | 4.69 |
2008:Q1 | ND | 4.83 | 4.75 |
2008:Q2 | ND | 4.90 | 4.79 |
2008:Q3 | ND | 4.94 | 4.82 |
2008:Q4 | ND | 4.97 | 4.85 |
Middle-right panel
Unemployment Rate
May GB | June GB | ||
---|---|---|---|
2007: | Q2 | 4.6 | 4.5 |
Q3 | 4.7 | 4.6 | |
Q4 | 4.8 | 4.7 | |
2008* | 5.0 | 4.8 |
* Q4 Return to table
Bottom-left panel
Core PCE Prices
Period | Core PCE Prices | May GB | June GB |
---|---|---|---|
2003 | 1.44 | ND | ND |
2004 | 2.22 | ND | ND |
2005 | 2.10 | ND | ND |
2006 | 2.19 | ND | ND |
2007 | ND | 2.26 | 2.02 |
2008 | ND | 2.14 | 2.05 |
Bottom-right panel
Core PCE Prices
May GB | June GB | ||
---|---|---|---|
2007: | Q2 | 2.2 | 1.4 |
Q3 | 2.3 | 2.2 | |
Q4 | 2.3 | 2.2 | |
2008* | 2.1 | 2.0 |
* 2008:Q4 / 2007:Q4 Return to table
Exhibit 2
Single-Family Housing
Top-left panel
Starts
Period | Starts | Forecast |
---|---|---|
1970:Q1 | 0.69 | ND |
1970:Q2 | 0.76 | ND |
1970:Q3 | 0.84 | ND |
1970:Q4 | 0.97 | ND |
1971:Q1 | 1.03 | ND |
1971:Q2 | 1.15 | ND |
1971:Q3 | 1.16 | ND |
1971:Q4 | 1.25 | ND |
1972:Q1 | 1.33 | ND |
1972:Q2 | 1.26 | ND |
1972:Q3 | 1.35 | ND |
1972:Q4 | 1.31 | ND |
1973:Q1 | 1.34 | ND |
1973:Q2 | 1.18 | ND |
1973:Q3 | 1.10 | ND |
1973:Q4 | 0.92 | ND |
1974:Q1 | 0.93 | ND |
1974:Q2 | 0.96 | ND |
1974:Q3 | 0.86 | ND |
1974:Q4 | 0.78 | ND |
1975:Q1 | 0.73 | ND |
1975:Q2 | 0.85 | ND |
1975:Q3 | 0.95 | ND |
1975:Q4 | 1.03 | ND |
1976:Q1 | 1.14 | ND |
1976:Q2 | 1.10 | ND |
1976:Q3 | 1.18 | ND |
1976:Q4 | 1.25 | ND |
1977:Q1 | 1.36 | ND |
1977:Q2 | 1.43 | ND |
1977:Q3 | 1.46 | ND |
1977:Q4 | 1.51 | ND |
1978:Q1 | 1.31 | ND |
1978:Q2 | 1.49 | ND |
1978:Q3 | 1.42 | ND |
1978:Q4 | 1.46 | ND |
1979:Q1 | 1.16 | ND |
1979:Q2 | 1.29 | ND |
1979:Q3 | 1.20 | ND |
1979:Q4 | 1.03 | ND |
1980:Q1 | 0.79 | ND |
1980:Q2 | 0.69 | ND |
1980:Q3 | 0.96 | ND |
1980:Q4 | 0.98 | ND |
1981:Q1 | 0.87 | ND |
1981:Q2 | 0.79 | ND |
1981:Q3 | 0.65 | ND |
1981:Q4 | 0.54 | ND |
1982:Q1 | 0.57 | ND |
1982:Q2 | 0.60 | ND |
1982:Q3 | 0.66 | ND |
1982:Q4 | 0.82 | ND |
1983:Q1 | 1.03 | ND |
1983:Q2 | 1.09 | ND |
1983:Q3 | 1.09 | ND |
1983:Q4 | 1.05 | ND |
1984:Q1 | 1.22 | ND |
1984:Q2 | 1.10 | ND |
1984:Q3 | 1.00 | ND |
1984:Q4 | 1.07 | ND |
1985:Q1 | 1.06 | ND |
1985:Q2 | 1.05 | ND |
1985:Q3 | 1.06 | ND |
1985:Q4 | 1.11 | ND |
1986:Q1 | 1.20 | ND |
1986:Q2 | 1.22 | ND |
1986:Q3 | 1.16 | ND |
1986:Q4 | 1.16 | ND |
1987:Q1 | 1.24 | ND |
1987:Q2 | 1.14 | ND |
1987:Q3 | 1.16 | ND |
1987:Q4 | 1.08 | ND |
1988:Q1 | 1.06 | ND |
1988:Q2 | 1.07 | ND |
1988:Q3 | 1.07 | ND |
1988:Q4 | 1.14 | ND |
1989:Q1 | 1.04 | ND |
1989:Q2 | 1.00 | ND |
1989:Q3 | 1.00 | ND |
1989:Q4 | 0.99 | ND |
1990:Q1 | 1.06 | ND |
1990:Q2 | 0.90 | ND |
1990:Q3 | 0.86 | ND |
1990:Q4 | 0.79 | ND |
1991:Q1 | 0.70 | ND |
1991:Q2 | 0.84 | ND |
1991:Q3 | 0.88 | ND |
1991:Q4 | 0.91 | ND |
1992:Q1 | 1.04 | ND |
1992:Q2 | 0.99 | ND |
1992:Q3 | 1.02 | ND |
1992:Q4 | 1.08 | ND |
1993:Q1 | 1.04 | ND |
1993:Q2 | 1.11 | ND |
1993:Q3 | 1.13 | ND |
1993:Q4 | 1.25 | ND |
1994:Q1 | 1.19 | ND |
1994:Q2 | 1.21 | ND |
1994:Q3 | 1.19 | ND |
1994:Q4 | 1.16 | ND |
1995:Q1 | 1.04 | ND |
1995:Q2 | 1.02 | ND |
1995:Q3 | 1.12 | ND |
1995:Q4 | 1.14 | ND |
1996:Q1 | 1.15 | ND |
1996:Q2 | 1.19 | ND |
1996:Q3 | 1.18 | ND |
1996:Q4 | 1.10 | ND |
1997:Q1 | 1.14 | ND |
1997:Q2 | 1.12 | ND |
1997:Q3 | 1.15 | ND |
1997:Q4 | 1.14 | ND |
1998:Q1 | 1.23 | ND |
1998:Q2 | 1.24 | ND |
1998:Q3 | 1.28 | ND |
1998:Q4 | 1.36 | ND |
1999:Q1 | 1.34 | ND |
1999:Q2 | 1.27 | ND |
1999:Q3 | 1.29 | ND |
1999:Q4 | 1.34 | ND |
2000:Q1 | 1.28 | ND |
2000:Q2 | 1.24 | ND |
2000:Q3 | 1.19 | ND |
2000:Q4 | 1.22 | ND |
2001:Q1 | 1.26 | ND |
2001:Q2 | 1.30 | ND |
2001:Q3 | 1.28 | ND |
2001:Q4 | 1.26 | ND |
2002:Q1 | 1.36 | ND |
2002:Q2 | 1.34 | ND |
2002:Q3 | 1.34 | ND |
2002:Q4 | 1.41 | ND |
2003:Q1 | 1.41 | ND |
2003:Q2 | 1.43 | ND |
2003:Q3 | 1.53 | ND |
2003:Q4 | 1.66 | ND |
2004:Q1 | 1.56 | ND |
2004:Q2 | 1.61 | ND |
2004:Q3 | 1.64 | ND |
2004:Q4 | 1.61 | ND |
2005:Q1 | 1.71 | ND |
2005:Q2 | 1.70 | ND |
2005:Q3 | 1.75 | ND |
2005:Q4 | 1.73 | ND |
2006:Q1 | 1.74 | ND |
2006:Q2 | 1.51 | ND |
2006:Q3 | 1.39 | ND |
2006:Q4 | 1.25 | ND |
2007:Q1 | 1.16 | ND |
2007:Q2 | ND | 1.16 |
2007:Q3 | ND | 1.05 |
2007:Q4 | ND | 1.03 |
2008:Q1 | ND | 1.05 |
2008:Q2 | ND | 1.06 |
2008:Q3 | ND | 1.08 |
2008:Q4 | ND | 1.11 |
Note: Shading indicates periods of major downturns in single-family starts (as shown in the chart, 1972:Q3-1975:Q1; 1977:Q4-1981:Q4; 1990:Q1-1991:Q1; and 2005:Q3-2007:Q4, which extends into the forecast period).
Top-right panel
Declines in Starts during Major Downturns
Period | Decline (percent) |
---|---|
72:Q3 - 75:Q1 | 45 |
77:Q4 - 81:Q4 | 64 |
90:Q1 - 91:Q1 | 34 |
05:Q3 - 07:Q4 | 41 f |
f - Staff forecast Return to table
Middle-left panel
Mortgage Rates
Period | 30-year FRM | 30-year FRM Forecast | 1-year ARM |
---|---|---|---|
January 1999 | 6.79 | ND | 5.59 |
February 1999 | 6.81 | ND | 5.65 |
March 1999 | 7.03 | ND | 5.74 |
April 1999 | 6.90 | ND | 5.59 |
May 1999 | 7.15 | ND | 5.72 |
June 1999 | 7.58 | ND | 5.94 |
July 1999 | 7.61 | ND | 5.97 |
August 1999 | 7.94 | ND | 6.18 |
September 1999 | 7.80 | ND | 6.18 |
October 1999 | 7.89 | ND | 6.31 |
November 1999 | 7.74 | ND | 6.36 |
December 1999 | 7.91 | ND | 6.53 |
January 2000 | 8.21 | ND | 6.61 |
February 2000 | 8.33 | ND | 6.72 |
March 2000 | 8.24 | ND | 6.72 |
April 2000 | 8.15 | ND | 6.80 |
May 2000 | 8.52 | ND | 7.10 |
June 2000 | 8.23 | ND | 7.23 |
July 2000 | 8.15 | ND | 7.28 |
August 2000 | 8.01 | ND | 7.28 |
September 2000 | 7.90 | ND | 7.27 |
October 2000 | 7.80 | ND | 7.23 |
November 2000 | 7.73 | ND | 7.22 |
December 2000 | 7.32 | ND | 7.05 |
January 2001 | 7.04 | ND | 6.67 |
February 2001 | 7.04 | ND | 6.42 |
March 2001 | 6.93 | ND | 6.26 |
April 2001 | 7.08 | ND | 6.11 |
May 2001 | 7.16 | ND | 5.88 |
June 2001 | 7.14 | ND | 5.80 |
July 2001 | 7.13 | ND | 5.71 |
August 2001 | 6.95 | ND | 5.71 |
September 2001 | 6.82 | ND | 5.57 |
October 2001 | 6.61 | ND | 5.27 |
November 2001 | 6.68 | ND | 5.19 |
December 2001 | 7.07 | ND | 5.23 |
January 2002 | 7.00 | ND | 5.16 |
February 2002 | 6.84 | ND | 4.98 |
March 2002 | 7.07 | ND | 5.09 |
April 2002 | 6.99 | ND | 4.96 |
May 2002 | 6.81 | ND | 4.79 |
June 2002 | 6.65 | ND | 4.65 |
July 2002 | 6.47 | ND | 4.50 |
August 2002 | 6.26 | ND | 4.36 |
September 2002 | 6.09 | ND | 4.29 |
October 2002 | 6.12 | ND | 4.27 |
November 2002 | 6.05 | ND | 4.14 |
December 2002 | 6.05 | ND | 4.12 |
January 2003 | 5.92 | ND | 3.99 |
February 2003 | 5.84 | ND | 3.86 |
March 2003 | 5.75 | ND | 3.76 |
April 2003 | 5.79 | ND | 3.79 |
May 2003 | 5.43 | ND | 3.64 |
June 2003 | 5.23 | ND | 3.52 |
July 2003 | 5.73 | ND | 3.59 |
August 2003 | 6.30 | ND | 3.82 |
September 2003 | 6.15 | ND | 3.86 |
October 2003 | 5.95 | ND | 3.74 |
November 2003 | 5.93 | ND | 3.75 |
December 2003 | 5.88 | ND | 3.75 |
January 2004 | 5.71 | ND | 3.63 |
February 2004 | 5.64 | ND | 3.55 |
March 2004 | 5.46 | ND | 3.42 |
April 2004 | 5.91 | ND | 3.70 |
May 2004 | 6.27 | ND | 3.88 |
June 2004 | 6.27 | ND | 4.11 |
July 2004 | 6.02 | ND | 4.09 |
August 2004 | 5.87 | ND | 4.06 |
September 2004 | 5.75 | ND | 3.99 |
October 2004 | 5.72 | ND | 4.02 |
November 2004 | 5.73 | ND | 4.15 |
December 2004 | 5.75 | ND | 4.18 |
January 2005 | 5.71 | ND | 4.12 |
February 2005 | 5.63 | ND | 4.16 |
March 2005 | 5.93 | ND | 4.23 |
April 2005 | 5.86 | ND | 4.25 |
May 2005 | 5.72 | ND | 4.23 |
June 2005 | 5.58 | ND | 4.24 |
July 2005 | 5.70 | ND | 4.40 |
August 2005 | 5.80 | ND | 4.53 |
September 2005 | 5.79 | ND | 4.52 |
October 2005 | 6.07 | ND | 4.86 |
November 2005 | 6.32 | ND | 5.14 |
December 2005 | 6.28 | ND | 5.17 |
January 2006 | 6.15 | ND | 5.17 |
February 2006 | 6.25 | ND | 5.34 |
March 2006 | 6.32 | ND | 5.42 |
April 2006 | 6.51 | ND | 5.62 |
May 2006 | 6.61 | ND | 5.64 |
June 2006 | 6.69 | ND | 5.72 |
July 2006 | 6.76 | ND | 5.79 |
August 2006 | 6.52 | ND | 5.64 |
September 2006 | 6.40 | ND | 5.56 |
October 2006 | 6.36 | ND | 5.55 |
November 2006 | 6.24 | ND | 5.51 |
December 2006 | 6.14 | ND | 5.45 |
January 2007 | 6.24 | ND | 5.48 |
February 2007 | 6.25 | ND | 5.50 |
March 2007 | 6.15 | ND | 5.43 |
April 2007 | 6.18 | ND | 5.45 |
May 2007 | 6.26 | ND | 5.52 |
June 2007 | 6.66 | ND | 5.68 |
July 2007 | ND | 6.66 | ND |
August 2007 | ND | 6.66 | ND |
September 2007 | ND | 6.66 | ND |
October 2007 | ND | 6.66 | ND |
November 2007 | ND | 6.66 | ND |
December 2007 | ND | 6.66 | ND |
January 2008 | ND | 6.66 | ND |
February 2008 | ND | 6.66 | ND |
March 2008 | ND | 6.66 | ND |
April 2008 | ND | 6.66 | ND |
May 2008 | ND | 6.66 | ND |
June 2008 | ND | 6.66 | ND |
July 2008 | ND | 6.66 | ND |
August 2008 | ND | 6.66 | ND |
September 2008 | ND | 6.66 | ND |
October 2008 | ND | 6.66 | ND |
Source: Freddie Mac.
Middle-right panel
Inventory of Unsold New Homes*
Period | Inventory |
---|---|
March 1999 | 4.02 |
April 1999 | 3.97 |
May 1999 | 3.98 |
June 1999 | 3.89 |
July 1999 | 3.94 |
August 1999 | 3.95 |
September 1999 | 4.14 |
October 1999 | 4.21 |
November 1999 | 4.29 |
December 1999 | 4.25 |
January 2000 | 4.29 |
February 2000 | 4.14 |
March 2000 | 4.29 |
April 2000 | 4.23 |
May 2000 | 4.23 |
June 2000 | 4.42 |
July 2000 | 4.30 |
August 2000 | 4.30 |
September 2000 | 4.08 |
October 2000 | 4.02 |
November 2000 | 4.03 |
December 2000 | 3.84 |
January 2001 | 3.81 |
February 2001 | 3.70 |
March 2001 | 3.70 |
April 2001 | 3.77 |
May 2001 | 3.89 |
June 2001 | 4.05 |
July 2001 | 4.15 |
August 2001 | 4.22 |
September 2001 | 4.29 |
October 2001 | 4.28 |
November 2001 | 4.19 |
December 2001 | 4.00 |
January 2002 | 4.01 |
February 2002 | 4.01 |
March 2002 | 4.14 |
April 2002 | 4.16 |
May 2002 | 4.15 |
June 2002 | 4.11 |
July 2002 | 4.15 |
August 2002 | 4.11 |
September 2002 | 3.98 |
October 2002 | 3.94 |
November 2002 | 3.96 |
December 2002 | 3.96 |
January 2003 | 4.00 |
February 2003 | 4.12 |
March 2003 | 4.15 |
April 2003 | 4.15 |
May 2003 | 4.00 |
June 2003 | 3.76 |
July 2003 | 3.58 |
August 2003 | 3.49 |
September 2003 | 3.59 |
October 2003 | 3.73 |
November 2003 | 3.91 |
December 2003 | 3.96 |
January 2004 | 3.98 |
February 2004 | 3.88 |
March 2004 | 3.81 |
April 2004 | 3.81 |
May 2004 | 3.72 |
June 2004 | 3.82 |
July 2004 | 4.10 |
August 2004 | 4.23 |
September 2004 | 4.25 |
October 2004 | 4.02 |
November 2004 | 4.07 |
December 2004 | 4.08 |
January 2005 | 4.38 |
February 2005 | 4.27 |
March 2005 | 4.16 |
April 2005 | 4.10 |
May 2005 | 4.18 |
June 2005 | 4.29 |
July 2005 | 4.23 |
August 2005 | 4.37 |
September 2005 | 4.51 |
October 2005 | 4.60 |
November 2005 | 4.76 |
December 2005 | 4.86 |
January 2006 | 5.19 |
February 2006 | 5.59 |
March 2006 | 5.93 |
April 2006 | 6.16 |
May 2006 | 6.12 |
June 2006 | 6.21 |
July 2006 | 6.59 |
August 2006 | 6.63 |
September 2006 | 6.67 |
October 2006 | 6.67 |
November 2006 | 6.60 |
December 2006 | 6.56 |
January 2007 | 6.73 |
February 2007 | 7.28 |
March 2007 | 7.82 |
April 2007 | 7.75 |
May 2007 | 7.58 |
* Relative to three-month moving average of sales. Return to text
As shown in the chart, during the forecast period, inventory declines to about 6.6 by June 2007, grows slightly to about 6.7 by July 2007, then declines steadily to about 4.5 by the end of 2008.
Bottom-left panel
Sales
A line chart shows the path of sales of existing and new homes since 1999. Each line shows a similar path, with a rise to a peak in summer 2005, before decreasing, at times sharply, by June 2007. New homes sales begin around 880,000 in 1999, peak at 1.39 million in July 2005, and fall to 790,000 by June 2007. Existing home sales were 4.68 million in January 1999, peak at 6.34 million in September 2005, and are back to around 5 million in June 2007. Sales are expected to move a little lower over the next few months, but then stabilize and begin to edge up by year-end 2007 and through 2008.
Bottom-right panel
Estimated Valuation Errors For Single-Family Homes*
A line chart shows the estimated error, according to a staff model, of valuation going back to the late 1970s. Overvaluation of single-family housing prices was close to 10 percent in 1980 before falling to a 4 percent undervaluation in 1985. The path moved upward to a slight overvaluation (3.86 percent) in 1989, then fell and remained in the negative from the end of 1990 to 1999:Q2. Overvaluation returned, with a sharp rise throughout the decade, to a peak of around 27 percent in 2006.
* Deviation of log price-rent ratio from a linear trend, estimated over 1975:Q1-2003:Q3. Return to text
Exhibit 3
Business Fixed Investment
Top-left panel
Sales of Medium and Heavy Trucks
Period | Sales | Forecast |
---|---|---|
1999:Q1 | 511.24 | ND |
1999:Q2 | 506.97 | ND |
1999:Q3 | 527.50 | ND |
1999:Q4 | 539.25 | ND |
2000:Q1 | 521.71 | ND |
2000:Q2 | 499.92 | ND |
2000:Q3 | 437.09 | ND |
2000:Q4 | 383.34 | ND |
2001:Q1 | 391.23 | ND |
2001:Q2 | 358.26 | ND |
2001:Q3 | 328.12 | ND |
2001:Q4 | 321.73 | ND |
2002:Q1 | 304.16 | ND |
2002:Q2 | 323.81 | ND |
2002:Q3 | 337.72 | ND |
2002:Q4 | 322.80 | ND |
2003:Q1 | 288.17 | ND |
2003:Q2 | 311.66 | ND |
2003:Q3 | 340.92 | ND |
2003:Q4 | 370.44 | ND |
2004:Q1 | 399.39 | ND |
2004:Q2 | 402.07 | ND |
2004:Q3 | 439.74 | ND |
2004:Q4 | 478.79 | ND |
2005:Q1 | 493.03 | ND |
2005:Q2 | 482.00 | ND |
2005:Q3 | 503.16 | ND |
2005:Q4 | 512.83 | ND |
2006:Q1 | 548.03 | ND |
2006:Q2 | 534.10 | ND |
2006:Q3 | 533.23 | ND |
2006:Q4 | 566.72 | ND |
2007:Q1 | 469.65 | ND |
2007:Q2 | ND | 354.07 |
2007:Q3 | ND | 353.33 |
2007:Q4 | ND | 365.00 |
2008:Q1 | ND | 370.00 |
2008:Q2 | ND | 385.00 |
2008:Q3 | ND | 395.00 |
2008:Q4 | ND | 405.00 |
Top-right panel
Orders and Shipments of Nondefense Capital Goods Excluding Aircraft
Period | Orders | Shipments |
---|---|---|
January 1999 | 56.81 | 57.08 |
February 1999 | 58.72 | 58.44 |
March 1999 | 60.12 | 58.59 |
April 1999 | 58.56 | 57.95 |
May 1999 | 60.20 | 59.46 |
June 1999 | 58.94 | 60.31 |
July 1999 | 61.80 | 60.52 |
August 1999 | 61.60 | 60.20 |
September 1999 | 63.74 | 60.78 |
October 1999 | 61.09 | 60.33 |
November 1999 | 61.74 | 59.70 |
December 1999 | 65.39 | 59.93 |
January 2000 | 64.27 | 61.86 |
February 2000 | 58.39 | 59.43 |
March 2000 | 63.36 | 62.27 |
April 2000 | 64.42 | 63.30 |
May 2000 | 63.88 | 63.04 |
June 2000 | 68.41 | 63.35 |
July 2000 | 64.18 | 63.19 |
August 2000 | 64.57 | 63.35 |
September 2000 | 66.18 | 64.80 |
October 2000 | 63.46 | 63.77 |
November 2000 | 62.92 | 63.32 |
December 2000 | 61.95 | 63.96 |
January 2001 | 62.09 | 62.40 |
February 2001 | 60.98 | 61.78 |
March 2001 | 58.59 | 61.06 |
April 2001 | 55.29 | 58.00 |
May 2001 | 58.03 | 58.08 |
June 2001 | 55.70 | 57.24 |
July 2001 | 54.23 | 55.47 |
August 2001 | 55.05 | 55.24 |
September 2001 | 50.99 | 53.47 |
October 2001 | 50.16 | 52.93 |
November 2001 | 52.20 | 51.40 |
December 2001 | 52.36 | 52.57 |
January 2002 | 46.46 | 50.37 |
February 2002 | 49.54 | 51.39 |
March 2002 | 46.84 | 51.24 |
April 2002 | 48.80 | 50.24 |
May 2002 | 51.14 | 51.99 |
June 2002 | 48.11 | 51.49 |
July 2002 | 49.22 | 50.81 |
August 2002 | 50.44 | 51.63 |
September 2002 | 47.76 | 51.45 |
October 2002 | 48.75 | 50.37 |
November 2002 | 48.82 | 50.59 |
December 2002 | 48.20 | 49.70 |
January 2003 | 48.87 | 49.25 |
February 2003 | 49.01 | 49.07 |
March 2003 | 51.92 | 49.73 |
April 2003 | 49.32 | 49.20 |
May 2003 | 51.07 | 49.60 |
June 2003 | 50.16 | 50.15 |
July 2003 | 49.76 | 50.33 |
August 2003 | 50.04 | 49.15 |
September 2003 | 52.13 | 51.29 |
October 2003 | 51.74 | 50.94 |
November 2003 | 52.11 | 51.03 |
December 2003 | 53.12 | 51.12 |
January 2004 | 48.61 | 50.05 |
February 2004 | 49.59 | 49.46 |
March 2004 | 54.31 | 51.68 |
April 2004 | 51.18 | 51.77 |
May 2004 | 51.51 | 50.82 |
June 2004 | 52.06 | 52.34 |
July 2004 | 52.57 | 52.67 |
August 2004 | 51.12 | 52.66 |
September 2004 | 55.87 | 53.87 |
October 2004 | 52.74 | 53.96 |
November 2004 | 53.75 | 53.32 |
December 2004 | 55.44 | 54.79 |
January 2005 | 57.78 | 56.53 |
February 2005 | 56.98 | 55.65 |
March 2005 | 56.58 | 55.94 |
April 2005 | 56.90 | 55.70 |
May 2005 | 56.70 | 56.55 |
June 2005 | 59.04 | 56.96 |
July 2005 | 56.97 | 56.29 |
August 2005 | 59.22 | 57.22 |
September 2005 | 59.28 | 58.11 |
October 2005 | 59.21 | 58.26 |
November 2005 | 59.07 | 58.58 |
December 2005 | 60.54 | 59.80 |
January 2006 | 61.99 | 60.20 |
February 2006 | 61.31 | 59.79 |
March 2006 | 63.85 | 61.07 |
April 2006 | 61.95 | 60.94 |
May 2006 | 62.74 | 61.06 |
June 2006 | 63.25 | 61.06 |
July 2006 | 63.29 | 61.25 |
August 2006 | 63.15 | 61.79 |
September 2006 | 66.21 | 61.31 |
October 2006 | 63.49 | 60.58 |
November 2006 | 62.87 | 61.08 |
December 2006 | 63.41 | 61.19 |
January 2007 | 60.60 | 58.65 |
February 2007 | 59.13 | 58.99 |
March 2007 | 61.86 | 59.92 |
April 2007 | 63.26 | 60.48 |
May 2007 | 61.36 | 60.34 |
Middle-left panel
Indicators of Business Conditions
Period | Philadelphia Fed | ISM |
---|---|---|
January 1999 | 18.6 | 52.4 |
February 1999 | 17.1 | 55.0 |
March 1999 | 19.5 | 55.9 |
April 1999 | 18.3 | 54.0 |
May 1999 | 19.0 | 57.8 |
June 1999 | 14.5 | 59.4 |
July 1999 | 10.9 | 54.6 |
August 1999 | 17.4 | 57.5 |
September 1999 | 10.2 | 63.5 |
October 1999 | 28.8 | 61.3 |
November 1999 | 20.1 | 63.1 |
December 1999 | 16.6 | 60.3 |
January 2000 | 4.4 | 60.4 |
February 2000 | 9.8 | 58.9 |
March 2000 | 16.9 | 56.2 |
April 2000 | 15.7 | 55.4 |
May 2000 | 14.2 | 51.5 |
June 2000 | 7.6 | 50.0 |
July 2000 | 7.8 | 52.0 |
August 2000 | 14.3 | 50.0 |
September 2000 | 13.8 | 48.9 |
October 2000 | 3.8 | 48.4 |
November 2000 | 2.6 | 49.1 |
December 2000 | 3.6 | 42.1 |
January 2001 | -28.9 | 38.4 |
February 2001 | -19.5 | 39.9 |
March 2001 | -5.9 | 41.5 |
April 2001 | -7.8 | 45.5 |
May 2001 | -6.2 | 44.9 |
June 2001 | -7.6 | 47.8 |
July 2001 | -5.4 | 49.2 |
August 2001 | -17.2 | 54.3 |
September 2001 | -0.3 | 51.3 |
October 2001 | -10.8 | 38.9 |
November 2001 | -18.4 | 49.1 |
December 2001 | -6.4 | 51.4 |
January 2002 | 8.3 | 55.2 |
February 2002 | 7.8 | 60.7 |
March 2002 | 8.6 | 63.8 |
April 2002 | 12.1 | 59.9 |
May 2002 | 12.1 | 61.8 |
June 2002 | 21.9 | 61.2 |
July 2002 | 7.0 | 51.9 |
August 2002 | 2.9 | 50.6 |
September 2002 | 5.1 | 52.9 |
October 2002 | 2.4 | 52.1 |
November 2002 | 10.1 | 49.9 |
December 2002 | 6.7 | 58.7 |
January 2003 | 10.4 | 58.2 |
February 2003 | 8.8 | 51.9 |
March 2003 | -0.4 | 47.2 |
April 2003 | -9.0 | 47.2 |
May 2003 | 1.5 | 53.4 |
June 2003 | 4.2 | 53.6 |
July 2003 | 11.4 | 56.8 |
August 2003 | 17.1 | 61.1 |
September 2003 | 20.6 | 60.8 |
October 2003 | 26.8 | 64.4 |
November 2003 | 22.3 | 69.1 |
December 2003 | 33.4 | 71.3 |
January 2004 | 33.0 | 70.0 |
February 2004 | 26.3 | 66.4 |
March 2004 | 26.0 | 65.9 |
April 2004 | 25.4 | 67.4 |
May 2004 | 23.1 | 64.5 |
June 2004 | 28.5 | 61.3 |
July 2004 | 36.2 | 63.0 |
August 2004 | 19.2 | 61.9 |
September 2004 | 28.0 | 57.7 |
October 2004 | 20.2 | 58.1 |
November 2004 | 21.0 | 59.8 |
December 2004 | 20.7 | 65.6 |
January 2005 | 10.3 | 57.1 |
February 2005 | 12.3 | 55.2 |
March 2005 | 15.3 | 57.5 |
April 2005 | 19.3 | 54.9 |
May 2005 | 16.5 | 52.8 |
June 2005 | 4.8 | 56.7 |
July 2005 | 7.2 | 59.5 |
August 2005 | 15.0 | 56.3 |
September 2005 | 1.3 | 61.0 |
October 2005 | 19.8 | 60.1 |
November 2005 | 13.2 | 59.4 |
December 2005 | 7.3 | 58.6 |
January 2006 | 11.5 | 57.9 |
February 2006 | 12.9 | 60.5 |
March 2006 | 21.1 | 58.4 |
April 2006 | 12.0 | 57.6 |
May 2006 | 3.5 | 54.8 |
June 2006 | 17.2 | 57.4 |
July 2006 | 9.9 | 55.6 |
August 2006 | 12.8 | 54.6 |
September 2006 | 0.2 | 54.2 |
October 2006 | 10.7 | 52.1 |
November 2006 | -1.1 | 49.7 |
December 2006 | -0.9 | 51.9 |
January 2007 | 1.3 | 50.3 |
February 2007 | -0.5 | 54.9 |
March 2007 | 1.9 | 51.6 |
April 2007 | 2.8 | 58.5 |
May 2007 | 8.7 | 59.6 |
June 2007 | 18.3 | ND |
Middle-right panel
Outlook for Real E&S
2007 | 2008 | ||
---|---|---|---|
H1 | H2 | ||
Total | 1.3 | 4.6 | 5.7 |
contributions | |||
Motor vehicles | -4.1 | .2 | .8 |
Aircraft | 1.2 | .2 | .1 |
High-tech | 5.1 | 3.4 | 3.8 |
Other | -.9 | .9 | 1.0 |
* 2008 is Q4/Q4; half years are either Q4/Q2 or Q2/Q4. Contributions for 2007:H2 do not add to total due to rounding. Return to table
Bottom-left panel
Real Business Output
Period | Real Business Output | Forecast |
---|---|---|
1999:Q1 | 4.93 | ND |
1999:Q2 | 5.13 | ND |
1999:Q3 | 5.22 | ND |
1999:Q4 | 5.35 | ND |
2000:Q1 | 4.36 | ND |
2000:Q2 | 5.30 | ND |
2000:Q3 | 3.64 | ND |
2000:Q4 | 2.13 | ND |
2001:Q1 | 1.87 | ND |
2001:Q2 | 0.35 | ND |
2001:Q3 | -0.17 | ND |
2001:Q4 | -0.42 | ND |
2002:Q1 | 0.73 | ND |
2002:Q2 | 0.77 | ND |
2002:Q3 | 2.30 | ND |
2002:Q4 | 2.04 | ND |
2003:Q1 | 1.47 | ND |
2003:Q2 | 2.20 | ND |
2003:Q3 | 4.10 | ND |
2003:Q4 | 4.48 | ND |
2004:Q1 | 5.09 | ND |
2004:Q2 | 5.31 | ND |
2004:Q3 | 3.41 | ND |
2004:Q4 | 3.60 | ND |
2005:Q1 | 3.76 | ND |
2005:Q2 | 3.57 | ND |
2005:Q3 | 3.98 | ND |
2005:Q4 | 3.81 | ND |
2006:Q1 | 4.41 | ND |
2006:Q2 | 3.98 | ND |
2006:Q3 | 3.24 | ND |
2006:Q4 | 3.53 | ND |
2007:Q1 | 2.15 | ND |
2007:Q2 | ND | 2.33 |
2007:Q3 | ND | 2.56 |
2007:Q4 | ND | 2.43 |
2008:Q1 | ND | 2.88 |
2008:Q2 | ND | 2.73 |
2008:Q3 | ND | 2.75 |
2008:Q4 | ND | 2.88 |
Bottom-right panel
User Cost of Capital
Period | Non-high-tech | Non-high-tech Forecast | High-tech | High-tech Forecast |
---|---|---|---|---|
1999:Q1 | 1.77 | ND | -6.73 | ND |
1999:Q2 | 2.69 | ND | -5.20 | ND |
1999:Q3 | 4.60 | ND | -3.56 | ND |
1999:Q4 | 4.16 | ND | -3.32 | ND |
2000:Q1 | 2.11 | ND | -3.77 | ND |
2000:Q2 | 1.53 | ND | -3.97 | ND |
2000:Q3 | -1.25 | ND | -5.59 | ND |
2000:Q4 | -2.71 | ND | -6.58 | ND |
2001:Q1 | -4.65 | ND | -9.26 | ND |
2001:Q2 | -5.75 | ND | -11.04 | ND |
2001:Q3 | -4.79 | ND | -11.50 | ND |
2001:Q4 | -6.51 | ND | -12.94 | ND |
2002:Q1 | -3.39 | ND | -10.69 | ND |
2002:Q2 | -3.29 | ND | -10.10 | ND |
2002:Q3 | -4.77 | ND | -10.12 | ND |
2002:Q4 | -2.11 | ND | -8.58 | ND |
2003:Q1 | -5.75 | ND | -11.26 | ND |
2003:Q2 | -8.86 | ND | -12.82 | ND |
2003:Q3 | -6.39 | ND | -12.62 | ND |
2003:Q4 | -6.46 | ND | -13.05 | ND |
2004:Q1 | -6.71 | ND | -11.66 | ND |
2004:Q2 | -2.59 | ND | -9.39 | ND |
2004:Q3 | -4.72 | ND | -8.77 | ND |
2004:Q4 | -3.88 | ND | -6.50 | ND |
2005:Q1 | -1.78 | ND | -5.63 | ND |
2005:Q2 | -2.81 | ND | -5.72 | ND |
2005:Q3 | -2.30 | ND | -5.28 | ND |
2005:Q4 | -2.06 | ND | -5.67 | ND |
2006:Q1 | -0.94 | ND | -6.08 | ND |
2006:Q2 | 1.33 | ND | -5.37 | ND |
2006:Q3 | 1.26 | ND | -6.11 | ND |
2006:Q4 | -0.05 | ND | -7.35 | ND |
2007:Q1 | -0.05 | ND | -6.34 | ND |
2007:Q2 | ND | -1.51 | ND | -6.86 |
2007:Q3 | ND | 1.42 | ND | -5.13 |
2007:Q4 | ND | 1.79 | ND | -4.44 |
2008:Q1 | ND | 2.30 | ND | -4.67 |
2008:Q2 | ND | 1.43 | ND | -4.87 |
2008:Q3 | ND | -0.48 | ND | -6.05 |
2008:Q4 | ND | -0.53 | ND | -6.51 |
Exhibit 4
Inflation (Part 1)
Top-left panel
PCE Total
Period | PCE Total | Jan. GB | June Forecast |
---|---|---|---|
2001:Q1 | 2.22 | ND | ND |
2001:Q2 | 2.37 | ND | ND |
2001:Q3 | 2.05 | ND | ND |
2001:Q4 | 1.74 | ND | ND |
2002:Q1 | 1.15 | ND | ND |
2002:Q2 | 1.21 | ND | ND |
2002:Q3 | 1.52 | ND | ND |
2002:Q4 | 1.79 | ND | ND |
2003:Q1 | 2.32 | ND | ND |
2003:Q2 | 1.79 | ND | ND |
2003:Q3 | 1.94 | ND | ND |
2003:Q4 | 1.89 | ND | ND |
2004:Q1 | 2.04 | ND | ND |
2004:Q2 | 2.77 | ND | ND |
2004:Q3 | 2.65 | ND | ND |
2004:Q4 | 3.04 | ND | ND |
2005:Q1 | 2.69 | ND | ND |
2005:Q2 | 2.58 | ND | ND |
2005:Q3 | 3.14 | ND | ND |
2005:Q4 | 3.10 | ND | ND |
2006:Q1 | 3.05 | ND | ND |
2006:Q2 | 3.27 | ND | ND |
2006:Q3 | 2.83 | ND | ND |
2006:Q4 | 1.85 | 1.90 | ND |
2007:Q1 | 2.21 | 1.87 | ND |
2007:Q2 | ND | 1.47 | 2.29 |
2007:Q3 | ND | 1.49 | 2.16 |
2007:Q4 | ND | 2.24 | 2.89 |
2008:Q1 | ND | 2.30 | 2.53 |
2008:Q2 | ND | 2.22 | 1.95 |
2008:Q3 | ND | 2.12 | 2.00 |
2008:Q4 | ND | 2.05 | 2.01 |
Top-right panel
PCE Food Prices
Period | PCE Food Prices | Jan. GB | June Forecast |
---|---|---|---|
2001:Q1 | 2.82 | ND | ND |
2001:Q2 | 2.92 | ND | ND |
2001:Q3 | 2.99 | ND | ND |
2001:Q4 | 3.13 | ND | ND |
2002:Q1 | 2.72 | ND | ND |
2002:Q2 | 2.16 | ND | ND |
2002:Q3 | 1.45 | ND | ND |
2002:Q4 | 1.22 | ND | ND |
2003:Q1 | 1.21 | ND | ND |
2003:Q2 | 1.62 | ND | ND |
2003:Q3 | 2.13 | ND | ND |
2003:Q4 | 2.72 | ND | ND |
2004:Q1 | 2.96 | ND | ND |
2004:Q2 | 3.33 | ND | ND |
2004:Q3 | 3.26 | ND | ND |
2004:Q4 | 2.83 | ND | ND |
2005:Q1 | 2.41 | ND | ND |
2005:Q2 | 2.39 | ND | ND |
2005:Q3 | 2.13 | ND | ND |
2005:Q4 | 2.21 | ND | ND |
2006:Q1 | 2.55 | ND | ND |
2006:Q2 | 1.99 | ND | ND |
2006:Q3 | 2.40 | ND | ND |
2006:Q4 | 2.33 | 2.31 | ND |
2007:Q1 | 2.90 | 2.60 | ND |
2007:Q2 | ND | 2.99 | 3.62 |
2007:Q3 | ND | 2.86 | 3.51 |
2007:Q4 | ND | 2.97 | 3.60 |
2008:Q1 | ND | 2.62 | 2.96 |
2008:Q2 | ND | 2.39 | 2.42 |
2008:Q3 | ND | 2.28 | 2.29 |
2008:Q4 | ND | 2.21 | 2.22 |
Middle-left panel
PCE Energy Prices
Period | PCE Energy Prices | Jan. GB | June Forecast |
---|---|---|---|
2001:Q1 | 10.91 | ND | ND |
2001:Q2 | 10.34 | ND | ND |
2001:Q3 | 1.13 | ND | ND |
2001:Q4 | -9.94 | ND | ND |
2002:Q1 | -14.12 | ND | ND |
2002:Q2 | -10.54 | ND | ND |
2002:Q3 | -4.89 | ND | ND |
2002:Q4 | 7.67 | ND | ND |
2003:Q1 | 21.22 | ND | ND |
2003:Q2 | 9.81 | ND | ND |
2003:Q3 | 12.11 | ND | ND |
2003:Q4 | 7.62 | ND | ND |
2004:Q1 | 4.07 | ND | ND |
2004:Q2 | 13.15 | ND | ND |
2004:Q3 | 10.99 | ND | ND |
2004:Q4 | 17.81 | ND | ND |
2005:Q1 | 11.50 | ND | ND |
2005:Q2 | 11.55 | ND | ND |
2005:Q3 | 23.63 | ND | ND |
2005:Q4 | 21.20 | ND | ND |
2006:Q1 | 20.34 | ND | ND |
2006:Q2 | 22.17 | ND | ND |
2006:Q3 | 10.25 | ND | ND |
2006:Q4 | -3.67 | -3.91 | ND |
2007:Q1 | -0.03 | -5.32 | ND |
2007:Q2 | ND | -10.59 | 4.17 |
2007:Q3 | ND | -10.07 | 2.22 |
2007:Q4 | ND | 1.79 | 13.50 |
2008:Q1 | ND | 4.10 | 9.59 |
2008:Q2 | ND | 3.89 | -1.07 |
2008:Q3 | ND | 2.84 | 0.24 |
2008:Q4 | ND | 2.20 | 1.19 |
Middle-right panel
PCE Core Prices
Period | PCE Core Prices | Jan. GB | June Forecast |
---|---|---|---|
2001:Q1 | 1.62 | ND | ND |
2001:Q2 | 1.82 | ND | ND |
2001:Q3 | 1.95 | ND | ND |
2001:Q4 | 2.22 | ND | ND |
2002:Q1 | 1.84 | ND | ND |
2002:Q2 | 1.79 | ND | ND |
2002:Q3 | 1.89 | ND | ND |
2002:Q4 | 1.55 | ND | ND |
2003:Q1 | 1.51 | ND | ND |
2003:Q2 | 1.37 | ND | ND |
2003:Q3 | 1.35 | ND | ND |
2003:Q4 | 1.44 | ND | ND |
2004:Q1 | 1.78 | ND | ND |
2004:Q2 | 2.08 | ND | ND |
2004:Q3 | 2.05 | ND | ND |
2004:Q4 | 2.22 | ND | ND |
2005:Q1 | 2.19 | ND | ND |
2005:Q2 | 2.05 | ND | ND |
2005:Q3 | 2.03 | ND | ND |
2005:Q4 | 2.10 | ND | ND |
2006:Q1 | 2.02 | ND | ND |
2006:Q2 | 2.23 | ND | ND |
2006:Q3 | 2.37 | ND | ND |
2006:Q4 | 2.19 | 2.27 | ND |
2007:Q1 | 2.27 | 2.30 | ND |
2007:Q2 | ND | 2.17 | 1.93 |
2007:Q3 | ND | 2.17 | 1.93 |
2007:Q4 | ND | 2.16 | 2.02 |
2008:Q1 | ND | 2.13 | 1.94 |
2008:Q2 | ND | 2.08 | 2.12 |
2008:Q3 | ND | 2.04 | 2.09 |
2008:Q4 | ND | 2.02 | 2.05 |
Bottom-left panel
Non-Market-Based PCE Prices
Jan. GB | June GB | Difference | ||
---|---|---|---|---|
2007: | Q1 | 3.2 | 2.3 | -.9 |
Q2 | 3.5 | 2.6 | -.9 | |
H2 | 3.5 | 3.4 | -.1 |
Bottom-right panel
Tenants' Rent and OER
Period | Tenants' rent | OER | Difference |
---|---|---|---|
January 2001 | 4.15 | 3.43 | -0.71 |
February 2001 | 4.35 | 3.63 | -0.72 |
March 2001 | 4.56 | 4.03 | -0.53 |
April 2001 | 4.76 | 4.22 | -0.54 |
May 2001 | 5.19 | 4.61 | -0.57 |
June 2001 | 4.94 | 4.60 | -0.35 |
July 2001 | 4.93 | 4.38 | -0.55 |
August 2001 | 4.47 | 4.56 | 0.09 |
September 2001 | 4.67 | 4.34 | -0.32 |
October 2001 | 4.65 | 4.93 | 0.28 |
November 2001 | 4.63 | 4.91 | 0.28 |
December 2001 | 4.61 | 5.09 | 0.48 |
January 2002 | 4.38 | 4.67 | 0.29 |
February 2002 | 4.37 | 4.06 | -0.31 |
March 2002 | 3.93 | 3.85 | -0.08 |
April 2002 | 3.50 | 3.84 | 0.34 |
May 2002 | 2.87 | 3.63 | 0.77 |
June 2002 | 2.86 | 3.43 | 0.57 |
July 2002 | 3.06 | 3.22 | 0.17 |
August 2002 | 2.85 | 3.03 | 0.18 |
September 2002 | 2.63 | 3.21 | 0.58 |
October 2002 | 2.63 | 3.01 | 0.38 |
November 2002 | 3.23 | 3.19 | -0.04 |
December 2002 | 3.23 | 2.80 | -0.42 |
January 2003 | 3.63 | 2.99 | -0.64 |
February 2003 | 3.21 | 2.60 | -0.60 |
March 2003 | 3.20 | 2.22 | -0.98 |
April 2003 | 2.79 | 1.29 | -1.50 |
May 2003 | 2.98 | 1.29 | -1.69 |
June 2003 | 2.57 | 0.73 | -1.84 |
July 2003 | 2.57 | 1.47 | -1.10 |
August 2003 | 2.36 | 1.65 | -0.71 |
September 2003 | 2.76 | 2.58 | -0.18 |
October 2003 | 2.16 | 2.76 | 0.60 |
November 2003 | 2.35 | 2.94 | 0.59 |
December 2003 | 2.15 | 2.56 | 0.42 |
January 2004 | 2.54 | 2.00 | -0.53 |
February 2004 | 2.53 | 1.82 | -0.72 |
March 2004 | 2.53 | 2.18 | -0.35 |
April 2004 | 2.91 | 2.91 | 0.00 |
May 2004 | 3.10 | 2.90 | -0.20 |
June 2004 | 3.49 | 2.90 | -0.59 |
July 2004 | 3.28 | 2.16 | -1.12 |
August 2004 | 3.27 | 2.34 | -0.94 |
September 2004 | 2.88 | 2.15 | -0.72 |
October 2004 | 2.68 | 2.15 | -0.53 |
November 2004 | 2.09 | 1.78 | -0.31 |
December 2004 | 2.66 | 1.78 | -0.88 |
January 2005 | 3.04 | 2.32 | -0.72 |
February 2005 | 3.42 | 2.85 | -0.57 |
March 2005 | 3.03 | 2.85 | -0.18 |
April 2005 | 3.02 | 2.48 | -0.54 |
May 2005 | 3.01 | 2.12 | -0.89 |
June 2005 | 3.00 | 1.94 | -1.07 |
July 2005 | 3.19 | 2.11 | -1.07 |
August 2005 | 2.80 | 2.11 | -0.69 |
September 2005 | 2.98 | 2.46 | -0.52 |
October 2005 | 2.97 | 2.28 | -0.70 |
November 2005 | 3.53 | 2.45 | -1.08 |
December 2005 | 3.33 | 2.80 | -0.54 |
January 2006 | 2.76 | 2.97 | 0.20 |
February 2006 | 2.94 | 3.49 | 0.55 |
March 2006 | 3.31 | 3.66 | 0.35 |
April 2006 | 3.86 | 4.53 | 0.67 |
May 2006 | 4.03 | 4.87 | 0.84 |
June 2006 | 4.39 | 5.38 | 0.99 |
July 2006 | 4.56 | 5.01 | 0.45 |
August 2006 | 4.55 | 4.64 | 0.09 |
September 2006 | 4.53 | 4.10 | -0.43 |
October 2006 | 4.69 | 4.08 | -0.61 |
November 2006 | 4.68 | 4.24 | -0.44 |
December 2006 | 4.84 | 4.05 | -0.79 |
January 2007 | 4.77 | 3.49 | -1.27 |
February 2007 | 5.06 | 3.16 | -1.91 |
March 2007 | 4.67 | 3.08 | -1.59 |
April 2007 | 4.10 | 2.99 | -1.11 |
May 2007 | 3.52 | 2.13 | -1.39 |
Exhibit 5
Inflation (Part 2)
Top-left panel
Have Inflation Expectations Drifted Up?
- Have inflation expectations moved above levels that were typical from mid-1996 to mid-2004?
- During that period, core PCE inflation was mostly between 1 percent and 2 percent.
- Answer varies by series.
Top-right panel
Reuters/Michigan Inflation Expectations, Next 12 Months
Period | Percent |
---|---|
January 1995 | 3.0 |
February 1995 | 3.0 |
March 1995 | 3.2 |
April 1995 | 3.3 |
May 1995 | 3.0 |
June 1995 | 2.9 |
July 1995 | 2.9 |
August 1995 | 2.9 |
September 1995 | 2.8 |
October 1995 | 2.9 |
November 1995 | 2.8 |
December 1995 | 2.7 |
January 1996 | 2.8 |
February 1996 | 2.8 |
March 1996 | 2.9 |
April 1996 | 3.0 |
May 1996 | 3.1 |
June 1996 | 2.9 |
July 1996 | 3.0 |
August 1996 | 3.1 |
September 1996 | 3.2 |
October 1996 | 3.0 |
November 1996 | 3.0 |
December 1996 | 3.0 |
January 1997 | 3.0 |
February 1997 | 3.0 |
March 1997 | 2.8 |
April 1997 | 3.0 |
May 1997 | 2.9 |
June 1997 | 2.8 |
July 1997 | 2.7 |
August 1997 | 2.7 |
September 1997 | 2.8 |
October 1997 | 2.8 |
November 1997 | 2.9 |
December 1997 | 2.8 |
January 1998 | 2.3 |
February 1998 | 2.4 |
March 1998 | 2.5 |
April 1998 | 2.4 |
May 1998 | 2.6 |
June 1998 | 2.7 |
July 1998 | 2.6 |
August 1998 | 2.4 |
September 1998 | 2.3 |
October 1998 | 2.5 |
November 1998 | 2.3 |
December 1998 | 2.5 |
January 1999 | 2.7 |
February 1999 | 2.5 |
March 1999 | 2.7 |
April 1999 | 2.7 |
May 1999 | 2.8 |
June 1999 | 2.5 |
July 1999 | 2.7 |
August 1999 | 2.8 |
September 1999 | 2.7 |
October 1999 | 2.9 |
November 1999 | 2.9 |
December 1999 | 3.0 |
January 2000 | 3.0 |
February 2000 | 2.9 |
March 2000 | 3.2 |
April 2000 | 3.2 |
May 2000 | 3.0 |
June 2000 | 2.9 |
July 2000 | 3.0 |
August 2000 | 2.7 |
September 2000 | 2.9 |
October 2000 | 3.2 |
November 2000 | 2.9 |
December 2000 | 2.8 |
January 2001 | 3.0 |
February 2001 | 2.8 |
March 2001 | 2.8 |
April 2001 | 3.1 |
May 2001 | 3.2 |
June 2001 | 3.0 |
July 2001 | 2.6 |
August 2001 | 2.7 |
September 2001 | 2.8 |
October 2001 | 1.0 |
November 2001 | 0.4 |
December 2001 | 1.8 |
January 2002 | 1.9 |
February 2002 | 2.1 |
March 2002 | 2.7 |
April 2002 | 2.8 |
May 2002 | 2.7 |
June 2002 | 2.7 |
July 2002 | 2.6 |
August 2002 | 2.6 |
September 2002 | 2.5 |
October 2002 | 2.5 |
November 2002 | 2.4 |
December 2002 | 2.5 |
January 2003 | 2.5 |
February 2003 | 2.7 |
March 2003 | 3.1 |
April 2003 | 2.4 |
May 2003 | 2.0 |
June 2003 | 2.1 |
July 2003 | 1.7 |
August 2003 | 2.5 |
September 2003 | 2.8 |
October 2003 | 2.6 |
November 2003 | 2.7 |
December 2003 | 2.6 |
January 2004 | 2.7 |
February 2004 | 2.6 |
March 2004 | 2.9 |
April 2004 | 3.2 |
May 2004 | 3.3 |
June 2004 | 3.3 |
July 2004 | 3.0 |
August 2004 | 2.8 |
September 2004 | 2.8 |
October 2004 | 3.1 |
November 2004 | 2.8 |
December 2004 | 3.0 |
January 2005 | 2.9 |
February 2005 | 2.9 |
March 2005 | 3.2 |
April 2005 | 3.3 |
May 2005 | 3.2 |
June 2005 | 3.2 |
July 2005 | 3.0 |
August 2005 | 3.1 |
September 2005 | 4.3 |
October 2005 | 4.6 |
November 2005 | 3.3 |
December 2005 | 3.1 |
January 2006 | 3.0 |
February 2006 | 3.0 |
March 2006 | 3.0 |
April 2006 | 3.3 |
May 2006 | 4.0 |
June 2006 | 3.3 |
July 2006 | 3.2 |
August 2006 | 3.8 |
September 2006 | 3.1 |
October 2006 | 3.1 |
November 2006 | 3.0 |
December 2006 | 2.9 |
January 2007 | 3.0 |
February 2007 | 3.0 |
March 2007 | 3.0 |
April 2007 | 3.3 |
May 2007 | 3.3 |
June 2007 | 3.5 |
Note: Ranges defined using data from mid-1996 to mid-2004. 50% range: 2.5-2.9, 80% range: 2.3-3.1
Middle-left panel
Reuters/Michigan Inflation Expectations, Next 5-10 Years
Period | Percent |
---|---|
January 1995 | 3.2 |
February 1995 | 3.2 |
March 1995 | 3.3 |
April 1995 | 3.5 |
May 1995 | 3.2 |
June 1995 | 3.1 |
July 1995 | 3.2 |
August 1995 | 3.1 |
September 1995 | 3.1 |
October 1995 | 3.2 |
November 1995 | 3.1 |
December 1995 | 3.1 |
January 1996 | 3.2 |
February 1996 | 3.3 |
March 1996 | 3.2 |
April 1996 | 3.0 |
May 1996 | 3.3 |
June 1996 | 3.1 |
July 1996 | 3.2 |
August 1996 | 3.3 |
September 1996 | 3.2 |
October 1996 | 3.0 |
November 1996 | 3.0 |
December 1996 | 3.0 |
January 1997 | 3.2 |
February 1997 | 3.1 |
March 1997 | 3.0 |
April 1997 | 2.9 |
May 1997 | 3.0 |
June 1997 | 3.1 |
July 1997 | 2.9 |
August 1997 | 3.0 |
September 1997 | 3.1 |
October 1997 | 3.0 |
November 1997 | 3.1 |
December 1997 | 3.1 |
January 1998 | 2.9 |
February 1998 | 2.9 |
March 1998 | 2.8 |
April 1998 | 2.7 |
May 1998 | 2.8 |
June 1998 | 2.9 |
July 1998 | 2.7 |
August 1998 | 2.7 |
September 1998 | 2.9 |
October 1998 | 2.8 |
November 1998 | 2.8 |
December 1998 | 2.9 |
January 1999 | 3.0 |
February 1999 | 2.8 |
March 1999 | 2.7 |
April 1999 | 2.8 |
May 1999 | 2.9 |
June 1999 | 2.8 |
July 1999 | 2.9 |
August 1999 | 2.8 |
September 1999 | 2.9 |
October 1999 | 2.8 |
November 1999 | 2.9 |
December 1999 | 2.9 |
January 2000 | 3.0 |
February 2000 | 2.9 |
March 2000 | 3.1 |
April 2000 | 2.8 |
May 2000 | 2.9 |
June 2000 | 2.8 |
July 2000 | 2.8 |
August 2000 | 2.9 |
September 2000 | 3.0 |
October 2000 | 3.0 |
November 2000 | 2.9 |
December 2000 | 3.0 |
January 2001 | 2.9 |
February 2001 | 3.0 |
March 2001 | 3.0 |
April 2001 | 3.1 |
May 2001 | 3.0 |
June 2001 | 3.0 |
July 2001 | 2.9 |
August 2001 | 3.0 |
September 2001 | 2.9 |
October 2001 | 2.7 |
November 2001 | 2.8 |
December 2001 | 3.0 |
January 2002 | 2.7 |
February 2002 | 2.8 |
March 2002 | 2.8 |
April 2002 | 2.8 |
May 2002 | 3.0 |
June 2002 | 2.8 |
July 2002 | 2.8 |
August 2002 | 2.9 |
September 2002 | 2.5 |
October 2002 | 2.8 |
November 2002 | 2.8 |
December 2002 | 2.8 |
January 2003 | 2.7 |
February 2003 | 2.7 |
March 2003 | 2.8 |
April 2003 | 2.7 |
May 2003 | 2.8 |
June 2003 | 2.7 |
July 2003 | 2.7 |
August 2003 | 2.7 |
September 2003 | 2.7 |
October 2003 | 2.8 |
November 2003 | 2.7 |
December 2003 | 2.8 |
January 2004 | 2.8 |
February 2004 | 2.9 |
March 2004 | 2.9 |
April 2004 | 2.7 |
May 2004 | 2.8 |
June 2004 | 2.9 |
July 2004 | 2.8 |
August 2004 | 2.7 |
September 2004 | 2.8 |
October 2004 | 2.8 |
November 2004 | 2.7 |
December 2004 | 2.8 |
January 2005 | 2.7 |
February 2005 | 2.8 |
March 2005 | 2.9 |
April 2005 | 3.0 |
May 2005 | 2.9 |
June 2005 | 2.8 |
July 2005 | 2.9 |
August 2005 | 2.8 |
September 2005 | 3.1 |
October 2005 | 3.2 |
November 2005 | 3.0 |
December 2005 | 3.1 |
January 2006 | 2.9 |
February 2006 | 2.9 |
March 2006 | 2.9 |
April 2006 | 3.1 |
May 2006 | 3.2 |
June 2006 | 2.9 |
July 2006 | 2.9 |
August 2006 | 3.2 |
September 2006 | 3.0 |
October 2006 | 3.1 |
November 2006 | 3.0 |
December 2006 | 3.0 |
January 2007 | 3.0 |
February 2007 | 2.9 |
March 2007 | 2.9 |
April 2007 | 3.1 |
May 2007 | 3.1 |
June 2007 | 3.0 |
50% range: 2.8-3.0, 80% range: 2.7-3.1
Middle-right panel
SPF CPI Inflation Expectations, 1-Year Ahead
Period | Percent |
---|---|
1995:Q1 | 3.41 |
1995:Q2 | 3.52 |
1995:Q3 | 3.27 |
1995:Q4 | 2.95 |
1996:Q1 | 2.77 |
1996:Q2 | 2.87 |
1996:Q3 | 3.00 |
1996:Q4 | 3.02 |
1997:Q1 | 3.06 |
1997:Q2 | 3.00 |
1997:Q3 | 2.85 |
1997:Q4 | 2.60 |
1998:Q1 | 2.26 |
1998:Q2 | 2.45 |
1998:Q3 | 2.47 |
1998:Q4 | 2.31 |
1999:Q1 | 2.17 |
1999:Q2 | 2.20 |
1999:Q3 | 2.38 |
1999:Q4 | 2.52 |
2000:Q1 | 2.46 |
2000:Q2 | 2.61 |
2000:Q3 | 2.71 |
2000:Q4 | 2.67 |
2001:Q1 | 2.49 |
2001:Q2 | 2.51 |
2001:Q3 | 2.60 |
2001:Q4 | 2.15 |
2002:Q1 | 2.20 |
2002:Q2 | 2.35 |
2002:Q3 | 2.29 |
2002:Q4 | 2.19 |
2003:Q1 | 2.12 |
2003:Q2 | 2.09 |
2003:Q3 | 1.82 |
2003:Q4 | 2.12 |
2004:Q1 | 1.63 |
2004:Q2 | 2.13 |
2004:Q3 | 2.30 |
2004:Q4 | 2.26 |
2005:Q1 | 2.25 |
2005:Q2 | 2.37 |
2005:Q3 | 2.44 |
2005:Q4 | 2.39 |
2006:Q1 | 2.43 |
2006:Q2 | 2.39 |
2006:Q3 | 2.63 |
2006:Q4 | 2.62 |
2007:Q1 | 2.46 |
2007:Q2 | 2.43 |
Note: SPF is the Survey of Professional Forecasters, conducted by FRB Philadelphia.
50% range: 2.17-2.60, 80% range: 2.09-3.00
Bottom-left panel
Unemployment Rate
Period | Unemployment Rate | May GB | June Forecast |
---|---|---|---|
2003:Q1 | 5.90 | ND | ND |
2003:Q2 | 6.10 | ND | ND |
2003:Q3 | 6.10 | ND | ND |
2003:Q4 | 5.80 | ND | ND |
2004:Q1 | 5.70 | ND | ND |
2004:Q2 | 5.60 | ND | ND |
2004:Q3 | 5.40 | ND | ND |
2004:Q4 | 5.40 | ND | ND |
2005:Q1 | 5.30 | ND | ND |
2005:Q2 | 5.10 | ND | ND |
2005:Q3 | 5.00 | ND | ND |
2005:Q4 | 5.00 | ND | ND |
2006:Q1 | 4.70 | ND | ND |
2006:Q2 | 4.70 | ND | ND |
2006:Q3 | 4.70 | ND | ND |
2006:Q4 | 4.50 | ND | ND |
2007:Q1 | 4.49 | 4.49 | ND |
2007:Q2 | ND | 4.56 | 4.48 |
2007:Q3 | ND | 4.66 | 4.60 |
2007:Q4 | ND | 4.75 | 4.69 |
2008:Q1 | ND | 4.83 | 4.75 |
2008:Q2 | ND | 4.90 | 4.79 |
2008:Q3 | ND | 4.94 | 4.82 |
2008:Q4 | ND | 4.97 | 4.85 |
Staff NAIRU: 5.00
Bottom-right panel
PCE Price Projection
2007 | 2008 | ||
---|---|---|---|
1. | PCE price index | 2.9 | 2.0 |
2. | May GB | (2.9) | (2.1) |
3. | Core | 2.0 | 2.0 |
4. | May GB | (2.3) | (2.1) |
5. | Market based | 1.8 | 1.7 |
6. | May GB | (2.0) | (1.8) |
Exhibit 6
Corporate Earnings and Securities Prices
Top-left panel
Corporate Earnings Growth
Period | S&P 500 EPS | NIPA, economic profits before tax |
---|---|---|
1989:Q1 | 19.72 | 7.08 |
1989:Q2 | 7.68 | 0.14 |
1989:Q3 | -4.69 | -3.45 |
1989:Q4 | 0.64 | -8.41 |
1990:Q1 | -10.98 | -0.80 |
1990:Q2 | -1.93 | 6.94 |
1990:Q3 | 0.82 | 2.22 |
1990:Q4 | -4.15 | 2.19 |
1991:Q1 | -8.33 | 5.16 |
1991:Q2 | -15.15 | -1.83 |
1991:Q3 | -7.32 | 4.05 |
1991:Q4 | -10.00 | 5.17 |
1992:Q1 | 7.27 | 8.00 |
1992:Q2 | 14.29 | 10.08 |
1992:Q3 | 7.02 | -4.31 |
1992:Q4 | 15.74 | 11.07 |
1993:Q1 | 6.27 | 2.58 |
1993:Q2 | 8.12 | 8.38 |
1993:Q3 | 12.30 | 25.86 |
1993:Q4 | 17.92 | 17.03 |
1994:Q1 | 14.19 | 4.27 |
1994:Q2 | 13.87 | 11.35 |
1994:Q3 | 18.83 | 15.92 |
1994:Q4 | 20.62 | 11.11 |
1995:Q1 | 21.93 | 24.83 |
1995:Q2 | 21.45 | 14.53 |
1995:Q3 | 18.30 | 15.26 |
1995:Q4 | 10.69 | 11.15 |
1996:Q1 | 7.22 | 16.83 |
1996:Q2 | 8.46 | 14.19 |
1996:Q3 | 6.33 | 9.23 |
1996:Q4 | 12.50 | 11.53 |
1997:Q1 | 13.57 | 8.74 |
1997:Q2 | 8.86 | 10.28 |
1997:Q3 | 10.25 | 13.77 |
1997:Q4 | 6.96 | 9.08 |
1998:Q1 | 1.32 | -2.79 |
1998:Q2 | 1.68 | -7.81 |
1998:Q3 | -6.55 | -9.87 |
1998:Q4 | -2.70 | -10.03 |
1999:Q1 | 6.87 | 3.97 |
1999:Q2 | 10.10 | 6.98 |
1999:Q3 | 22.37 | 4.37 |
1999:Q4 | 21.10 | 9.55 |
2000:Q1 | 18.50 | -1.37 |
2000:Q2 | 16.00 | -1.92 |
2000:Q3 | 11.00 | -3.63 |
2000:Q4 | -2.70 | -8.63 |
2001:Q1 | -10.80 | -6.48 |
2001:Q2 | -20.10 | -5.99 |
2001:Q3 | -24.80 | -11.98 |
2001:Q4 | -22.40 | -0.16 |
2002:Q1 | -8.60 | 6.51 |
2002:Q2 | 5.30 | 10.36 |
2002:Q3 | 13.80 | 25.32 |
2002:Q4 | 16.00 | 20.57 |
2003:Q1 | 11.30 | 11.36 |
2003:Q2 | 8.70 | 10.64 |
2003:Q3 | 17.50 | 13.49 |
2003:Q4 | 25.40 | 12.59 |
2004:Q1 | 26.30 | 25.39 |
2004:Q2 | 24.80 | 23.74 |
2004:Q3 | 15.00 | 13.56 |
2004:Q4 | 18.50 | 14.71 |
2005:Q1 | 13.00 | 13.98 |
2005:Q2 | 14.20 | 13.49 |
2005:Q3 | 13.60 | 9.73 |
2005:Q4 | 13.30 | 12.85 |
2006:Q1 | 15.50 | 18.87 |
2006:Q2 | 16.50 | 18.54 |
2006:Q3 | 19.80 | 30.56 |
2006:Q4 | 11.10 | 18.30 |
2007:Q1 | 9.00 | 6.35 |
2007:Q2e | 4.40 | ND |
e - Q2 is the bottom-up forecast by equity analysts. Return to table
Source: I/B/E/S for S&P 500 earnings per share.
Top-right panel
Earnings Forecast
1. Operating earnings per share Return to table
2. Economic profits before tax Return to table
Middle-left panel
Equity Valuation for S&P 500
Period | Trend E/P* | Real Treasury perpetuity yield** |
---|---|---|
January 1986 | 9.36 | 6.41 |
February 1986 | 9.36 | 5.86 |
March 1986 | 8.76 | 4.74 |
April 1986 | 8.34 | 3.96 |
May 1986 | 8.48 | 4.36 |
June 1986 | 8.10 | 4.64 |
July 1986 | 8.00 | 4.32 |
August 1986 | 8.52 | 4.31 |
September 1986 | 7.97 | 4.83 |
October 1986 | 8.74 | 4.82 |
November 1986 | 8.31 | 4.52 |
December 1986 | 8.14 | 4.41 |
January 1987 | 8.39 | 4.09 |
February 1987 | 7.42 | 4.17 |
March 1987 | 7.16 | 4.07 |
April 1987 | 6.98 | 4.68 |
May 1987 | 7.06 | 5.03 |
June 1987 | 7.02 | 4.89 |
July 1987 | 6.71 | 4.63 |
August 1987 | 6.06 | 4.93 |
September 1987 | 6.81 | 5.55 |
October 1987 | 8.90 | 5.56 |
November 1987 | 8.47 | 4.95 |
December 1987 | 8.32 | 4.92 |
January 1988 | 8.18 | 4.91 |
February 1988 | 8.03 | 4.64 |
March 1988 | 7.67 | 4.84 |
April 1988 | 8.04 | 5.14 |
May 1988 | 8.35 | 5.45 |
June 1988 | 7.70 | 5.14 |
July 1988 | 7.90 | 5.34 |
August 1988 | 8.21 | 5.39 |
September 1988 | 8.01 | 5.03 |
October 1988 | 7.84 | 4.89 |
November 1988 | 8.30 | 4.90 |
December 1988 | 8.01 | 4.64 |
January 1989 | 7.76 | 4.54 |
February 1989 | 7.63 | 4.63 |
March 1989 | 7.64 | 4.76 |
April 1989 | 7.45 | 4.65 |
May 1989 | 7.29 | 4.54 |
June 1989 | 7.22 | 4.01 |
July 1989 | 7.04 | 4.11 |
August 1989 | 6.91 | 4.09 |
September 1989 | 6.99 | 4.10 |
October 1989 | 7.15 | 3.86 |
November 1989 | 7.26 | 3.79 |
December 1989 | 7.09 | 3.78 |
January 1990 | 7.42 | 4.41 |
February 1990 | 7.73 | 4.66 |
March 1990 | 7.68 | 4.69 |
April 1990 | 7.68 | 4.65 |
May 1990 | 7.47 | 4.62 |
June 1990 | 7.32 | 4.35 |
July 1990 | 7.40 | 4.47 |
August 1990 | 8.00 | 5.00 |
September 1990 | 8.67 | 5.19 |
October 1990 | 9.26 | 5.10 |
November 1990 | 8.70 | 4.79 |
December 1990 | 8.51 | 4.45 |
January 1991 | 8.95 | 4.57 |
February 1991 | 7.72 | 4.39 |
March 1991 | 7.66 | 4.65 |
April 1991 | 7.39 | 4.51 |
May 1991 | 7.88 | 4.54 |
June 1991 | 7.79 | 4.74 |
July 1991 | 7.70 | 4.69 |
August 1991 | 7.56 | 4.42 |
September 1991 | 7.65 | 4.25 |
October 1991 | 7.55 | 4.45 |
November 1991 | 7.48 | 4.52 |
December 1991 | 7.76 | 4.42 |
January 1992 | 7.08 | 4.32 |
February 1992 | 7.30 | 4.52 |
March 1992 | 7.29 | 4.61 |
April 1992 | 7.24 | 4.39 |
May 1992 | 7.17 | 4.37 |
June 1992 | 7.43 | 4.48 |
July 1992 | 7.18 | 4.65 |
August 1992 | 7.16 | 4.45 |
September 1992 | 7.14 | 4.59 |
October 1992 | 7.32 | 4.82 |
November 1992 | 7.09 | 4.62 |
December 1992 | 6.95 | 4.37 |
January 1993 | 6.93 | 4.46 |
February 1993 | 6.94 | 4.32 |
March 1993 | 6.71 | 4.06 |
April 1993 | 6.72 | 3.92 |
May 1993 | 6.75 | 4.01 |
June 1993 | 6.77 | 3.86 |
July 1993 | 6.74 | 3.85 |
August 1993 | 6.66 | 3.50 |
September 1993 | 6.59 | 3.37 |
October 1993 | 6.61 | 3.34 |
November 1993 | 6.57 | 3.60 |
December 1993 | 6.63 | 3.57 |
January 1994 | 6.47 | 3.61 |
February 1994 | 6.50 | 3.72 |
March 1994 | 6.57 | 4.04 |
April 1994 | 6.93 | 4.32 |
May 1994 | 6.84 | 4.43 |
June 1994 | 6.76 | 4.52 |
July 1994 | 6.96 | 4.56 |
August 1994 | 6.74 | 4.51 |
September 1994 | 6.71 | 4.83 |
October 1994 | 6.72 | 5.00 |
November 1994 | 6.81 | 4.96 |
December 1994 | 7.01 | 4.55 |
January 1995 | 6.82 | 4.70 |
February 1995 | 6.65 | 4.61 |
March 1995 | 6.59 | 4.57 |
April 1995 | 6.46 | 4.55 |
May 1995 | 6.23 | 4.11 |
June 1995 | 6.16 | 3.71 |
July 1995 | 6.05 | 4.03 |
August 1995 | 6.00 | 4.17 |
September 1995 | 5.85 | 3.88 |
October 1995 | 5.82 | 3.84 |
November 1995 | 5.81 | 3.69 |
December 1995 | 5.60 | 3.48 |
January 1996 | 5.80 | 3.50 |
February 1996 | 5.42 | 3.82 |
March 1996 | 5.62 | 4.20 |
April 1996 | 5.66 | 4.38 |
May 1996 | 5.51 | 4.48 |
June 1996 | 5.60 | 4.54 |
July 1996 | 5.91 | 4.47 |
August 1996 | 5.72 | 4.35 |
September 1996 | 5.62 | 4.47 |
October 1996 | 5.50 | 4.27 |
November 1996 | 5.35 | 3.98 |
December 1996 | 5.40 | 4.03 |
January 1997 | 5.20 | 4.30 |
February 1997 | 4.96 | 4.17 |
March 1997 | 5.18 | 4.40 |
April 1997 | 5.38 | 4.65 |
May 1997 | 4.96 | 4.46 |
June 1997 | 4.71 | 4.32 |
July 1997 | 4.51 | 3.87 |
August 1997 | 4.63 | 3.94 |
September 1997 | 4.57 | 3.80 |
October 1997 | 4.51 | 3.96 |
November 1997 | 4.65 | 3.79 |
December 1997 | 4.60 | 3.62 |
January 1998 | 4.68 | 3.53 |
February 1998 | 4.39 | 3.61 |
March 1998 | 4.21 | 3.64 |
April 1998 | 4.13 | 3.71 |
May 1998 | 4.17 | 3.69 |
June 1998 | 4.26 | 3.39 |
July 1998 | 4.05 | 3.44 |
August 1998 | 4.38 | 3.36 |
September 1998 | 4.64 | 3.24 |
October 1998 | 4.88 | 3.29 |
November 1998 | 4.32 | 3.37 |
December 1998 | 4.29 | 3.25 |
January 1999 | 4.08 | 3.50 |
February 1999 | 4.15 | 3.65 |
March 1999 | 3.94 | 3.85 |
April 1999 | 3.88 | 3.65 |
May 1999 | 3.87 | 3.84 |
June 1999 | 3.94 | 4.03 |
July 1999 | 3.77 | 3.94 |
August 1999 | 3.98 | 4.02 |
September 1999 | 4.05 | 4.14 |
October 1999 | 4.18 | 4.25 |
November 1999 | 3.83 | 4.09 |
December 1999 | 3.85 | 4.26 |
January 2000 | 3.76 | 4.34 |
February 2000 | 3.97 | 3.76 |
March 2000 | 3.99 | 3.64 |
April 2000 | 3.91 | 3.48 |
May 2000 | 3.89 | 3.78 |
June 2000 | 3.86 | 3.61 |
July 2000 | 3.86 | 3.56 |
August 2000 | 3.89 | 3.38 |
September 2000 | 3.91 | 3.55 |
October 2000 | 4.36 | 3.58 |
November 2000 | 4.24 | 3.52 |
December 2000 | 4.37 | 3.30 |
January 2001 | 4.51 | 3.41 |
February 2001 | 4.59 | 3.37 |
March 2001 | 5.22 | 3.31 |
April 2001 | 4.96 | 3.69 |
May 2001 | 4.81 | 3.78 |
June 2001 | 5.03 | 3.67 |
July 2001 | 5.21 | 3.60 |
August 2001 | 5.38 | 3.46 |
September 2001 | 6.41 | 3.59 |
October 2001 | 5.94 | 3.38 |
November 2001 | 5.63 | 3.25 |
December 2001 | 5.61 | 3.66 |
January 2002 | 5.72 | 3.64 |
February 2002 | 5.78 | 3.56 |
March 2002 | 5.61 | 3.82 |
April 2002 | 5.75 | 3.77 |
May 2002 | 5.93 | 3.79 |
June 2002 | 6.42 | 3.75 |
July 2002 | 7.31 | 3.73 |
August 2002 | 6.91 | 3.49 |
September 2002 | 7.59 | 3.19 |
October 2002 | 7.26 | 3.48 |
November 2002 | 7.05 | 3.47 |
December 2002 | 7.20 | 3.43 |
January 2003 | 6.95 | 3.40 |
February 2003 | 7.59 | 3.25 |
March 2003 | 7.25 | 3.25 |
April 2003 | 7.10 | 3.32 |
May 2003 | 6.69 | 2.93 |
June 2003 | 6.36 | 2.79 |
July 2003 | 6.43 | 3.34 |
August 2003 | 6.36 | 3.78 |
September 2003 | 6.05 | 3.61 |
October 2003 | 5.97 | 3.62 |
November 2003 | 6.05 | 3.53 |
December 2003 | 5.74 | 3.45 |
January 2004 | 5.51 | 3.38 |
February 2004 | 5.43 | 3.29 |
March 2004 | 5.55 | 3.11 |
April 2004 | 5.51 | 3.49 |
May 2004 | 5.71 | 3.69 |
June 2004 | 5.50 | 3.65 |
July 2004 | 5.66 | 3.47 |
August 2004 | 5.72 | 3.33 |
September 2004 | 5.57 | 3.16 |
October 2004 | 5.69 | 3.09 |
November 2004 | 5.32 | 3.08 |
December 2004 | 5.25 | 3.03 |
January 2005 | 5.40 | 2.85 |
February 2005 | 5.32 | 2.58 |
March 2005 | 5.40 | 2.79 |
April 2005 | 5.57 | 2.62 |
May 2005 | 5.47 | 2.42 |
June 2005 | 5.42 | 2.16 |
July 2005 | 5.35 | 2.22 |
August 2005 | 5.47 | 2.25 |
September 2005 | 5.47 | 2.28 |
October 2005 | 5.75 | 2.45 |
November 2005 | 5.49 | 2.51 |
December 2005 | 5.42 | 2.41 |
January 2006 | 5.40 | 2.31 |
February 2006 | 5.43 | 2.31 |
March 2006 | 5.41 | 2.51 |
April 2006 | 5.44 | 2.89 |
May 2006 | 5.71 | 3.02 |
June 2006 | 5.80 | 2.91 |
July 2006 | 5.90 | 2.86 |
August 2006 | 5.74 | 2.72 |
September 2006 | 5.71 | 2.56 |
October 2006 | 5.57 | 2.57 |
November 2006 | 5.50 | 2.40 |
December 2006 | 5.46 | 2.42 |
January 2007 | 5.52 | 2.71 |
February 2007 | 5.46 | 2.71 |
March 2007 | 5.78 | 2.63 |
April 2007 | 5.54 | 2.72 |
May 2007 | 5.44 | 2.75 |
June 2007 | 5.47+ | 3.01+ |
+ - Denoted latest observation using daily interest rates and stock prices and latest earnings data from I/B/E/S. Return to table
* Estimated using analyst year-ahead earnings from I/B/E/S. Return to table
Middle-right panel
12-Month Forward Price-Earnings Ratio
Period | S&P 500 | Small-cap median* |
---|---|---|
1988:Q1 | 11.07 | 11.35 |
1988:Q2 | 10.73 | 10.54 |
1988:Q3 | 10.05 | 10.52 |
1988:Q4 | 9.88 | 9.82 |
1989:Q1 | 10.20 | 11.03 |
1989:Q2 | 10.99 | 11.11 |
1989:Q3 | 11.69 | 11.48 |
1989:Q4 | 12.01 | 10.53 |
1990:Q1 | 11.54 | 10.78 |
1990:Q2 | 12.44 | 10.95 |
1990:Q3 | 10.82 | 8.91 |
1990:Q4 | 11.68 | 8.80 |
1991:Q1 | 13.68 | 12.11 |
1991:Q2 | 13.78 | 12.05 |
1991:Q3 | 14.09 | 12.06 |
1991:Q4 | 13.81 | 11.76 |
1992:Q1 | 14.69 | 15.00 |
1992:Q2 | 13.95 | 12.38 |
1992:Q3 | 14.31 | 12.86 |
1992:Q4 | 14.60 | 13.73 |
1993:Q1 | 14.98 | 14.93 |
1993:Q2 | 14.59 | 13.75 |
1993:Q3 | 14.78 | 14.19 |
1993:Q4 | 14.38 | 14.30 |
1994:Q1 | 14.27 | 15.36 |
1994:Q2 | 13.45 | 13.65 |
1994:Q3 | 13.11 | 13.64 |
1994:Q4 | 12.06 | 12.15 |
1995:Q1 | 12.49 | 12.98 |
1995:Q2 | 13.00 | 13.59 |
1995:Q3 | 13.67 | 15.13 |
1995:Q4 | 14.25 | 14.33 |
1996:Q1 | 14.73 | 14.93 |
1996:Q2 | 14.63 | 15.87 |
1996:Q3 | 15.15 | 15.57 |
1996:Q4 | 15.73 | 15.85 |
1997:Q1 | 16.50 | 15.49 |
1997:Q2 | 18.18 | 16.27 |
1997:Q3 | 18.85 | 18.52 |
1997:Q4 | 18.83 | 16.87 |
1998:Q1 | 21.31 | 18.75 |
1998:Q2 | 21.36 | 16.92 |
1998:Q3 | 19.95 | 13.73 |
1998:Q4 | 22.25 | 14.59 |
1999:Q1 | 24.55 | 14.30 |
1999:Q2 | 24.13 | 15.08 |
1999:Q3 | 23.19 | 15.40 |
1999:Q4 | 24.00 | 15.14 |
2000:Q1 | 23.20 | 16.29 |
2000:Q2 | 23.60 | 16.49 |
2000:Q3 | 23.43 | 16.98 |
2000:Q4 | 21.91 | 15.39 |
2001:Q1 | 19.77 | 16.52 |
2001:Q2 | 21.71 | 18.63 |
2001:Q3 | 18.40 | 16.48 |
2001:Q4 | 21.57 | 21.82 |
2002:Q1 | 20.72 | 22.55 |
2002:Q2 | 18.08 | 19.04 |
2002:Q3 | 15.71 | 15.94 |
2002:Q4 | 16.09 | 16.21 |
2003:Q1 | 15.67 | 14.91 |
2003:Q2 | 17.66 | 18.51 |
2003:Q3 | 17.37 | 20.21 |
2003:Q4 | 17.40 | 20.31 |
2004:Q1 | 17.43 | 20.63 |
2004:Q2 | 16.45 | 18.77 |
2004:Q3 | 15.82 | 18.19 |
2004:Q4 | 16.32 | 20.11 |
2005:Q1 | 15.65 | 19.09 |
2005:Q2 | 15.43 | 18.94 |
2005:Q3 | 14.97 | 19.38 |
2005:Q4 | 15.00 | 18.74 |
2006:Q1 | 15.08 | 19.87 |
2006:Q2 | 13.71 | 17.35 |
2006:Q3 | 14.28 | 18.21 |
2006:Q4 | 14.84 | 18.92 |
2007:Q1 | 14.47 | 18.80 |
2007:Q2 | 15.21 | 19.51 |
* Set of firms approximating the Russell 2000. Return to table
Source: I/B/E/S.
Bottom-left panel
Decomposition of High-Yield Spread
Period | High-yield spread* | Compensation for expected loss** |
---|---|---|
1990:Q1 | 6.98 | 5.13 |
1990:Q2 | 6.93 | 6.48 |
1990:Q3 | 8.78 | 6.75 |
1990:Q4 | 9.89 | 5.93 |
1991:Q1 | 7.64 | 4.59 |
1991:Q2 | 6.54 | 4.06 |
1991:Q3 | 6.83 | 3.09 |
1991:Q4 | 7.08 | 2.80 |
1992:Q1 | 5.00 | 2.73 |
1992:Q2 | 5.01 | 2.64 |
1992:Q3 | 5.36 | 2.40 |
1992:Q4 | 5.19 | 2.41 |
1993:Q1 | 5.25 | 2.38 |
1993:Q2 | 4.72 | 1.97 |
1993:Q3 | 4.97 | 1.91 |
1993:Q4 | 4.30 | 1.62 |
1994:Q1 | 3.67 | 1.90 |
1994:Q2 | 3.50 | 1.35 |
1994:Q3 | 3.42 | 1.81 |
1994:Q4 | 3.49 | 2.24 |
1995:Q1 | 3.69 | 2.35 |
1995:Q2 | 4.02 | 2.39 |
1995:Q3 | 4.08 | 2.18 |
1995:Q4 | 4.42 | 1.91 |
1996:Q1 | 3.69 | 1.57 |
1996:Q2 | 3.52 | 1.62 |
1996:Q3 | 3.21 | 1.78 |
1996:Q4 | 3.39 | 1.69 |
1997:Q1 | 3.00 | 1.93 |
1997:Q2 | 2.91 | 1.91 |
1997:Q3 | 2.91 | 2.06 |
1997:Q4 | 3.29 | 2.14 |
1998:Q1 | 3.12 | 2.59 |
1998:Q2 | 3.68 | 2.84 |
1998:Q3 | 6.06 | 2.75 |
1998:Q4 | 5.79 | 3.66 |
1999:Q1 | 5.22 | 3.46 |
1999:Q2 | 4.77 | 3.57 |
1999:Q3 | 5.01 | 3.90 |
1999:Q4 | 4.57 | 3.87 |
2000:Q1 | 5.80 | 4.29 |
2000:Q2 | 6.11 | 4.13 |
2000:Q3 | 6.67 | 4.70 |
2000:Q4 | 8.92 | 5.51 |
2001:Q1 | 7.97 | 5.96 |
2001:Q2 | 7.92 | 5.54 |
2001:Q3 | 9.69 | 5.04 |
2001:Q4 | 7.92 | 4.46 |
2002:Q1 | 6.77 | 3.29 |
2002:Q2 | 8.76 | 3.07 |
2002:Q3 | 10.28 | 2.65 |
2002:Q4 | 8.67 | 2.79 |
2003:Q1 | 7.60 | 2.90 |
2003:Q2 | 6.14 | 2.46 |
2003:Q3 | 5.46 | 2.10 |
2003:Q4 | 4.25 | 2.11 |
2004:Q1 | 4.52 | 1.92 |
2004:Q2 | 4.09 | 1.96 |
2004:Q3 | 4.11 | 1.69 |
2004:Q4 | 3.49 | 1.84 |
2005:Q1 | 3.82 | 1.86 |
2005:Q2 | 4.25 | 1.84 |
2005:Q3 | 3.94 | 1.60 |
2005:Q4 | 4.06 | 1.64 |
2006:Q1 | 3.46 | 1.75 |
2006:Q2 | 3.57 | 1.36 |
2006:Q3 | 3.71 | 1.33 |
2006:Q4 | 3.16 | 1.63 |
2007:Q1 | 3.22 | 1.54 |
2007:Q2 | 3.00+ | 1.76 |
* Yield on Merrill Lynch Master II less comparable maturity Treasury. Return to table
** Estimated from staff model of bond defaults and losses. Return to table
+ - Observation for Q2 is June 26. Return to table
Bottom-right panel
Debt-to-Assets for Nonfinancial Corporations
Period | Investment grade | Speculative grade |
---|---|---|
1987 | 24.56 | 44.96 |
1988 | 25.95 | 51.39 |
1989 | 27.07 | 52.91 |
1990 | 27.30 | 54.66 |
1991 | 27.26 | 52.18 |
1992 | 27.17 | 51.10 |
1993 | 25.04 | 45.43 |
1994 | 24.14 | 43.70 |
1995 | 23.62 | 43.42 |
1996 | 23.37 | 41.95 |
1997 | 24.95 | 42.67 |
1998 | 26.07 | 50.75 |
1999 | 26.47 | 48.93 |
2000 | 26.40 | 45.74 |
2001 | 26.74 | 44.98 |
2002 | 26.28 | 46.25 |
2003 | 23.63 | 44.08 |
2004 | 21.97 | 42.44 |
2005 | 21.70 | 36.81 |
2006 | 21.41 | 39.07 |
2007 | 21.26 | 38.62 |
Note: 2007 data are Q1 preliminary estimates.
Source: Compustat.
Exhibit 7
Leveraging of Nonfinancial Corporations
Top-left panel
Shareholder Payouts
Period | Cash mergers | Share repurchases | Dividends | Sum |
---|---|---|---|---|
2002 | 54.53 | 127.44 | 98.02 | 279.99 |
2003 | 54.36 | 131.08 | 116.44 | 301.88 |
2004 | 86.77 | 204.35 | 165.63 | 456.75 |
2005 | 180.26 | 330.34 | 162.10 | 672.70 |
2006:H1 | 275.46 | 435.05 | 173.80 | 884.31 |
2006:H2 | 314.88 | 430.44 | 193.32 | 938.64 |
2007:Q1 | 314.64 | 459.96 | 183.96 | 958.56 |
Note: Dividend and share repurchases for 2006:H2 and 2007:Q1 are preliminary.
Top-right panel
Share Repurchases, 2005-2006
Repurchases | ||
---|---|---|
Greater than 5 | 0 to 5 | |
Earnings | 9 | 6 |
Change in debt | 2 | -1 |
Debt | 22 | 26 |
Note: Sample of 1,900 firm-year observations for repurchases of 0 to 5 percent and 350 for greater than 5 percent.
Source: Compustat.
Middle-left panel
Speculative-Grade Bond Issuance for M&A
Period | LBOs | Other M&A | Sum |
---|---|---|---|
2002 | 0.23 | 7.43 | 7.66 |
2003 | 9.69 | 8.45 | 18.14 |
2004 | 19.94 | 10.64 | 30.58 |
2005 | 20.46 | 10.51 | 30.97 |
2006:H1 | 34.94 | 14.22 | 49.16 |
2006:H2 | 39.38 | 16.03 | 55.41 |
2007:Q1 | 38.93 | 46.91 | 85.84 |
2007:Q2e | 53.97 | 20.02 | 73.99 |
e - Staff estimate based on data through May. Return to table
Source: Merrill Lynch and Securities Data Company.
Middle-right panel
Speculative-Grade Loan Origination for M&A*
Period | LBOs | Other M&A | Sum |
---|---|---|---|
2002 | 15 | 40 | 55 |
2003 | 31 | 29 | 60 |
2004 | 65 | 69 | 134 |
2005 | 90 | 100 | 190 |
2006:H1 | 85 | 105 | 190 |
2006:H2 | 123 | 107 | 230 |
2007:Q1 | 201 | 331 | 532 |
2007:Q2e | 331 | 133 | 464 |
* Includes unrated commitments and loans. Return to text
e - Staff estimate based on data through mid-June. Return to table
Source: DealScan.
Bottom-left panel
Asset Returns
Period | Loans* | High-yield bonds** |
---|---|---|
January 1996 | 8.4 | 19.1 |
February 1996 | 8.1 | 16.2 |
March 1996 | 8.1 | 14.4 |
April 1996 | 7.9 | 12.0 |
May 1996 | 7.4 | 9.6 |
June 1996 | 7.3 | 9.4 |
July 1996 | 7.4 | 8.7 |
August 1996 | 7.3 | 9.4 |
September 1996 | 7.2 | 10.5 |
October 1996 | 7.1 | 10.6 |
November 1996 | 7.5 | 11.6 |
December 1996 | 7.2 | 10.8 |
January 1997 | 7.3 | 9.8 |
February 1997 | 7.4 | 11.1 |
March 1997 | 7.7 | 10.1 |
April 1997 | 7.8 | 11.2 |
May 1997 | 7.9 | 12.6 |
June 1997 | 8.0 | 13.7 |
July 1997 | 7.9 | 15.8 |
August 1997 | 8.0 | 14.4 |
September 1997 | 8.1 | 13.9 |
October 1997 | 8.0 | 13.5 |
November 1997 | 7.8 | 12.5 |
December 1997 | 8.0 | 12.6 |
January 1998 | 7.9 | 13.4 |
February 1998 | 7.7 | 12.3 |
March 1998 | 7.5 | 14.6 |
April 1998 | 7.7 | 13.8 |
May 1998 | 7.7 | 12.3 |
June 1998 | 7.5 | 11.2 |
July 1998 | 7.3 | 9.2 |
August 1998 | 6.8 | 4.3 |
September 1998 | 5.7 | 2.8 |
October 1998 | 4.5 | 0.1 |
November 1998 | 4.8 | 4.4 |
December 1998 | 5.2 | 3.2 |
January 1999 | 4.9 | 3.0 |
February 1999 | 3.9 | 1.9 |
March 1999 | 3.7 | 2.1 |
April 1999 | 3.7 | 3.5 |
May 1999 | 4.3 | 2.0 |
June 1999 | 4.5 | 1.2 |
July 1999 | 4.6 | 0.7 |
August 1999 | 4.1 | 4.7 |
September 1999 | 4.3 | 4.0 |
October 1999 | 5.0 | 5.6 |
November 1999 | 4.9 | 1.8 |
December 1999 | 4.6 | 2.5 |
January 2000 | 5.3 | 0.8 |
February 2000 | 6.1 | 1.7 |
March 2000 | 4.7 | -0.9 |
April 2000 | 4.3 | -2.8 |
May 2000 | 3.9 | -3.1 |
June 2000 | 3.6 | -0.9 |
July 2000 | 3.6 | -0.5 |
August 2000 | 4.5 | 1.5 |
September 2000 | 5.1 | 1.1 |
October 2000 | 5.3 | -1.6 |
November 2000 | 4.8 | -6.7 |
December 2000 | 4.9 | -5.1 |
January 2001 | 4.5 | 1.7 |
February 2001 | 5.0 | 3.0 |
March 2001 | 5.9 | 2.4 |
April 2001 | 5.1 | 1.1 |
May 2001 | 5.5 | 4.1 |
June 2001 | 5.0 | -0.5 |
July 2001 | 4.6 | 0.6 |
August 2001 | 4.8 | 0.4 |
September 2001 | 2.6 | -5.6 |
October 2001 | 1.0 | 0.8 |
November 2001 | 2.3 | 8.1 |
December 2001 | 2.7 | 5.0 |
January 2002 | 2.6 | -0.7 |
February 2002 | 1.4 | -3.6 |
March 2002 | 2.4 | 1.0 |
April 2002 | 3.9 | 3.9 |
May 2002 | 2.7 | 1.4 |
June 2002 | 1.0 | -3.7 |
July 2002 | -0.8 | -9.2 |
August 2002 | -1.8 | -7.5 |
September 2002 | 0.3 | -2.2 |
October 2002 | 0.5 | -6.2 |
November 2002 | 0.7 | -3.5 |
December 2002 | 1.2 | -1.2 |
January 2003 | 2.0 | 1.2 |
February 2003 | 2.9 | 3.9 |
March 2003 | 2.1 | 4.0 |
April 2003 | 2.4 | 8.2 |
May 2003 | 3.8 | 10.1 |
June 2003 | 6.7 | 20.7 |
July 2003 | 8.9 | 23.2 |
August 2003 | 9.4 | 22.0 |
September 2003 | 10.2 | 26.2 |
October 2003 | 12.4 | 29.2 |
November 2003 | 11.4 | 24.3 |
December 2003 | 10.5 | 25.2 |
January 2004 | 10.2 | 23.8 |
February 2004 | 10.0 | 22.4 |
March 2004 | 10.1 | 20.4 |
April 2004 | 9.1 | 13.9 |
May 2004 | 8.0 | 11.2 |
June 2004 | 7.2 | 9.9 |
July 2004 | 6.9 | 12.6 |
August 2004 | 6.8 | 13.1 |
September 2004 | 6.2 | 11.8 |
October 2004 | 5.8 | 11.6 |
November 2004 | 5.6 | 11.3 |
December 2004 | 5.5 | 10.4 |
January 2005 | 5.0 | 8.7 |
February 2005 | 5.2 | 10.3 |
March 2005 | 5.3 | 6.9 |
April 2005 | 4.9 | 6.4 |
May 2005 | 4.8 | 9.8 |
June 2005 | 4.8 | 10.3 |
July 2005 | 5.3 | 10.5 |
August 2005 | 5.8 | 9.0 |
September 2005 | 5.9 | 6.6 |
October 2005 | 5.7 | 4.0 |
November 2005 | 5.5 | 3.4 |
December 2005 | 5.5 | 2.8 |
January 2006 | 6.1 | 4.5 |
February 2006 | 5.8 | 3.7 |
March 2006 | 5.7 | 7.1 |
April 2006 | 6.1 | 8.8 |
May 2006 | 6.2 | 6.9 |
June 2006 | 6.2 | 4.6 |
July 2006 | 5.7 | 4.1 |
August 2006 | 5.2 | 5.4 |
September 2006 | 5.1 | 7.7 |
October 2006 | 5.3 | 9.9 |
November 2006 | 5.5 | 11.0 |
December 2006 | 5.5 | 11.2 |
* Total returns on the CSFB Leveraged Loan Index. Return to table
** Total returns on the Merrill Lynch Master II Index of high-yield bonds. Return to table
Bottom-right panel
Risky Debt to Total Outstanding Debt
Period | Percent |
---|---|
1990:Q1 | 7.55 |
1990:Q2 | 7.16 |
1990:Q3 | 7.28 |
1990:Q4 | 7.02 |
1991:Q1 | 5.80 |
1991:Q2 | 5.46 |
1991:Q3 | 5.43 |
1991:Q4 | 5.15 |
1992:Q1 | 4.47 |
1992:Q2 | 4.42 |
1992:Q3 | 4.17 |
1992:Q4 | 4.21 |
1993:Q1 | 4.01 |
1993:Q2 | 4.27 |
1993:Q3 | 4.60 |
1993:Q4 | 4.69 |
1994:Q1 | 4.82 |
1994:Q2 | 4.77 |
1994:Q3 | 4.74 |
1994:Q4 | 5.02 |
1995:Q1 | 4.85 |
1995:Q2 | 4.80 |
1995:Q3 | 4.98 |
1995:Q4 | 4.97 |
1996:Q1 | 4.77 |
1996:Q2 | 4.78 |
1996:Q3 | 4.77 |
1996:Q4 | 4.64 |
1997:Q1 | 4.68 |
1997:Q2 | 5.07 |
1997:Q3 | 5.44 |
1997:Q4 | 5.67 |
1998:Q1 | 5.76 |
1998:Q2 | 6.11 |
1998:Q3 | 5.88 |
1998:Q4 | 5.88 |
1999:Q1 | 5.97 |
1999:Q2 | 5.81 |
1999:Q3 | 5.73 |
1999:Q4 | 5.51 |
2000:Q1 | 5.53 |
2000:Q2 | 5.39 |
2000:Q3 | 5.50 |
2000:Q4 | 5.42 |
2001:Q1 | 5.24 |
2001:Q2 | 4.93 |
2001:Q3 | 4.76 |
2001:Q4 | 4.02 |
2002:Q1 | 3.76 |
2002:Q2 | 4.25 |
2002:Q3 | 4.59 |
2002:Q4 | 5.21 |
2003:Q1 | 5.29 |
2003:Q2 | 5.50 |
2003:Q3 | 5.07 |
2003:Q4 | 5.60 |
2004:Q1 | 6.23 |
2004:Q2 | 6.33 |
2004:Q3 | 5.96 |
2004:Q4 | 5.56 |
2005:Q1 | 5.54 |
2005:Q2 | 5.51 |
2005:Q3 | 5.42 |
2005:Q4 | 4.89 |
2006:Q1 | 5.46 |
2006:Q2 | 5.15 |
2006:Q3 | 5.30 |
2006:Q4 | 5.45 |
2007:Q1 | 5.42 |
Period | Percent |
---|---|
1990 | 13.20 |
1991 | 16.00 |
1992 | 15.40 |
1993 | 11.41 |
1994 | 7.57 |
1995 | 4.42 |
1996 | 3.66 |
1997 | 2.91 |
1998 | 2.55 |
1999 | 3.76 |
2000 | 5.11 |
2001 | 9.41 |
2002 | 12.62 |
2003 | 12.62 |
2004 | 6.91 |
2005 | 4.82 |
2006 | 5.08 |
2007p | 5.40 |
* Loans rated by examiners that are either special mention, substandard, doubtful, or loss. Return to table
p - Preliminary. Return to table
Source: Shared National Credit Data and Moody's.
Exhibit 8
Household Financial Conditions
Top-left panel
Net Worth
Period | Net Worth | Forecast |
---|---|---|
1996:Q1 | 5.07 | ND |
1996:Q2 | 5.10 | ND |
1996:Q3 | 5.11 | ND |
1996:Q4 | 5.21 | ND |
1997:Q1 | 5.17 | ND |
1997:Q2 | 5.41 | ND |
1997:Q3 | 5.53 | ND |
1997:Q4 | 5.52 | ND |
1998:Q1 | 5.70 | ND |
1998:Q2 | 5.71 | ND |
1998:Q3 | 5.41 | ND |
1998:Q4 | 5.70 | ND |
1999:Q1 | 5.76 | ND |
1999:Q2 | 5.91 | ND |
1999:Q3 | 5.76 | ND |
1999:Q4 | 6.15 | ND |
2000:Q1 | 6.10 | ND |
2000:Q2 | 5.96 | ND |
2000:Q3 | 5.88 | ND |
2000:Q4 | 5.66 | ND |
2001:Q1 | 5.38 | ND |
2001:Q2 | 5.52 | ND |
2001:Q3 | 5.11 | ND |
2001:Q4 | 5.37 | ND |
2002:Q1 | 5.26 | ND |
2002:Q2 | 5.02 | ND |
2002:Q3 | 4.81 | ND |
2002:Q4 | 4.93 | ND |
2003:Q1 | 4.88 | ND |
2003:Q2 | 5.05 | ND |
2003:Q3 | 5.06 | ND |
2003:Q4 | 5.28 | ND |
2004:Q1 | 5.28 | ND |
2004:Q2 | 5.29 | ND |
2004:Q3 | 5.28 | ND |
2004:Q4 | 5.38 | ND |
2005:Q1 | 5.44 | ND |
2005:Q2 | 5.51 | ND |
2005:Q3 | 5.60 | ND |
2005:Q4 | 5.61 | ND |
2006:Q1 | 5.67 | ND |
2006:Q2 | 5.65 | ND |
2006:Q3 | 5.67 | ND |
2006:Q4 | 5.73 | ND |
2007:Q1 | 5.67 | ND |
2007:Q2 | ND | 5.77 |
2007:Q3 | ND | 5.74 |
2007:Q4 | ND | 5.70 |
2008:Q1 | ND | 5.65 |
2008:Q2 | ND | 5.62 |
2008:Q3 | ND | 5.58 |
2008:Q4 | ND | 5.54 |
Top-right panel
Household Delinquency Rates
Period | Residential mortgages | Credit card loans at commercial banks |
Nonrevolving consumer loans at commercial banks |
---|---|---|---|
1996:Q1 | 0.71 | 4.04 | 2.87 |
1996:Q2 | 0.63 | 4.26 | 2.95 |
1996:Q3 | 0.60 | 4.46 | 3.04 |
1996:Q4 | 0.59 | 4.59 | 3.06 |
1997:Q1 | 0.57 | 4.68 | 3.10 |
1997:Q2 | 0.58 | 4.72 | 3.10 |
1997:Q3 | 0.57 | 4.68 | 3.05 |
1997:Q4 | 0.61 | 4.78 | 3.07 |
1998:Q1 | 0.62 | 4.74 | 3.08 |
1998:Q2 | 0.61 | 4.74 | 3.14 |
1998:Q3 | 0.62 | 4.71 | 3.15 |
1998:Q4 | 0.60 | 4.70 | 3.13 |
1999:Q1 | 0.62 | 4.64 | 3.24 |
1999:Q2 | 0.61 | 4.47 | 3.16 |
1999:Q3 | 0.59 | 4.54 | 3.02 |
1999:Q4 | 0.58 | 4.50 | 2.95 |
2000:Q1 | 0.57 | 4.39 | 2.92 |
2000:Q2 | 0.56 | 4.51 | 2.94 |
2000:Q3 | 0.59 | 4.53 | 2.98 |
2000:Q4 | 0.66 | 4.56 | 3.05 |
2001:Q1 | 0.69 | 4.81 | 2.97 |
2001:Q2 | 0.77 | 4.95 | 2.97 |
2001:Q3 | 0.82 | 5.00 | 3.09 |
2001:Q4 | 0.83 | 4.69 | 3.07 |
2002:Q1 | 0.82 | 4.94 | 2.87 |
2002:Q2 | 0.90 | 4.79 | 2.83 |
2002:Q3 | 0.94 | 4.89 | 2.79 |
2002:Q4 | 0.88 | 4.84 | 2.70 |
2003:Q1 | 0.86 | 4.68 | 2.79 |
2003:Q2 | 0.95 | 4.53 | 2.69 |
2003:Q3 | 0.89 | 4.23 | 2.60 |
2003:Q4 | 0.83 | 4.43 | 2.62 |
2004:Q1 | 0.90 | 4.21 | 2.52 |
2004:Q2 | 0.87 | 4.14 | 2.52 |
2004:Q3 | 0.85 | 4.07 | 2.46 |
2004:Q4 | 0.86 | 4.03 | 2.34 |
2005:Q1 | 0.87 | 3.72 | 2.38 |
2005:Q2 | 0.85 | 3.66 | 2.32 |
2005:Q3 | 0.83 | 3.88 | 2.13 |
2005:Q4 | 1.02 | 3.53 | 2.13 |
2006:Q1 | 1.01 | 3.91 | 2.11 |
2006:Q2 | 0.91 | 4.11 | 2.16 |
2006:Q3 | 0.94 | 4.09 | 2.27 |
2006:Q4 | 0.96 | 3.94 | 2.29 |
2007:Q1 | 0.98 | 4.06 | 2.30 |
Sources: For credit cards and nonrevolving, Call Report; for mortgages, MBA.
Period | Auto loans at domestic auto finance companies |
---|---|
January 1996 | 2.98 |
February 1996 | 3.12 |
March 1996 | 2.89 |
April 1996 | 3.16 |
May 1996 | 3.26 |
June 1996 | 3.37 |
July 1996 | 3.27 |
August 1996 | 3.31 |
September 1996 | 3.41 |
October 1996 | 3.43 |
November 1996 | 3.43 |
December 1996 | 3.50 |
January 1997 | 3.52 |
February 1997 | 3.53 |
March 1997 | 3.65 |
April 1997 | 3.60 |
May 1997 | 3.52 |
June 1997 | 3.54 |
July 1997 | 3.55 |
August 1997 | 3.48 |
September 1997 | 3.31 |
October 1997 | 3.17 |
November 1997 | 3.23 |
December 1997 | 3.06 |
January 1998 | 2.99 |
February 1998 | 2.92 |
March 1998 | 2.92 |
April 1998 | 2.86 |
May 1998 | 2.84 |
June 1998 | 2.79 |
July 1998 | 2.53 |
August 1998 | 2.82 |
September 1998 | 2.74 |
October 1998 | 2.67 |
November 1998 | 2.84 |
December 1998 | 2.56 |
January 1999 | 2.67 |
February 1999 | 2.55 |
March 1999 | 2.56 |
April 1999 | 2.44 |
May 1999 | 2.33 |
June 1999 | 2.32 |
July 1999 | 2.23 |
August 1999 | 2.23 |
September 1999 | 2.25 |
October 1999 | 2.27 |
November 1999 | 2.25 |
December 1999 | 2.26 |
January 2000 | 2.28 |
February 2000 | 2.23 |
March 2000 | 2.03 |
April 2000 | 2.17 |
May 2000 | 2.24 |
June 2000 | 2.18 |
July 2000 | 2.23 |
August 2000 | 2.21 |
September 2000 | 2.15 |
October 2000 | 2.22 |
November 2000 | 2.20 |
December 2000 | 2.25 |
January 2001 | 2.27 |
February 2001 | 2.29 |
March 2001 | 2.18 |
April 2001 | 2.26 |
May 2001 | 2.33 |
June 2001 | 2.37 |
July 2001 | 2.39 |
August 2001 | 2.32 |
September 2001 | 2.38 |
October 2001 | 2.35 |
November 2001 | 2.25 |
December 2001 | 2.23 |
January 2002 | 2.14 |
February 2002 | 2.15 |
March 2002 | 2.08 |
April 2002 | 2.10 |
May 2002 | 2.04 |
June 2002 | 2.04 |
July 2002 | 2.06 |
August 2002 | 2.07 |
September 2002 | 2.09 |
October 2002 | 2.07 |
November 2002 | 2.11 |
December 2002 | 2.12 |
January 2003 | 2.14 |
February 2003 | 2.16 |
March 2003 | 2.25 |
April 2003 | 2.19 |
May 2003 | 2.18 |
June 2003 | 2.15 |
July 2003 | 2.08 |
August 2003 | 2.07 |
September 2003 | 2.04 |
October 2003 | 2.02 |
November 2003 | 2.01 |
December 2003 | 2.01 |
January 2004 | 2.05 |
February 2004 | 2.09 |
March 2004 | 1.98 |
April 2004 | 2.03 |
May 2004 | 2.02 |
June 2004 | 2.04 |
July 2004 | 1.97 |
August 2004 | 2.06 |
September 2004 | 2.01 |
October 2004 | 1.99 |
November 2004 | 2.01 |
December 2004 | 2.02 |
January 2005 | 2.04 |
February 2005 | 2.04 |
March 2005 | 2.06 |
April 2005 | 2.12 |
May 2005 | 2.02 |
June 2005 | 2.09 |
July 2005 | 2.19 |
August 2005 | 2.18 |
September 2005 | 2.23 |
October 2005 | 2.33 |
November 2005 | 2.29 |
December 2005 | 2.25 |
January 2006 | 2.13 |
February 2006 | 2.21 |
March 2006 | 2.23 |
April 2006 | 2.28 |
May 2006 | 2.34 |
June 2006 | 2.37 |
July 2006 | 2.34 |
August 2006 | 2.30 |
September 2006 | 2.28 |
October 2006 | 2.29 |
November 2006 | 2.24 |
December 2006 | 2.26 |
January 2007 | 2.17 |
February 2007 | 2.34 |
March 2007 | 2.34 |
April 2007 | 2.34 |
Source: Federal Reserve.
Middle-left panel
Serious Mortgage Delinquency Rates
Period | Prime and near-prime, fixed-rate |
Prime and near-prime, adjustable-rate |
Subprime, fixed-rate |
Subprime, adjustable-rate |
---|---|---|---|---|
January 2001 | 0.97 | 1.62 | 6.96 | 9.43 |
February 2001 | 0.97 | 1.63 | 6.97 | 9.48 |
March 2001 | 0.94 | 1.59 | 6.84 | 9.28 |
April 2001 | 0.93 | 1.63 | 6.77 | 9.20 |
May 2001 | 0.92 | 1.62 | 7.24 | 9.19 |
June 2001 | 0.95 | 1.65 | 7.64 | 9.51 |
July 2001 | 0.98 | 1.68 | 7.70 | 9.67 |
August 2001 | 1.00 | 1.69 | 7.72 | 9.94 |
September 2001 | 1.05 | 1.76 | 8.10 | 10.19 |
October 2001 | 1.06 | 1.77 | 8.09 | 10.28 |
November 2001 | 1.09 | 1.80 | 8.29 | 10.50 |
December 2001 | 1.13 | 1.85 | 8.41 | 10.55 |
January 2002 | 1.15 | 1.90 | 8.60 | 10.63 |
February 2002 | 1.12 | 1.84 | 8.68 | 10.61 |
March 2002 | 1.06 | 1.74 | 8.45 | 9.95 |
April 2002 | 1.01 | 1.61 | 8.53 | 9.51 |
May 2002 | 1.03 | 1.55 | 8.39 | 9.11 |
June 2002 | 1.04 | 1.53 | 8.57 | 9.09 |
July 2002 | 1.04 | 1.47 | 8.60 | 8.94 |
August 2002 | 1.07 | 1.45 | 8.70 | 9.04 |
September 2002 | 1.11 | 1.45 | 8.90 | 9.31 |
October 2002 | 1.10 | 1.40 | 8.94 | 9.21 |
November 2002 | 1.14 | 1.40 | 9.03 | 9.23 |
December 2002 | 1.17 | 1.37 | 8.91 | 9.29 |
January 2003 | 1.15 | 1.21 | 8.33 | 9.21 |
February 2003 | 1.16 | 1.19 | 8.25 | 8.99 |
March 2003 | 1.10 | 1.13 | 8.18 | 8.70 |
April 2003 | 1.09 | 1.07 | 8.03 | 8.51 |
May 2003 | 1.07 | 1.01 | 7.89 | 8.42 |
June 2003 | 1.07 | 0.99 | 7.46 | 8.21 |
July 2003 | 1.09 | 0.96 | 7.10 | 7.76 |
August 2003 | 1.11 | 0.94 | 6.98 | 7.77 |
September 2003 | 1.12 | 0.93 | 6.85 | 7.69 |
October 2003 | 1.07 | 0.85 | 6.68 | 7.58 |
November 2003 | 1.10 | 0.87 | 6.71 | 7.60 |
December 2003 | 1.09 | 0.83 | 6.61 | 7.42 |
January 2004 | 1.11 | 0.82 | 6.76 | 7.31 |
February 2004 | 1.09 | 0.79 | 6.49 | 6.97 |
March 2004 | 1.03 | 0.73 | 6.28 | 6.74 |
April 2004 | 1.06 | 0.70 | 5.90 | 6.26 |
May 2004 | 1.07 | 0.68 | 5.83 | 6.23 |
June 2004 | 1.06 | 0.66 | 5.75 | 6.18 |
July 2004 | 1.07 | 0.65 | 5.76 | 6.08 |
August 2004 | 1.06 | 0.64 | 5.59 | 6.05 |
September 2004 | 1.08 | 0.64 | 5.61 | 6.03 |
October 2004 | 1.10 | 0.63 | 5.62 | 6.10 |
November 2004 | 1.12 | 0.64 | 5.80 | 6.18 |
December 2004 | 1.11 | 0.63 | 5.76 | 6.13 |
January 2005 | 1.12 | 0.63 | 5.85 | 6.28 |
February 2005 | 1.08 | 0.62 | 5.70 | 6.12 |
March 2005 | 1.00 | 0.57 | 5.45 | 5.81 |
April 2005 | 0.96 | 0.55 | 5.29 | 5.61 |
May 2005 | 0.95 | 0.55 | 5.32 | 5.64 |
June 2005 | 0.95 | 0.55 | 5.26 | 5.67 |
July 2005 | 0.94 | 0.58 | 5.31 | 5.83 |
August 2005 | 0.98 | 0.60 | 5.30 | 5.96 |
September 2005 | 0.99 | 0.61 | 5.34 | 6.19 |
October 2005 | 1.02 | 0.62 | 5.48 | 6.59 |
November 2005 | 1.14 | 0.70 | 5.79 | 7.12 |
December 2005 | 1.16 | 0.72 | 5.89 | 7.40 |
January 2006 | 1.15 | 0.73 | 5.90 | 7.72 |
February 2006 | 1.09 | 0.72 | 5.78 | 7.80 |
March 2006 | 0.99 | 0.66 | 5.43 | 7.45 |
April 2006 | 0.96 | 0.66 | 5.36 | 7.60 |
May 2006 | 0.93 | 0.65 | 5.19 | 7.72 |
June 2006 | 0.92 | 0.66 | 5.17 | 8.02 |
July 2006 | 0.92 | 0.68 | 5.17 | 8.48 |
August 2006 | 0.92 | 0.70 | 5.18 | 8.79 |
September 2006 | 0.91 | 0.73 | 5.26 | 9.28 |
October 2006 | 0.91 | 0.77 | 5.27 | 9.78 |
November 2006 | 0.92 | 0.82 | 5.32 | 10.31 |
December 2006 | 0.87 | 0.83 | 5.41 | 10.87 |
January 2007 | 0.87 | 0.85 | 5.32 | 11.11 |
February 2007 | 0.86 | 0.89 | 5.31 | 11.31 |
March 2007 | 0.81 | 0.89 | 5.12 | 11.31 |
April 2007 | 0.80 | 0.94 | 5.15 | 11.76 |
Source: First American LoanPerformance.
Middle-right panel
Serious Delinquencies in First Six Months
Period | Prime and near-prime | Subprime |
---|---|---|
September 2003 | 0.05 | 1.04 |
October 2003 | 0.05 | 1.00 |
November 2003 | 0.05 | 1.00 |
December 2003 | 0.05 | 0.92 |
January 2004 | 0.05 | 0.92 |
February 2004 | 0.06 | 0.78 |
March 2004 | 0.05 | 0.84 |
April 2004 | 0.06 | 0.77 |
May 2004 | 0.06 | 0.79 |
June 2004 | 0.06 | 0.86 |
July 2004 | 0.07 | 0.91 |
August 2004 | 0.07 | 0.96 |
September 2004 | 0.07 | 0.95 |
October 2004 | 0.08 | 1.06 |
November 2004 | 0.09 | 1.22 |
December 2004 | 0.10 | 1.29 |
January 2005 | 0.10 | 1.38 |
February 2005 | 0.08 | 1.11 |
March 2005 | 0.09 | 1.09 |
April 2005 | 0.09 | 0.97 |
May 2005 | 0.09 | 0.99 |
June 2005 | 0.08 | 1.13 |
July 2005 | 0.09 | 1.24 |
August 2005 | 0.09 | 1.29 |
September 2005 | 0.09 | 1.38 |
October 2005 | 0.08 | 1.56 |
November 2005 | 0.13 | 1.91 |
December 2005 | 0.14 | 2.17 |
January 2006 | 0.16 | 2.17 |
February 2006 | 0.14 | 1.96 |
March 2006 | 0.13 | 1.89 |
April 2006 | 0.13 | 1.94 |
May 2006 | 0.13 | 1.94 |
June 2006 | 0.14 | 2.17 |
July 2006 | 0.17 | 2.36 |
August 2006 | 0.19 | 2.52 |
September 2006 | 0.22 | 2.78 |
October 2006 | 0.26 | 3.10 |
November 2006 | 0.32 | 3.54 |
December 2006 | 0.37 | 3.74 |
January 2007 | 0.37 | 3.94 |
February 2007 | 0.40 | 3.68 |
March 2007 | 0.44 | 3.98 |
April 2007 | 0.48 | 4.29 |
Source: First American LoanPerformance.
Bottom-left panel
Number of Foreclosure Starts
Period | Subprime | Prime | Other (FHA/VA) | Sum |
---|---|---|---|---|
2003 | 192.97 | 319.39 | 363.15 | 875.51 |
2004 | 361.86 | 307.48 | 258.48 | 927.82 |
2005 | 401.66 | 292.02 | 187.93 | 881.61 |
2006:H1 | 457.26 | 272.80 | 160.48 | 890.54 |
2006:H2 | 621.80 | 361.41 | 158.18 | 1141.39 |
2007:Q1 | 696.75 | 439.30 | 153.79 | 1289.84 |
Source: Staff estimates based on data from the Mortgage Bankers Association.
Bottom-right panel
Q1 Foreclosure Starts and Predictions
- High in OH, MI and IN, but little changed
- Increased CA, FL, NV and AZ, and by more than in total U.S.
- Model foreclosure starts on state house price growth, unemployment, subprime share, interest rates, state fixed effects, and other variables
- Predicts 1.4 million in 2007 and a rise to 1.5 million in 2008 assuming national home prices are flat
Exhibit 9
Subprime Market Risks
Top-left panel
Distribution of First Rate Reset of Subprime ARMs Outstanding as of March 2007
Period | Percent |
---|---|
2006 and earlier | 17.69 |
2007:H1 | 18.67 |
2007:H2 | 24.53 |
2008:H1 | 20.38 |
2008:H2 | 13.99 |
2009 and later | 4.75 |
Note: Subprime 2/28 and 3/27 loans that are securitized and outstanding in March 2007.
Source: First American LoanPerformance.
Top-right panel
Characteristics of Interest Rate Resets
- Snapshot of subprime adjustable-rate mortgages:
- Initial rate: 7.35 percent
- Fully indexed rate = LIBOR + margin
- Most have caps on increase
Middle-left panel
Contract Interest Rates on Subprime Adjustable Rate Mortgages Around Reset Dates
Month Relative to First Reset | Contract rate | Data | Fully-indexed rate |
---|---|---|---|
-2 | 7.35 | 7.40 | ND |
-1 | 7.35 | 7.35 | ND |
0 | First reset, from 7.35 to 9.75 | 7.52 | 11.40 |
1 | 9.75 | 9.76 | 11.40 |
2 | 9.75 | 9.81 | 11.40 |
3 | 9.75 | 9.72 | 11.40 |
4 | 9.75 | 9.73 | 11.40 |
5 | 9.75 | 9.82 | 11.40 |
6 | Second reset, from 9.75 to 10.75 | 9.94 | 11.40 |
7 | 10.75 | 10.79 | 11.40 |
8 | 10.75 | 10.81 | 11.40 |
9 | 10.75 | 10.75 | 11.40 |
10 | 10.75 | 10.66 | 11.40 |
11 | 10.75 | 10.64 | 11.40 |
Note: Subprime 2/28 and 3/27 loans that are securitized and outstanding in March 2007.
Fully-indexed rate is estimated from chart.
Source: First American LoanPerformance.
Middle-right panel
Mortgages With Resets
- Many borrowers refinance before reset dates
- 25 percent of mortgages had a first reset
- 12 percent had a second reset
Bottom-left panel
Spreads on New Subprime RMBS Issues
Period | BBB- | A | AAA |
---|---|---|---|
August 11, 2006 | 1.90 | 0.41 | 0.15 |
August 18, 2006 | 1.90 | 0.41 | 0.15 |
August 25, 2006 | 1.90 | 0.42 | 0.15 |
September 1, 2006 | 1.90 | 0.42 | 0.15 |
September 8, 2006 | 1.95 | 0.42 | 0.15 |
September 15, 2006 | 2.00 | 0.42 | 0.16 |
September 22, 2006 | 2.00 | 0.41 | 0.16 |
September 29, 2006 | 2.05 | 0.41 | 0.17 |
October 6, 2006 | 2.05 | 0.40 | 0.16 |
October 13, 2006 | 2.05 | 0.41 | 0.16 |
October 20, 2006 | 2.15 | 0.42 | 0.16 |
October 27, 2006 | 2.15 | 0.42 | 0.16 |
November 3, 2006 | 2.15 | 0.41 | 0.16 |
November 10, 2006 | 2.15 | 0.41 | 0.15 |
November 17, 2006 | 2.45 | 0.40 | 0.15 |
November 24, 2006 | 2.50 | 0.40 | 0.16 |
December 1, 2006 | 2.57 | 0.40 | 0.16 |
December 8, 2006 | 2.50 | 0.39 | 0.16 |
December 15, 2006 | 2.75 | 0.41 | 0.16 |
December 22, 2006 | 2.85 | 0.41 | 0.16 |
December 29, 2006 | 2.85 | 0.41 | 0.16 |
January 5, 2007 | 2.75 | 0.41 | 0.16 |
January 12, 2007 | 2.75 | 0.40 | 0.16 |
January 19, 2007 | 2.50 | 0.40 | 0.15 |
January 26, 2007 | 2.45 | 0.37 | 0.14 |
February 2, 2007 | 2.50 | 0.37 | 0.14 |
February 9, 2007 | 3.20 | 0.42 | 0.15 |
February 16, 2007 | 3.30 | 0.43 | 0.15 |
February 23, 2007 | 3.75 | 0.45 | 0.16 |
March 2, 2007 | 6.00 | 0.90 | 0.21 |
March 9, 2007 | 7.00 | 1.10 | 0.25 |
March 16, 2007 | 7.50 | 1.30 | 0.23 |
March 23, 2007 | 7.50 | 1.25 | 0.22 |
March 30, 2007 | 7.00 | 1.35 | 0.25 |
April 6, 2007 | 9.00 | 1.40 | 0.25 |
April 13, 2007 | 9.00 | 1.50 | 0.25 |
April 20, 2007 | 6.50 | 1.25 | 0.25 |
April 27, 2007 | 7.00 | 1.00 | 0.24 |
May 4, 2007 | 6.80 | 0.90 | 0.23 |
May 11, 2007 | 6.50 | 0.70 | 0.21 |
May 18, 2007 | 5.00 | 0.60 | 0.21 |
May 25, 2007 | 3.75 | 0.53 | 0.20 |
June 1, 2007 | 4.10 | 0.58 | 0.21 |
June 8, 2007 | 4.50 | 0.50 | 0.21 |
June 15, 2007 | 4.50 | 0.50 | 0.22 |
June 22, 2007 | 5.50 | 0.60 | 0.24 |
Note: Measured relative to LIBOR.
Source: Trader estimates provided by Merrill Lynch.
Bottom-right panel
Subprime Originations
Period | Home purchase | Refinancing | Sum |
---|---|---|---|
2003 | 107 | 203 | 310 |
2004 | 206 | 324 | 530 |
2005:H1 | 242 | 304 | 546 |
2005:H2 | 342 | 362 | 704 |
2006:H1 | 294 | 316 | 610 |
2006:H2 | 256 | 334 | 590 |
2007:Q1 | 176 | 204 | 380 |
2007:Q2e | 136 | 174 | 310 |
e - Estimate based on securitizations through June 22. Return to table
Source: Inside Mortgage Finance for originations and LoanPerformance for purchase shares.
Exhibit 10
Foreign Growth and Domestic Demand
Top panel
Real GDP
Period | Total Foreign* | Total Foreign Forecast | United States | United States Forecast |
---|---|---|---|---|
1985 | 4.07 | ND | 4.17 | ND |
1986 | 2.55 | ND | 2.84 | ND |
1987 | 5.73 | ND | 4.48 | ND |
1988 | 4.56 | ND | 3.66 | ND |
1989 | 3.70 | ND | 2.66 | ND |
1990 | 2.93 | ND | 0.65 | ND |
1991 | 3.27 | ND | 1.09 | ND |
1992 | 2.20 | ND | 4.15 | ND |
1993 | 3.03 | ND | 2.51 | ND |
1994 | 5.01 | ND | 4.11 | ND |
1995 | 2.35 | ND | 2.02 | ND |
1996 | 4.07 | ND | 4.42 | ND |
1997 | 4.09 | ND | 4.34 | ND |
1998 | 1.54 | ND | 4.51 | ND |
1999 | 5.10 | ND | 4.70 | ND |
2000 | 4.22 | ND | 2.24 | ND |
2001 | 0.35 | ND | 0.23 | ND |
2002 | 3.07 | ND | 1.87 | ND |
2003 | 3.01 | ND | 3.68 | ND |
2004 | 3.82 | ND | 3.40 | ND |
2005 | 3.83 | ND | 3.15 | ND |
2006 | 3.86 | ND | 3.13 | ND |
2007 | ND | 3.64 | ND | 2.18 |
2008 | ND | 3.49 | ND | 2.52 |
* Weighted by shares of U.S. merchandise exports. Return to table
Note: Horizontal line marks 3.5 percent.
Middle-left panel
Foreign Final Domestic Demand*
Period | Percentage points |
---|---|
2001 | 0.73 |
2002 | 2.25 |
2003 | 2.63 |
2004 | 3.60 |
2005 | 3.96 |
2006 | 4.01 |
* Weighted by shares of U.S. merchandise exports. Return to text
Middle-right panel
Foreign Fixed Investment Spending*
Period | Percent of nominal GDP |
---|---|
2001:Q1 | 20.82 |
2001:Q2 | 20.60 |
2001:Q3 | 20.50 |
2001:Q4 | 20.11 |
2002:Q1 | 20.11 |
2002:Q2 | 20.09 |
2002:Q3 | 20.01 |
2002:Q4 | 20.01 |
2003:Q1 | 19.87 |
2003:Q2 | 19.79 |
2003:Q3 | 19.96 |
2003:Q4 | 20.18 |
2004:Q1 | 20.20 |
2004:Q2 | 20.44 |
2004:Q3 | 20.48 |
2004:Q4 | 20.51 |
2005:Q1 | 20.60 |
2005:Q2 | 20.76 |
2005:Q3 | 20.72 |
2005:Q4 | 20.71 |
2006:Q1 | 21.10 |
2006:Q2 | 21.24 |
2006:Q3 | 21.56 |
2006:Q4 | 21.78 |
* Weighted by shares of U.S. merchandise exports. Return to text
Bottom-left panel
Unemployment Rates
Period | Japan | Euro area | Canada |
---|---|---|---|
April 2001 | 4.8 | 7.7 | 7.1 |
May 2001 | 4.9 | 7.7 | 7.0 |
June 2001 | 5.0 | 7.7 | 7.1 |
July 2001 | 5.0 | 7.8 | 7.1 |
August 2001 | 5.1 | 7.8 | 7.2 |
September 2001 | 5.3 | 7.8 | 7.2 |
October 2001 | 5.3 | 7.9 | 7.4 |
November 2001 | 5.4 | 7.9 | 7.6 |
December 2001 | 5.4 | 7.9 | 8.0 |
January 2002 | 5.2 | 7.9 | 8.0 |
February 2002 | 5.3 | 8.0 | 7.9 |
March 2002 | 5.3 | 8.0 | 7.8 |
April 2002 | 5.3 | 8.1 | 7.7 |
May 2002 | 5.4 | 8.1 | 7.8 |
June 2002 | 5.5 | 8.1 | 7.5 |
July 2002 | 5.4 | 8.2 | 7.6 |
August 2002 | 5.5 | 8.3 | 7.4 |
September 2002 | 5.4 | 8.3 | 7.5 |
October 2002 | 5.4 | 8.3 | 7.5 |
November 2002 | 5.2 | 8.4 | 7.5 |
December 2002 | 5.4 | 8.4 | 7.5 |
January 2003 | 5.4 | 8.5 | 7.4 |
February 2003 | 5.2 | 8.6 | 7.4 |
March 2003 | 5.4 | 8.6 | 7.3 |
April 2003 | 5.5 | 8.6 | 7.6 |
May 2003 | 5.4 | 8.7 | 7.9 |
June 2003 | 5.4 | 8.7 | 7.7 |
July 2003 | 5.2 | 8.7 | 7.7 |
August 2003 | 5.1 | 8.7 | 7.8 |
September 2003 | 5.2 | 8.7 | 7.9 |
October 2003 | 5.1 | 8.7 | 7.6 |
November 2003 | 5.1 | 8.8 | 7.5 |
December 2003 | 4.9 | 8.8 | 7.3 |
January 2004 | 4.9 | 8.8 | 7.3 |
February 2004 | 5.0 | 8.8 | 7.3 |
March 2004 | 4.8 | 8.8 | 7.4 |
April 2004 | 4.8 | 8.8 | 7.2 |
May 2004 | 4.7 | 8.9 | 7.2 |
June 2004 | 4.7 | 8.9 | 7.3 |
July 2004 | 4.9 | 8.8 | 7.1 |
August 2004 | 4.8 | 8.8 | 7.1 |
September 2004 | 4.6 | 8.8 | 7.0 |
October 2004 | 4.6 | 8.8 | 7.1 |
November 2004 | 4.5 | 8.7 | 7.2 |
December 2004 | 4.5 | 8.7 | 7.1 |
January 2005 | 4.5 | 8.7 | 6.9 |
February 2005 | 4.6 | 8.8 | 7.0 |
March 2005 | 4.5 | 8.8 | 6.9 |
April 2005 | 4.5 | 8.7 | 6.8 |
May 2005 | 4.5 | 8.7 | 6.9 |
June 2005 | 4.3 | 8.6 | 6.9 |
July 2005 | 4.4 | 8.5 | 6.7 |
August 2005 | 4.3 | 8.4 | 6.7 |
September 2005 | 4.3 | 8.4 | 6.7 |
October 2005 | 4.4 | 8.4 | 6.7 |
November 2005 | 4.5 | 8.4 | 6.3 |
December 2005 | 4.4 | 8.4 | 6.5 |
January 2006 | 4.4 | 8.3 | 6.6 |
February 2006 | 4.1 | 8.2 | 6.3 |
March 2006 | 4.2 | 8.2 | 6.3 |
April 2006 | 4.1 | 8.0 | 6.4 |
May 2006 | 4.1 | 7.9 | 6.1 |
June 2006 | 4.2 | 7.9 | 6.1 |
July 2006 | 4.1 | 7.8 | 6.4 |
August 2006 | 4.1 | 7.8 | 6.4 |
September 2006 | 4.2 | 7.7 | 6.4 |
October 2006 | 4.1 | 7.7 | 6.1 |
November 2006 | 4.0 | 7.6 | 6.2 |
December 2006 | 4.0 | 7.5 | 6.1 |
January 2007 | 4.0 | 7.4 | 6.2 |
February 2007 | 4.0 | 7.3 | 6.1 |
March 2007 | 4.0 | 7.2 | 6.1 |
April 2007 | 3.8 | 7.1 | 6.1 |
May 2007 | ND | ND | 6.1 |
Bottom-right panel
Primary Commodity Prices
Period | WTI Oil (Dollars per barrel) |
WTI Oil Forecast | Non-fuel* (Index, January 2001 = 100) |
Non-fuel Forecast | Food** (Index, January 2001 = 100) |
Food Forecast |
---|---|---|---|---|---|---|
April 2001 | 27.41 | ND | 98.85 | ND | 97.88 | ND |
May 2001 | 28.64 | ND | 100.32 | ND | 101.06 | ND |
June 2001 | 27.60 | ND | 98.48 | ND | 101.02 | ND |
July 2001 | 26.45 | ND | 96.75 | ND | 104.99 | ND |
August 2001 | 27.47 | ND | 94.42 | ND | 104.03 | ND |
September 2001 | 25.88 | ND | 91.48 | ND | 100.24 | ND |
October 2001 | 22.21 | ND | 87.82 | ND | 95.13 | ND |
November 2001 | 19.67 | ND | 89.69 | ND | 95.71 | ND |
December 2001 | 19.33 | ND | 89.39 | ND | 95.78 | ND |
January 2002 | 19.67 | ND | 90.66 | ND | 96.62 | ND |
February 2002 | 20.74 | ND | 92.09 | ND | 95.91 | ND |
March 2002 | 24.42 | ND | 94.34 | ND | 97.79 | ND |
April 2002 | 26.27 | ND | 94.27 | ND | 96.88 | ND |
May 2002 | 27.02 | ND | 94.49 | ND | 99.26 | ND |
June 2002 | 25.52 | ND | 96.83 | ND | 101.73 | ND |
July 2002 | 26.94 | ND | 98.67 | ND | 106.23 | ND |
August 2002 | 28.38 | ND | 97.96 | ND | 106.85 | ND |
September 2002 | 29.67 | ND | 100.69 | ND | 109.82 | ND |
October 2002 | 28.85 | ND | 101.12 | ND | 109.77 | ND |
November 2002 | 26.27 | ND | 100.94 | ND | 107.23 | ND |
December 2002 | 29.42 | ND | 100.42 | ND | 107.87 | ND |
January 2003 | 32.94 | ND | 102.21 | ND | 107.97 | ND |
February 2003 | 35.87 | ND | 102.89 | ND | 107.06 | ND |
March 2003 | 33.55 | ND | 100.95 | ND | 106.41 | ND |
April 2003 | 28.25 | ND | 100.31 | ND | 105.72 | ND |
May 2003 | 28.15 | ND | 100.47 | ND | 107.36 | ND |
June 2003 | 30.73 | ND | 100.48 | ND | 105.22 | ND |
July 2003 | 30.76 | ND | 100.58 | ND | 102.21 | ND |
August 2003 | 31.59 | ND | 102.20 | ND | 104.09 | ND |
September 2003 | 28.29 | ND | 104.10 | ND | 108.19 | ND |
October 2003 | 30.33 | ND | 108.15 | ND | 113.37 | ND |
November 2003 | 31.06 | ND | 110.48 | ND | 115.97 | ND |
December 2003 | 32.15 | ND | 112.75 | ND | 116.11 | ND |
January 2004 | 34.24 | ND | 118.61 | ND | 120.62 | ND |
February 2004 | 34.74 | ND | 123.14 | ND | 124.11 | ND |
March 2004 | 36.76 | ND | 125.57 | ND | 131.23 | ND |
April 2004 | 36.69 | ND | 125.24 | ND | 133.32 | ND |
May 2004 | 40.29 | ND | 123.89 | ND | 133.48 | ND |
June 2004 | 38.04 | ND | 124.50 | ND | 129.45 | ND |
July 2004 | 40.80 | ND | 124.95 | ND | 126.06 | ND |
August 2004 | 44.94 | ND | 122.90 | ND | 120.42 | ND |
September 2004 | 45.95 | ND | 122.78 | ND | 118.35 | ND |
October 2004 | 53.13 | ND | 123.81 | ND | 115.30 | ND |
November 2004 | 48.46 | ND | 124.33 | ND | 115.70 | ND |
December 2004 | 43.33 | ND | 124.38 | ND | 116.96 | ND |
January 2005 | 46.84 | ND | 131.26 | ND | 117.83 | ND |
February 2005 | 47.97 | ND | 134.81 | ND | 122.46 | ND |
March 2005 | 54.22 | ND | 140.32 | ND | 128.13 | ND |
April 2005 | 53.04 | ND | 136.92 | ND | 124.26 | ND |
May 2005 | 49.83 | ND | 136.03 | ND | 124.67 | ND |
June 2005 | 56.40 | ND | 137.26 | ND | 124.19 | ND |
July 2005 | 58.70 | ND | 136.57 | ND | 124.05 | ND |
August 2005 | 64.97 | ND | 138.97 | ND | 122.48 | ND |
September 2005 | 65.57 | ND | 139.16 | ND | 123.33 | ND |
October 2005 | 62.37 | ND | 140.93 | ND | 123.87 | ND |
November 2005 | 58.30 | ND | 142.59 | ND | 120.73 | ND |
December 2005 | 59.43 | ND | 148.53 | ND | 124.36 | ND |
January 2006 | 65.51 | ND | 156.32 | ND | 126.37 | ND |
February 2006 | 61.63 | ND | 161.52 | ND | 130.46 | ND |
March 2006 | 62.88 | ND | 162.63 | ND | 130.80 | ND |
April 2006 | 69.69 | ND | 174.56 | ND | 132.24 | ND |
May 2006 | 70.94 | ND | 191.49 | ND | 140.08 | ND |
June 2006 | 70.96 | ND | 183.32 | ND | 139.26 | ND |
July 2006 | 74.41 | ND | 188.80 | ND | 138.79 | ND |
August 2006 | 73.05 | ND | 189.71 | ND | 136.05 | ND |
September 2006 | 63.87 | ND | 188.49 | ND | 133.17 | ND |
October 2006 | 58.90 | ND | 194.10 | ND | 137.23 | ND |
November 2006 | 59.15 | ND | 195.70 | ND | 140.82 | ND |
December 2006 | 62.06 | ND | 198.77 | ND | 141.04 | ND |
January 2007 | 54.23 | ND | 196.29 | ND | 141.17 | ND |
February 2007 | 59.26 | ND | 200.66 | ND | 145.94 | ND |
March 2007 | 60.56 | ND | 207.12 | ND | 145.55 | ND |
April 2007 | 63.96 | ND | 220.05 | ND | 144.22 | ND |
May 2007 | 63.46 | ND | 223.81 | ND | 146.52 | ND |
June 2007 | ND | 67.48 | ND | 226.16 | ND | 153.16 |
July 2007 | ND | 69.09 | ND | 227.00 | ND | 156.33 |
August 2007 | ND | 69.62 | ND | 227.73 | ND | 157.42 |
September 2007 | ND | 70.32 | ND | 228.49 | ND | 158.63 |
October 2007 | ND | 70.84 | ND | 228.37 | ND | 159.33 |
November 2007 | ND | 71.26 | ND | 228.18 | ND | 159.91 |
December 2007 | ND | 71.61 | ND | 228.24 | ND | 160.33 |
January 2008 | ND | 71.94 | ND | 228.33 | ND | 160.80 |
February 2008 | ND | 72.22 | ND | 228.19 | ND | 161.17 |
March 2008 | ND | 72.47 | ND | 228.04 | ND | 161.52 |
April 2008 | ND | 72.66 | ND | 227.64 | ND | 161.57 |
May 2008 | ND | 72.82 | ND | 227.21 | ND | 161.55 |
June 2008 | ND | 72.97 | ND | 226.64 | ND | 161.04 |
July 2008 | ND | 73.07 | ND | 226.05 | ND | 160.52 |
August 2008 | ND | 73.14 | ND | 225.53 | ND | 160.23 |
September 2008 | ND | 73.20 | ND | 225.00 | ND | 159.93 |
October 2008 | ND | 73.25 | ND | 224.56 | ND | 159.89 |
November 2008 | ND | 73.29 | ND | 224.12 | ND | 159.83 |
December 2008 | ND | 73.32 | ND | 223.73 | ND | 159.94 |
* IMF index, weighted by shares of U.S. merchandise imports. Return to table
** IMF index, weighted by global export shares. Return to table
Exhibit 11
Foreign Consumer Prices and Primary Commodity Prices
Top panels
Unleaded Gasoline and Imported Crude Oil Prices*
Period | Imported oil price | Gasoline price ex. tax | Price at pump |
---|---|---|---|
September 2004 | 100.00 | 167.24 | 551.04 |
October 2004 | 109.43 | 176.63 | 561.84 |
November 2004 | 92.60 | 160.19 | 542.58 |
December 2004 | 81.71 | 139.05 | 518.15 |
January 2005 | 92.34 | 136.23 | 514.86 |
February 2005 | 97.23 | 144.22 | 524.26 |
March 2005 | 111.33 | 153.14 | 534.59 |
April 2005 | 112.32 | 174.28 | 559.02 |
May 2005 | 108.10 | 175.22 | 559.96 |
June 2005 | 126.53 | 182.74 | 568.89 |
July 2005 | 137.67 | 202.00 | 591.43 |
August 2005 | 146.36 | 214.21 | 605.53 |
September 2005 | 147.26 | 240.05 | 635.59 |
October 2005 | 141.55 | 231.59 | 625.73 |
November 2005 | 135.80 | 193.54 | 581.57 |
December 2005 | 138.81 | 188.85 | 575.93 |
January 2006 | 148.57 | 197.30 | 585.80 |
February 2006 | 146.26 | 205.76 | 595.66 |
March 2006 | 147.03 | 197.77 | 586.27 |
April 2006 | 160.95 | 230.65 | 624.32 |
May 2006 | 155.69 | 240.99 | 636.53 |
June 2006 | 154.22 | 231.59 | 625.73 |
July 2006 | 164.95 | 249.92 | 646.87 |
August 2006 | 165.34 | 249.45 | 646.40 |
September 2006 | 142.72 | 201.06 | 590.03 |
October 2006 | 132.97 | 182.74 | 568.89 |
November 2006 | 131.83 | 174.75 | 559.49 |
December 2006 | 134.88 | 180.39 | 566.07 |
January 2007 | 122.03 | 178.04 | 577.81 |
February 2007 | 127.23 | 177.57 | 577.34 |
March 2007 | 134.69 | 195.89 | 599.42 |
Period | Imported oil price | Gasoline price ex. tax | Price at pump |
---|---|---|---|
September 2004 | 100.00 | 227.60 | 436.35 |
October 2004 | 96.35 | 227.60 | 436.35 |
November 2004 | 96.30 | 231.09 | 439.84 |
December 2004 | 89.08 | 227.60 | 436.35 |
January 2005 | 88.81 | 220.62 | 429.01 |
February 2005 | 95.58 | 217.13 | 425.17 |
March 2005 | 102.40 | 220.62 | 429.01 |
April 2005 | 118.67 | 238.07 | 447.17 |
May 2005 | 118.76 | 245.05 | 454.50 |
June 2005 | 120.61 | 241.56 | 451.01 |
July 2005 | 134.28 | 227.60 | 436.35 |
August 2005 | 138.36 | 241.21 | 450.31 |
September 2005 | 146.94 | 247.84 | 457.29 |
October 2005 | 150.32 | 247.84 | 457.29 |
November 2005 | 147.07 | 244.35 | 453.80 |
December 2005 | 142.38 | 241.21 | 450.31 |
January 2006 | 146.56 | 237.72 | 446.82 |
February 2006 | 159.33 | 244.35 | 453.80 |
March 2006 | 157.47 | 247.84 | 457.29 |
April 2006 | 160.35 | 247.84 | 457.29 |
May 2006 | 165.67 | 264.25 | 474.74 |
June 2006 | 171.32 | 264.25 | 474.74 |
July 2006 | 175.11 | 267.74 | 478.23 |
August 2006 | 184.27 | 290.78 | 502.67 |
September 2006 | 181.61 | 290.78 | 502.67 |
October 2006 | 162.22 | 281.01 | 492.20 |
November 2006 | 151.75 | 267.74 | 478.23 |
December 2006 | 152.14 | 257.62 | 467.76 |
January 2007 | 157.68 | 254.48 | 464.27 |
February 2007 | 143.77 | 241.21 | 450.31 |
March 2007 | 149.97 | 241.21 | 450.31 |
Period | Imported oil price | Gasoline price ex. tax | Price at pump |
---|---|---|---|
September 2004 | 100.00 | 158.05 | 249.59 |
October 2004 | 111.18 | 165.20 | 257.05 |
November 2004 | 104.92 | 154.17 | 245.42 |
December 2004 | 93.83 | 139.26 | 229.32 |
January 2005 | 93.45 | 145.22 | 235.88 |
February 2005 | 100.39 | 155.06 | 246.31 |
March 2005 | 111.81 | 166.69 | 258.84 |
April 2005 | 116.86 | 180.41 | 273.45 |
May 2005 | 115.04 | 170.87 | 263.31 |
June 2005 | 116.91 | 179.22 | 272.26 |
July 2005 | 124.30 | 185.48 | 278.82 |
August 2005 | 134.83 | 204.57 | 299.39 |
September 2005 | 136.87 | 232.60 | 329.21 |
October 2005 | 132.13 | 205.76 | 300.59 |
November 2005 | 125.17 | 173.85 | 266.29 |
December 2005 | 119.97 | 175.34 | 268.08 |
January 2006 | 127.80 | 189.36 | 282.99 |
February 2006 | 131.02 | 172.66 | 265.10 |
March 2006 | 128.74 | 185.18 | 278.52 |
April 2006 | 141.05 | 220.37 | 316.09 |
May 2006 | 145.80 | 218.28 | 314.01 |
June 2006 | 140.17 | 220.37 | 316.09 |
July 2006 | 148.29 | 235.28 | 328.92 |
August 2006 | 151.45 | 232.30 | 325.93 |
September 2006 | 136.30 | 179.81 | 270.17 |
October 2006 | 125.16 | 171.47 | 261.52 |
November 2006 | 124.19 | 172.66 | 262.71 |
December 2006 | 133.37 | 182.50 | 273.15 |
January 2007 | 123.31 | 172.06 | 262.12 |
February 2007 | 122.76 | 171.17 | 261.22 |
March 2007 | 130.11 | 210.83 | 303.27 |
Period | Imported oil price | Gasoline price ex. tax | Price at pump |
---|---|---|---|
September 2004 | 100.00 | 155.76 | 196.79 |
October 2004 | 111.30 | 169.30 | 210.33 |
November 2004 | 102.46 | 168.11 | 209.14 |
December 2004 | 89.38 | 154.96 | 195.99 |
January 2005 | 93.18 | 149.78 | 190.81 |
February 2005 | 99.17 | 159.34 | 200.37 |
March 2005 | 112.18 | 171.69 | 212.72 |
April 2005 | 114.98 | 194.80 | 236.23 |
May 2005 | 109.72 | 187.63 | 229.05 |
June 2005 | 120.12 | 184.04 | 225.47 |
July 2005 | 131.37 | 199.58 | 241.01 |
August 2005 | 142.07 | 217.10 | 258.53 |
September 2005 | 148.66 | 257.74 | 299.17 |
October 2005 | 140.32 | 250.57 | 292.00 |
November 2005 | 129.92 | 204.76 | 246.18 |
December 2005 | 127.99 | 187.63 | 229.05 |
January 2006 | 136.56 | 200.77 | 242.60 |
February 2006 | 135.33 | 200.77 | 242.60 |
March 2006 | 136.88 | 206.75 | 248.57 |
April 2006 | 152.29 | 246.98 | 288.81 |
May 2006 | 161.14 | 265.31 | 307.13 |
June 2006 | 161.04 | 261.72 | 303.55 |
July 2006 | 168.40 | 271.28 | 313.11 |
August 2006 | 167.68 | 273.27 | 315.10 |
September 2006 | 150.19 | 227.06 | 268.89 |
October 2006 | 134.95 | 195.19 | 237.02 |
November 2006 | 132.07 | 192.01 | 233.84 |
December 2006 | 136.36 | 201.57 | 243.40 |
January 2007 | 129.04 | 195.99 | 237.82 |
February 2007 | 131.60 | 192.41 | 234.23 |
March 2007 | 140.37 | 221.88 | 263.71 |
* Index of local currency prices, imported crude oil price = 100 in September 2004, ratio scale. Return to text
Middle-left panel
Pass-Through of Crude Oil Prices to Retail Gasoline Prices
Pass-Through* | |
---|---|
Germany | .25 |
Japan | .06 |
Canada | .71 |
United States | .84 |
* Ratio of percent change in local-currency price of regular unleaded gasoline to percent change in local-currency price of imported crude oil. Return to table
Middle-right panel
Consumer Energy Prices
Period | Germany | Japan | Canada | United States |
---|---|---|---|---|
January 2003 | 100.00 | 100.00 | 100.00 | 100.00 |
February 2003 | 102.08 | 100.25 | 104.34 | 106.37 |
March 2003 | 102.80 | 101.03 | 106.48 | 111.21 |
April 2003 | 99.55 | 101.89 | 97.86 | 105.38 |
May 2003 | 97.74 | 101.73 | 95.73 | 102.15 |
June 2003 | 98.28 | 101.28 | 97.58 | 102.07 |
July 2003 | 98.64 | 101.19 | 98.01 | 102.61 |
August 2003 | 99.73 | 101.15 | 102.21 | 105.84 |
September 2003 | 99.10 | 101.22 | 102.14 | 109.14 |
October 2003 | 99.37 | 100.92 | 97.58 | 106.07 |
November 2003 | 98.92 | 100.82 | 96.44 | 103.23 |
December 2003 | 98.83 | 100.74 | 97.01 | 104.22 |
January 2004 | 99.82 | 100.47 | 98.93 | 107.60 |
February 2004 | 99.55 | 100.43 | 101.07 | 110.52 |
March 2004 | 100.63 | 100.53 | 102.07 | 111.67 |
April 2004 | 102.17 | 100.97 | 104.13 | 111.21 |
May 2004 | 104.88 | 101.14 | 111.25 | 116.97 |
June 2004 | 103.16 | 102.68 | 110.26 | 119.28 |
July 2004 | 104.34 | 103.00 | 108.48 | 117.51 |
August 2004 | 105.96 | 103.08 | 108.55 | 117.13 |
September 2004 | 105.33 | 104.77 | 108.05 | 116.59 |
October 2004 | 108.76 | 104.68 | 110.33 | 122.20 |
November 2004 | 105.87 | 105.21 | 108.05 | 122.96 |
December 2004 | 103.43 | 105.08 | 104.91 | 121.35 |
January 2005 | 105.15 | 104.08 | 106.20 | 118.89 |
February 2005 | 106.14 | 103.76 | 108.48 | 122.04 |
March 2005 | 109.03 | 103.87 | 111.75 | 125.50 |
April 2005 | 111.38 | 105.46 | 115.31 | 129.95 |
May 2005 | 111.11 | 106.01 | 113.11 | 128.57 |
June 2005 | 113.64 | 105.62 | 114.60 | 128.03 |
July 2005 | 116.53 | 106.16 | 118.45 | 134.26 |
August 2005 | 118.25 | 107.30 | 122.08 | 141.09 |
September 2005 | 122.04 | 108.10 | 131.20 | 157.76 |
October 2005 | 122.49 | 109.11 | 125.21 | 158.37 |
November 2005 | 118.25 | 109.11 | 117.59 | 145.24 |
December 2005 | 118.34 | 108.84 | 115.60 | 141.78 |
January 2006 | 121.41 | 110.33 | 122.44 | 148.23 |
February 2006 | 121.68 | 111.17 | 117.31 | 146.62 |
March 2006 | 121.95 | 111.45 | 120.01 | 147.24 |
April 2006 | 125.75 | 111.13 | 128.28 | 153.00 |
May 2006 | 126.29 | 112.78 | 129.06 | 158.60 |
June 2006 | 127.10 | 112.81 | 127.78 | 157.76 |
July 2006 | 128.36 | 112.92 | 131.05 | 161.75 |
August 2006 | 127.64 | 115.19 | 130.77 | 162.37 |
September 2006 | 122.94 | 115.23 | 118.87 | 150.54 |
October 2006 | 122.31 | 114.28 | 114.32 | 140.48 |
November 2006 | 121.59 | 112.63 | 114.32 | 140.17 |
December 2006 | 121.59 | 112.02 | 117.38 | 146.01 |
January 2007 | 123.31 | 112.29 | 115.53 | 143.89 |
February 2007 | 124.30 | 110.98 | 117.31 | 145.12 |
March 2007 | 126.29 | 110.88 | 125.43 | 153.74 |
April 2007 | 127.91 | 111.09 | 128.42 | 157.43 |
May 2007 | 128.73 | ND | ND | 165.95 |
Bottom-left panel
Food Prices in Mexico
Period | Tortillas and corn products | Tomatoes | Food |
---|---|---|---|
March 2003 | 8.87 | 30.90 | 8.00 |
April 2003 | 9.37 | 2.28 | 7.02 |
May 2003 | 9.73 | 15.37 | 6.48 |
June 2003 | 10.03 | 3.00 | 5.31 |
July 2003 | 10.12 | 33.17 | 4.59 |
August 2003 | 10.32 | 46.25 | 4.12 |
September 2003 | 10.60 | 53.58 | 5.18 |
October 2003 | 10.18 | 42.47 | 5.57 |
November 2003 | 11.07 | 13.32 | 5.30 |
December 2003 | 12.39 | 0.30 | 5.02 |
January 2004 | 12.27 | -10.86 | 6.52 |
February 2004 | 9.80 | 21.67 | 7.72 |
March 2004 | 8.80 | -15.66 | 6.10 |
April 2004 | 8.27 | 16.63 | 5.72 |
May 2004 | 8.04 | 8.04 | 5.61 |
June 2004 | 7.90 | -17.32 | 5.20 |
July 2004 | 7.88 | -33.33 | 5.47 |
August 2004 | 7.86 | -10.75 | 7.51 |
September 2004 | 8.09 | 12.44 | 8.59 |
October 2004 | 8.04 | 61.30 | 9.99 |
November 2004 | 6.96 | 83.21 | 10.04 |
December 2004 | 7.15 | 23.24 | 8.46 |
January 2005 | 7.15 | -19.72 | 5.52 |
February 2005 | 7.74 | -6.43 | 5.29 |
March 2005 | 7.84 | 24.61 | 6.23 |
April 2005 | 7.42 | 57.30 | 8.30 |
May 2005 | 7.20 | 74.79 | 9.30 |
June 2005 | 6.70 | 61.22 | 8.01 |
July 2005 | 7.01 | 56.31 | 8.53 |
August 2005 | 6.81 | -5.98 | 6.43 |
September 2005 | 6.27 | -26.65 | 4.53 |
October 2005 | 6.36 | -51.40 | 1.96 |
November 2005 | 6.18 | -60.26 | 0.33 |
December 2005 | 5.22 | -23.18 | 1.92 |
January 2006 | 4.90 | 106.36 | 5.01 |
February 2006 | 5.75 | 112.74 | 4.53 |
March 2006 | 6.37 | 12.02 | 2.53 |
April 2006 | 6.47 | -26.86 | 0.79 |
May 2006 | 6.54 | -33.46 | 0.32 |
June 2006 | 6.73 | -27.23 | 1.20 |
July 2006 | 6.68 | -35.35 | 0.54 |
August 2006 | 7.24 | 6.85 | 2.27 |
September 2006 | 10.93 | 87.55 | 5.56 |
October 2006 | 11.49 | 136.18 | 7.15 |
November 2006 | 11.49 | 81.89 | 6.79 |
December 2006 | 13.64 | 10.18 | 6.76 |
January 2007 | 18.89 | -26.77 | 6.17 |
February 2007 | 15.46 | -39.38 | 6.11 |
March 2007 | 14.30 | -37.02 | 7.22 |
April 2007 | 13.89 | -15.82 | 7.80 |
May 2007 | 13.41 | -12.98 | 6.39 |
* Twelve-month change. Return to table
Bottom-right panel
Food Prices in China
Period | Meat and poultry | Food |
---|---|---|
March 2003 | -1.4 | 3.2 |
April 2003 | -0.6 | 3.2 |
May 2003 | -0.4 | 1.9 |
June 2003 | 0.5 | 0.4 |
July 2003 | 2.2 | 1.0 |
August 2003 | 3.5 | 2.2 |
September 2003 | 5.1 | 3.2 |
October 2003 | 8.1 | 5.1 |
November 2003 | 12.4 | 8.1 |
December 2003 | 12.1 | 8.6 |
January 2004 | 14.6 | 8.0 |
February 2004 | 10.9 | 5.6 |
March 2004 | 14.6 | 7.9 |
April 2004 | 18.2 | 10.2 |
May 2004 | 19.7 | 11.8 |
June 2004 | 22.1 | 14.0 |
July 2004 | 22.9 | 14.6 |
August 2004 | 23.5 | 13.9 |
September 2004 | 22.4 | 13.0 |
October 2004 | 18.9 | 10.0 |
November 2004 | 12.6 | 5.9 |
December 2004 | 11.5 | 4.9 |
January 2005 | 9.3 | 4.0 |
February 2005 | 14.9 | 8.8 |
March 2005 | 12.2 | 5.6 |
April 2005 | 8.6 | 3.1 |
May 2005 | 6.9 | 2.8 |
June 2005 | 4.0 | 2.1 |
July 2005 | 0.9 | 2.3 |
August 2005 | -2.1 | 0.9 |
September 2005 | -3.7 | 0.3 |
October 2005 | -4.9 | 1.3 |
November 2005 | -6.3 | 1.6 |
December 2005 | -6.3 | 2.2 |
January 2006 | -4.6 | 3.6 |
February 2006 | -6.6 | 1.2 |
March 2006 | -7.8 | 0.8 |
April 2006 | -8.7 | 1.8 |
May 2006 | -9.3 | 1.9 |
June 2006 | -9.0 | 2.1 |
July 2006 | -7.1 | 0.6 |
August 2006 | -3.1 | 1.4 |
September 2006 | -0.5 | 2.4 |
October 2006 | 2.6 | 2.2 |
November 2006 | 7.6 | 3.7 |
December 2006 | 13.4 | 6.3 |
January 2007 | 13.5 | 5.0 |
February 2007 | 15.4 | 6.0 |
March 2007 | 16.5 | 7.7 |
April 2007 | 17.6 | 7.1 |
May 2007 | 26.5 | 8.3 |
* Twelve-month change. Return to table
Exhibit 12
Foreign Inflation: Core, Expectations, and Outlook
Top and middle panels
Core Consumer Prices
Top-left panel
Emerging Market Economies
Period | Brazil | China* | Korea | Mexico |
---|---|---|---|---|
April 2001 | 3.58 | 1.17 | 3.61 | 6.54 |
May 2001 | 3.76 | 1.13 | 4.12 | 6.49 |
June 2001 | 3.73 | 1.07 | 4.12 | 6.45 |
July 2001 | 4.09 | 1.00 | 3.80 | 6.17 |
August 2001 | 4.27 | 0.93 | 3.69 | 5.98 |
September 2001 | 4.27 | -0.20 | 3.48 | 5.86 |
October 2001 | 4.55 | -0.07 | 3.58 | 5.67 |
November 2001 | 5.04 | -0.03 | 3.67 | 5.28 |
December 2001 | 5.64 | -0.03 | 3.56 | 4.97 |
January 2002 | 5.77 | -0.37 | 2.94 | 4.77 |
February 2002 | 6.03 | -0.20 | 3.03 | 4.76 |
March 2002 | 6.19 | -0.60 | 3.01 | 4.66 |
April 2002 | 6.30 | -0.63 | 3.00 | 4.47 |
May 2002 | 6.46 | -0.60 | 2.99 | 4.23 |
June 2002 | 6.33 | -0.73 | 2.89 | 4.00 |
July 2002 | 6.21 | -0.60 | 2.99 | 3.92 |
August 2002 | 6.09 | -0.57 | 2.79 | 3.89 |
September 2002 | 6.49 | -0.63 | 2.88 | 3.78 |
October 2002 | 6.75 | -0.63 | 2.97 | 3.77 |
November 2002 | 7.35 | -0.67 | 3.07 | 3.70 |
December 2002 | 8.30 | -0.57 | 3.05 | 3.70 |
January 2003 | 9.26 | -0.40 | 3.14 | 3.79 |
February 2003 | 9.44 | -0.40 | 3.04 | 3.62 |
March 2003 | 10.19 | -0.17 | 3.39 | 3.61 |
April 2003 | 10.53 | -0.07 | 3.20 | 3.58 |
May 2003 | 10.56 | 0.07 | 3.09 | 3.66 |
June 2003 | 10.97 | 0.17 | 3.28 | 3.62 |
July 2003 | 10.83 | 0.17 | 3.09 | 3.56 |
August 2003 | 10.80 | 0.17 | 3.18 | 3.50 |
September 2003 | 10.54 | 0.03 | 3.08 | 3.46 |
October 2003 | 10.14 | 0.10 | 2.79 | 3.42 |
November 2003 | 9.27 | 0.30 | 2.70 | 3.50 |
December 2003 | 8.17 | 0.33 | 2.78 | 3.61 |
January 2004 | 7.37 | 0.53 | 2.77 | 3.61 |
February 2004 | 7.38 | 0.23 | 2.67 | 3.61 |
March 2004 | 7.09 | 0.37 | 2.73 | 3.58 |
April 2004 | 6.99 | 0.40 | 2.73 | 3.56 |
May 2004 | 7.14 | 0.47 | 2.73 | 3.50 |
June 2004 | 7.15 | 0.33 | 2.72 | 3.65 |
July 2004 | 7.25 | 0.43 | 3.09 | 3.64 |
August 2004 | 7.45 | 0.67 | 3.17 | 3.64 |
September 2004 | 7.49 | 0.87 | 3.17 | 3.73 |
October 2004 | 7.68 | 0.97 | 3.35 | 3.80 |
November 2004 | 7.89 | 0.83 | 3.08 | 3.77 |
December 2004 | 7.93 | 0.77 | 2.88 | 3.76 |
January 2005 | 7.85 | 0.57 | 3.25 | 3.77 |
February 2005 | 7.77 | 0.97 | 3.37 | 3.74 |
March 2005 | 7.30 | 0.83 | 2.78 | 3.64 |
April 2005 | 7.29 | 0.77 | 2.69 | 3.48 |
May 2005 | 7.16 | 0.87 | 2.61 | 3.44 |
June 2005 | 6.97 | 0.90 | 2.33 | 3.39 |
July 2005 | 6.88 | 1.03 | 2.06 | 3.41 |
August 2005 | 6.56 | 1.00 | 1.89 | 3.27 |
September 2005 | 6.45 | 0.80 | 1.81 | 3.18 |
October 2005 | 6.26 | 0.77 | 1.72 | 3.13 |
November 2005 | 5.95 | 0.77 | 1.90 | 3.08 |
December 2005 | 5.55 | 0.87 | 1.84 | 3.10 |
January 2006 | 5.88 | 0.70 | 1.31 | 2.98 |
February 2006 | 5.65 | 0.50 | 1.31 | 2.91 |
March 2006 | 5.78 | 0.53 | 1.40 | 3.05 |
April 2006 | 5.26 | 0.60 | 1.50 | 3.21 |
May 2006 | 4.63 | 0.77 | 1.80 | 3.15 |
June 2006 | 4.09 | 0.80 | 1.90 | 3.21 |
July 2006 | 3.85 | 0.80 | 2.10 | 3.26 |
August 2006 | 3.72 | 0.83 | 2.10 | 3.33 |
September 2006 | 3.64 | 0.70 | 2.00 | 3.44 |
October 2006 | 3.57 | 0.67 | 2.00 | 3.43 |
November 2006 | 3.52 | 0.67 | 2.10 | 3.49 |
December 2006 | 3.56 | 0.70 | 2.09 | 3.60 |
January 2007 | 3.09 | 0.53 | 2.09 | 3.89 |
February 2007 | 2.90 | 0.70 | 2.28 | 3.96 |
March 2007 | 2.58 | 0.73 | 2.37 | 3.84 |
April 2007 | 2.66 | 0.63 | 2.56 | 3.67 |
May 2007 | 3.03 | 0.63 | 2.16 | 3.74 |
* Staff estimate. Return to table
Top-right panel
Advanced Foreign Economies
Period | Canada | Euro area | Japan | United Kingdom |
---|---|---|---|---|
April 2001 | 2.31 | 1.80 | -0.78 | 1.01 |
May 2001 | 2.31 | 1.98 | -0.97 | 1.18 |
June 2001 | 2.30 | 2.03 | -0.88 | 1.39 |
July 2001 | 2.51 | 2.01 | -0.88 | 1.54 |
August 2001 | 2.40 | 1.98 | -0.78 | 1.76 |
September 2001 | 2.29 | 2.16 | -0.78 | 1.45 |
October 2001 | 2.18 | 2.33 | -0.68 | 1.24 |
November 2001 | 1.76 | 2.41 | -0.88 | 1.24 |
December 2001 | 1.55 | 2.34 | -0.98 | 1.45 |
January 2002 | 1.86 | 2.61 | -0.88 | 1.70 |
February 2002 | 2.28 | 2.67 | -0.78 | 1.58 |
March 2002 | 2.06 | 2.65 | -0.78 | 1.63 |
April 2002 | 2.16 | 2.45 | -0.98 | 1.39 |
May 2002 | 2.15 | 2.57 | -0.88 | 1.32 |
June 2002 | 2.15 | 2.51 | -0.88 | 1.30 |
July 2002 | 2.14 | 2.53 | -0.88 | 1.48 |
August 2002 | 2.55 | 2.53 | -0.98 | 1.24 |
September 2002 | 2.55 | 2.44 | -0.98 | 1.28 |
October 2002 | 2.54 | 2.32 | -0.98 | 1.56 |
November 2002 | 3.16 | 2.31 | -0.79 | 1.56 |
December 2002 | 2.75 | 2.21 | -0.69 | 1.64 |
January 2003 | 3.25 | 2.05 | -0.79 | 1.41 |
February 2003 | 3.03 | 2.10 | -0.69 | 1.55 |
March 2003 | 2.83 | 2.01 | -0.59 | 1.48 |
April 2003 | 2.11 | 2.11 | -0.40 | 1.54 |
May 2003 | 2.31 | 1.96 | -0.30 | 1.35 |
June 2003 | 2.10 | 1.94 | -0.40 | 1.11 |
July 2003 | 1.90 | 1.89 | -0.20 | 1.25 |
August 2003 | 1.49 | 1.89 | -0.10 | 1.27 |
September 2003 | 1.69 | 1.95 | -0.10 | 1.35 |
October 2003 | 1.88 | 1.97 | 0.00 | 1.27 |
November 2003 | 1.68 | 1.95 | -0.10 | 1.22 |
December 2003 | 2.08 | 1.88 | 0.00 | 1.05 |
January 2004 | 1.38 | 1.99 | -0.10 | 1.28 |
February 2004 | 1.18 | 2.08 | 0.00 | 1.19 |
March 2004 | 1.28 | 2.09 | -0.10 | 1.06 |
April 2004 | 1.77 | 2.09 | -0.20 | 1.07 |
May 2004 | 1.57 | 2.10 | -0.30 | 1.21 |
June 2004 | 1.76 | 2.13 | -0.10 | 1.33 |
July 2004 | 1.86 | 2.15 | -0.20 | 1.17 |
August 2004 | 1.57 | 2.18 | -0.20 | 1.07 |
September 2004 | 1.56 | 2.04 | -0.10 | 0.98 |
October 2004 | 1.46 | 1.96 | -0.10 | 0.94 |
November 2004 | 1.55 | 1.88 | -0.20 | 1.09 |
December 2004 | 1.65 | 2.06 | -0.20 | 1.29 |
January 2005 | 1.65 | 1.82 | -0.30 | 1.26 |
February 2005 | 1.75 | 1.63 | -0.60 | 1.21 |
March 2005 | 1.84 | 1.59 | -0.50 | 1.42 |
April 2005 | 1.74 | 1.40 | -0.40 | 1.43 |
May 2005 | 1.64 | 1.54 | -0.30 | 1.56 |
June 2005 | 1.54 | 1.40 | -0.60 | 1.54 |
July 2005 | 1.35 | 1.35 | -0.60 | 1.82 |
August 2005 | 1.83 | 1.33 | -0.60 | 1.80 |
September 2005 | 1.73 | 1.44 | -0.60 | 1.72 |
October 2005 | 1.63 | 1.48 | -0.50 | 1.73 |
November 2005 | 1.63 | 1.51 | -0.50 | 1.65 |
December 2005 | 1.53 | 1.40 | -0.50 | 1.45 |
January 2006 | 1.62 | 1.34 | -0.10 | 1.37 |
February 2006 | 1.62 | 1.36 | 0.00 | 1.49 |
March 2006 | 1.62 | 1.45 | 0.10 | 1.35 |
April 2006 | 1.62 | 1.60 | -0.10 | 1.36 |
May 2006 | 1.90 | 1.46 | 0.00 | 1.20 |
June 2006 | 1.80 | 1.55 | 0.20 | 1.38 |
July 2006 | 2.09 | 1.59 | 0.20 | 1.09 |
August 2006 | 1.99 | 1.50 | 0.30 | 1.27 |
September 2006 | 2.27 | 1.52 | 0.20 | 1.60 |
October 2006 | 2.36 | 1.62 | 0.10 | 1.65 |
November 2006 | 2.07 | 1.59 | 0.20 | 1.79 |
December 2006 | 2.07 | 1.63 | 0.10 | 1.94 |
January 2007 | 2.16 | 1.79 | 0.00 | 1.80 |
February 2007 | 2.44 | 1.91 | -0.10 | 1.94 |
March 2007 | 2.34 | 1.87 | -0.30 | 2.22 |
April 2007 | 2.53 | 1.90 | -0.10 | 2.12 |
May 2007 | 2.24 | 1.95 | ND | 2.21 |
Middle-left panel
Change in Ten-Year Sovereign Bond Yields
Nominal Yield |
Indexed Real Yield |
Inflation Compensation |
|
---|---|---|---|
Canada* | 54 | 43 | 11 |
Euro area | 67 | 65 | 2 |
United Kingdom | 73 | 56 | 17 |
Japan | 19 | 6 | 13 |
United States | 40 | 28 | 12 |
* 15-year maturities. Return to table
Middle-right panel
Headline Inflation Expectations
For 2007 as of: | Long-run* as of Apr. 07 |
||
---|---|---|---|
Dec. 06 | Jun. 07 | ||
Canada | 1.7 | 2.2 | 2.0 |
Euro area | 2.1 | 2.0 | 1.9 |
United Kingdom | 2.2 | 2.4 | 1.9 |
Japan | 0.3 | 0.0 | 1.2 |
United States | 2.0 | 2.6 | 2.1 |
* Expectations for inflation in years 2013 to 2017. Return to table
Source: Consensus Economics Surveys.
Bottom panels
Headline Consumer Prices
Bottom-left panel
Advanced Foreign Economies
Period | Canada | Canada Forecast |
Euro Area |
Euro Area Forecast |
Japan | Japan Forecast |
United Kingdom |
United Kingdom Forecast |
---|---|---|---|---|---|---|---|---|
2004:Q2 | 2.22 | ND | 2.29 | ND | -0.30 | ND | 1.45 | ND |
2004:Q3 | 1.96 | ND | 2.23 | ND | -0.13 | ND | 1.26 | ND |
2004:Q4 | 2.28 | ND | 2.29 | ND | 0.50 | ND | 1.43 | ND |
2005:Q1 | 2.08 | ND | 2.07 | ND | -0.27 | ND | 1.75 | ND |
2005:Q2 | 1.93 | ND | 2.04 | ND | -0.40 | ND | 1.96 | ND |
2005:Q3 | 2.67 | ND | 2.32 | ND | -0.60 | ND | 2.35 | ND |
2005:Q4 | 2.25 | ND | 2.33 | ND | -1.02 | ND | 2.13 | ND |
2006:Q1 | 2.51 | ND | 2.35 | ND | -0.17 | ND | 1.96 | ND |
2006:Q2 | 2.58 | ND | 2.47 | ND | 0.17 | ND | 2.25 | ND |
2006:Q3 | 1.61 | ND | 2.14 | ND | 0.60 | ND | 2.40 | ND |
2006:Q4 | 1.32 | ND | 1.77 | ND | 0.33 | ND | 2.71 | ND |
2007:Q1 | 1.88 | ND | 1.89 | ND | -0.10 | ND | 2.85 | ND |
2007:Q2 | ND | 1.85 | ND | 1.82 | ND | -0.08 | ND | 2.56 |
2007:Q3 | ND | 2.38 | ND | 2.00 | ND | -0.21 | ND | 2.27 |
2007:Q4 | ND | 2.86 | ND | 2.25 | ND | 0.25 | ND | 2.19 |
2008:Q1 | ND | 2.32 | ND | 2.25 | ND | 0.59 | ND | 2.08 |
2008:Q2 | ND | 2.12 | ND | 2.09 | ND | 0.59 | ND | 2.02 |
2008:Q3 | ND | 2.07 | ND | 1.95 | ND | 0.55 | ND | 2.02 |
2008:Q4 | ND | 2.05 | ND | 1.93 | ND | 0.51 | ND | 2.02 |
Bottom-right panel
Emerging Market Economies
Period | Brazil | Brazil Forecast |
China | China Forecast |
Korea | Korea Forecast |
Mexico | Mexico Forecast |
---|---|---|---|---|---|---|---|---|
2004:Q2 | 5.46 | ND | 4.33 | ND | 3.42 | ND | 4.33 | ND |
2004:Q3 | 6.84 | ND | 5.19 | ND | 4.31 | ND | 4.78 | ND |
2004:Q4 | 7.20 | ND | 3.27 | ND | 3.38 | ND | 5.31 | ND |
2005:Q1 | 7.36 | ND | 2.71 | ND | 3.25 | ND | 4.40 | ND |
2005:Q2 | 7.74 | ND | 1.72 | ND | 3.00 | ND | 4.54 | ND |
2005:Q3 | 6.16 | ND | 1.29 | ND | 2.31 | ND | 3.97 | ND |
2005:Q4 | 6.07 | ND | 1.40 | ND | 2.47 | ND | 3.08 | ND |
2006:Q1 | 5.57 | ND | 1.23 | ND | 2.07 | ND | 3.70 | ND |
2006:Q2 | 4.32 | ND | 1.33 | ND | 2.26 | ND | 3.14 | ND |
2006:Q3 | 3.84 | ND | 1.23 | ND | 2.51 | ND | 3.54 | ND |
2006:Q4 | 3.21 | ND | 2.09 | ND | 2.13 | ND | 4.14 | ND |
2007:Q1 | 3.13 | ND | 2.77 | ND | 2.00 | ND | 4.10 | ND |
2007:Q2 | ND | 3.40 | ND | 3.36 | ND | 2.39 | ND | 4.08 |
2007:Q3 | ND | 4.05 | ND | 3.75 | ND | 2.46 | ND | 3.74 |
2007:Q4 | ND | 4.03 | ND | 3.39 | ND | 3.23 | ND | 3.36 |
2008:Q1 | ND | 3.61 | ND | 3.09 | ND | 3.78 | ND | 3.18 |
2008:Q2 | ND | 3.65 | ND | 2.59 | ND | 3.38 | ND | 3.51 |
2008:Q3 | ND | 3.66 | ND | 2.33 | ND | 3.13 | ND | 3.52 |
2008:Q4 | ND | 3.66 | ND | 2.35 | ND | 2.84 | ND | 3.54 |
Exhibit 13
What Explains the Improved Outlook for External Adjustment? (Part 1)
Top-left panel
Current Account Balance
Period | Current Account Balance | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | -417.85 | -440.36 | ND |
2002:Q2 | -462.97 | -477.14 | ND |
2002:Q3 | -464.27 | -480.32 | ND |
2002:Q4 | -493.45 | -502.99 | ND |
2003:Q1 | -540.44 | -546.64 | ND |
2003:Q2 | -520.43 | -515.18 | ND |
2003:Q3 | -522.09 | -515.92 | ND |
2003:Q4 | -505.47 | -500.97 | ND |
2004:Q1 | -559.76 | -584.40 | ND |
2004:Q2 | -634.74 | -666.54 | ND |
2004:Q3 | -632.29 | -667.93 | ND |
2004:Q4 | -733.81 | -753.44 | ND |
2005:Q1 | -729.57 | -790.98 | ND |
2005:Q2 | -732.95 | -787.61 | ND |
2005:Q3 | -693.63 | -741.72 | ND |
2005:Q4 | -863.23 | -899.50 | ND |
2006:Q1 | -802.44 | -900.59 | ND |
2006:Q2 | -822.38 | -948.96 | ND |
2006:Q3 | -869.35 | -980.83 | ND |
2006:Q4 | -751.76 | -1031.87 | ND |
2007:Q1 | -770.32 | -1066.09 | ND |
2007:Q2 | ND | -1070.13 | -815.41 |
2007:Q3 | ND | -1085.75 | -838.42 |
2007:Q4 | ND | -1131.95 | -863.22 |
2008:Q1 | ND | ND | -908.45 |
2008:Q2 | ND | ND | -884.02 |
2008:Q3 | ND | ND | -891.47 |
2008:Q4 | ND | ND | -923.56 |
Top-right panel
Trade Balance
Period | Trade Balance | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | -374.71 | -372.70 | ND |
2002:Q2 | -415.81 | -413.83 | ND |
2002:Q3 | -431.75 | -430.28 | ND |
2002:Q4 | -472.63 | -467.91 | ND |
2003:Q1 | -498.61 | -499.33 | ND |
2003:Q2 | -494.75 | -491.40 | ND |
2003:Q3 | -493.41 | -490.80 | ND |
2003:Q4 | -500.89 | -497.71 | ND |
2004:Q1 | -544.14 | -555.41 | ND |
2004:Q2 | -602.41 | -608.17 | ND |
2004:Q3 | -626.41 | -629.86 | ND |
2004:Q4 | -675.41 | -676.89 | ND |
2005:Q1 | -666.57 | -688.50 | ND |
2005:Q2 | -682.68 | -690.88 | ND |
2005:Q3 | -723.81 | -725.61 | ND |
2005:Q4 | -784.43 | -789.49 | ND |
2006:Q1 | -758.85 | -792.72 | ND |
2006:Q2 | -770.31 | -826.34 | ND |
2006:Q3 | -797.24 | -859.01 | ND |
2006:Q4 | -707.71 | -892.93 | ND |
2007:Q1 | -707.16 | -924.02 | ND |
2007:Q2 | ND | -909.94 | -727.21 |
2007:Q3 | ND | -910.72 | -740.37 |
2007:Q4 | ND | -937.06 | -754.71 |
2008:Q1 | ND | ND | -774.82 |
2008:Q2 | ND | ND | -746.75 |
2008:Q3 | ND | ND | -743.71 |
2008:Q4 | ND | ND | -758.79 |
Middle-left panel
Foreign Economic Activity*
Period | Foreign Economic Activity | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 100.00 | 100.00 | ND |
2002:Q2 | 100.96 | 101.00 | ND |
2002:Q3 | 101.74 | 101.78 | ND |
2002:Q4 | 102.11 | 102.13 | ND |
2003:Q1 | 102.37 | 102.50 | ND |
2003:Q2 | 102.71 | 102.80 | ND |
2003:Q3 | 103.87 | 103.88 | ND |
2003:Q4 | 105.19 | 105.18 | ND |
2004:Q1 | 106.40 | 106.41 | ND |
2004:Q2 | 107.40 | 107.42 | ND |
2004:Q3 | 108.29 | 108.23 | ND |
2004:Q4 | 109.21 | 109.10 | ND |
2005:Q1 | 109.91 | 109.81 | ND |
2005:Q2 | 110.91 | 110.89 | ND |
2005:Q3 | 112.30 | 112.12 | ND |
2005:Q4 | 113.39 | 113.21 | ND |
2006:Q1 | 114.72 | 114.32 | ND |
2006:Q2 | 115.82 | 115.36 | ND |
2006:Q3 | 116.74 | 116.35 | ND |
2006:Q4 | 117.76 | 117.35 | ND |
2007:Q1 | 118.82 | 118.32 | ND |
2007:Q2 | ND | 119.34 | 119.93 |
2007:Q3 | ND | 120.36 | 120.99 |
2007:Q4 | ND | 121.39 | 122.04 |
2008:Q1 | ND | ND | 123.10 |
2008:Q2 | ND | ND | 124.16 |
2008:Q3 | ND | ND | 125.23 |
2008:Q4 | ND | ND | 126.30 |
* Weighted by U.S. merchandise export shares. Return to text
Middle-right panel
Broad Real Dollar
Period | Broad Real Dollar | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 100.00 | 100.00 | ND |
2002:Q2 | 98.41 | 98.37 | ND |
2002:Q3 | 96.69 | 96.67 | ND |
2002:Q4 | 97.42 | 97.41 | ND |
2003:Q1 | 95.39 | 95.38 | ND |
2003:Q2 | 92.04 | 92.03 | ND |
2003:Q3 | 92.16 | 92.14 | ND |
2003:Q4 | 89.12 | 89.10 | ND |
2004:Q1 | 87.64 | 87.66 | ND |
2004:Q2 | 89.91 | 89.82 | ND |
2004:Q3 | 89.05 | 88.95 | ND |
2004:Q4 | 85.94 | 85.90 | ND |
2005:Q1 | 85.15 | 85.12 | ND |
2005:Q2 | 86.47 | 86.40 | ND |
2005:Q3 | 87.18 | 87.20 | ND |
2005:Q4 | 88.07 | 88.12 | ND |
2006:Q1 | 86.81 | 86.94 | ND |
2006:Q2 | 85.93 | 85.61 | ND |
2006:Q3 | 85.71 | 84.65 | ND |
2006:Q4 | 84.42 | 84.26 | ND |
2007:Q1 | 84.52 | 83.82 | ND |
2007:Q2 | ND | 83.45 | 83.15 |
2007:Q3 | ND | 83.06 | 82.58 |
2007:Q4 | ND | 82.65 | 82.15 |
2008:Q1 | ND | ND | 81.81 |
2008:Q2 | ND | ND | 81.50 |
2008:Q3 | ND | ND | 81.16 |
2008:Q4 | ND | ND | 80.82 |
Bottom-left panel
Real Exports of Core Goods
Period | Real Exports of Core Goods | June 2007 Model Forecast | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 587.60 | 600.44 | ND |
2002:Q2 | 606.03 | 603.12 | ND |
2002:Q3 | 607.94 | 605.27 | ND |
2002:Q4 | 595.29 | 605.78 | ND |
2003:Q1 | 596.45 | 606.96 | ND |
2003:Q2 | 593.66 | 610.44 | ND |
2003:Q3 | 601.17 | 619.94 | ND |
2003:Q4 | 627.42 | 631.99 | ND |
2004:Q1 | 639.50 | 644.49 | ND |
2004:Q2 | 654.86 | 656.14 | ND |
2004:Q3 | 666.68 | 667.12 | ND |
2004:Q4 | 679.87 | 678.71 | ND |
2005:Q1 | 687.37 | 689.31 | ND |
2005:Q2 | 709.63 | 701.09 | ND |
2005:Q3 | 708.29 | 714.65 | ND |
2005:Q4 | 729.50 | 725.36 | ND |
2006:Q1 | 757.09 | 736.34 | ND |
2006:Q2 | 770.22 | 744.97 | ND |
2006:Q3 | 787.21 | 751.93 | ND |
2006:Q4 | 809.14 | 759.18 | ND |
2007:Q1 | 811.03 | 766.73 | ND |
2007:Q2 | ND | 775.09 | 821.17 |
2007:Q3 | ND | 782.91 | 831.52 |
2007:Q4 | ND | 790.46 | 841.61 |
2008:Q1 | ND | 798.82 | 851.99 |
2008:Q2 | ND | 808.11 | 862.53 |
2008:Q3 | ND | 818.05 | 873.35 |
2008:Q4 | ND | 828.49 | 884.50 |
Bottom-right panel
Core Exports in 2006
Nominal Share | Real Growth* | ||
---|---|---|---|
1. | Core Goods | 100 | 10.8 |
2. | Capital Goods | 34 | 12.8 |
3. | Ind. Supplies | 29 | 13.0 |
4. | Automotive | 12 | 3.5 |
5. | Consumer | 14 | 11.5 |
6. | Other | 12 | 7.3 |
* Q4/Q4 percent change. Return to table
Exhibit 14
What Explains the Improved Outlook for External Adjustment? (Part 2)
Top-left panel
U.S. GDP
Period | U.S. GDP | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 9.98 | 9.98 | ND |
2002:Q2 | 10.03 | 10.03 | ND |
2002:Q3 | 10.09 | 10.09 | ND |
2002:Q4 | 10.10 | 10.10 | ND |
2003:Q1 | 10.13 | 10.14 | ND |
2003:Q2 | 10.21 | 10.23 | ND |
2003:Q3 | 10.40 | 10.41 | ND |
2003:Q4 | 10.47 | 10.50 | ND |
2004:Q1 | 10.57 | 10.61 | ND |
2004:Q2 | 10.67 | 10.70 | ND |
2004:Q3 | 10.75 | 10.81 | ND |
2004:Q4 | 10.82 | 10.90 | ND |
2005:Q1 | 10.91 | 11.00 | ND |
2005:Q2 | 11.00 | 11.09 | ND |
2005:Q3 | 11.12 | 11.20 | ND |
2005:Q4 | 11.16 | 11.25 | ND |
2006:Q1 | 11.32 | 11.39 | ND |
2006:Q2 | 11.39 | 11.50 | ND |
2006:Q3 | 11.44 | 11.59 | ND |
2006:Q4 | 11.51 | 11.67 | ND |
2007:Q1 | 11.54 | 11.76 | ND |
2007:Q2 | ND | 11.85 | 11.63 |
2007:Q3 | ND | 11.94 | 11.70 |
2007:Q4 | ND | 12.02 | 11.76 |
2008:Q1 | ND | ND | 11.84 |
2008:Q2 | ND | ND | 11.91 |
2008:Q3 | ND | ND | 11.99 |
2008:Q4 | ND | ND | 12.06 |
Top-right panel
Real Imports of Core Goods
Period | Real Imports of Core Goods | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 925.31 | 923.17 | ND |
2002:Q2 | 967.39 | 964.59 | ND |
2002:Q3 | 987.42 | 984.60 | ND |
2002:Q4 | 997.10 | 993.84 | ND |
2003:Q1 | 993.75 | 993.79 | ND |
2003:Q2 | 1006.62 | 1003.06 | ND |
2003:Q3 | 1011.36 | 1006.32 | ND |
2003:Q4 | 1054.37 | 1049.24 | ND |
2004:Q1 | 1071.85 | 1073.35 | ND |
2004:Q2 | 1128.68 | 1125.10 | ND |
2004:Q3 | 1137.25 | 1130.82 | ND |
2004:Q4 | 1169.97 | 1162.60 | ND |
2005:Q1 | 1179.89 | 1182.30 | ND |
2005:Q2 | 1205.22 | 1197.66 | ND |
2005:Q3 | 1206.88 | 1198.75 | ND |
2005:Q4 | 1249.72 | 1242.45 | ND |
2006:Q1 | 1273.71 | 1288.53 | ND |
2006:Q2 | 1286.53 | 1315.21 | ND |
2006:Q3 | 1311.63 | 1335.53 | ND |
2006:Q4 | 1326.30 | 1353.54 | ND |
2007:Q1 | 1309.96 | 1371.38 | ND |
2007:Q2 | ND | 1390.10 | 1312.59 |
2007:Q3 | ND | 1409.88 | 1325.23 |
2007:Q4 | ND | 1430.59 | 1335.51 |
2008:Q1 | ND | ND | 1346.79 |
2008:Q2 | ND | ND | 1360.50 |
2008:Q3 | ND | ND | 1375.78 |
2008:Q4 | ND | ND | 1392.24 |
Middle-left panel
U.S. Oil Import Price
Period | U.S. Oil Import Price | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 18.37 | 18.37 | ND |
2002:Q2 | 24.05 | 24.05 | ND |
2002:Q3 | 25.53 | 25.53 | ND |
2002:Q4 | 25.75 | 25.75 | ND |
2003:Q1 | 30.73 | 30.73 | ND |
2003:Q2 | 26.42 | 26.42 | ND |
2003:Q3 | 28.04 | 28.04 | ND |
2003:Q4 | 27.74 | 27.74 | ND |
2004:Q1 | 30.92 | 30.92 | ND |
2004:Q2 | 34.55 | 34.55 | ND |
2004:Q3 | 37.56 | 37.56 | ND |
2004:Q4 | 40.91 | 40.91 | ND |
2005:Q1 | 39.90 | 39.89 | ND |
2005:Q2 | 46.28 | 46.30 | ND |
2005:Q3 | 55.29 | 55.24 | ND |
2005:Q4 | 55.39 | 55.40 | ND |
2006:Q1 | 55.09 | 55.12 | ND |
2006:Q2 | 63.81 | 64.73 | ND |
2006:Q3 | 66.57 | 69.55 | ND |
2006:Q4 | 55.33 | 71.03 | ND |
2007:Q1 | 54.39 | 71.40 | ND |
2007:Q2 | ND | 71.33 | 63.24 |
2007:Q3 | ND | 71.05 | 67.63 |
2007:Q4 | ND | 70.65 | 68.32 |
2008:Q1 | ND | ND | 68.46 |
2008:Q2 | ND | ND | 68.57 |
2008:Q3 | ND | ND | 68.63 |
2008:Q4 | ND | ND | 68.79 |
Middle-right panel
Net Investment Income
Period | Net Investment Income | May 2006 Greenbook | June 2007 Forecast |
---|---|---|---|
2002:Q1 | 35.64 | 11.36 | ND |
2002:Q2 | 17.66 | 1.80 | ND |
2002:Q3 | 31.26 | 14.12 | ND |
2002:Q4 | 48.42 | 34.55 | ND |
2003:Q1 | 34.65 | 29.34 | ND |
2003:Q2 | 47.76 | 50.64 | ND |
2003:Q3 | 47.80 | 50.88 | ND |
2003:Q4 | 74.26 | 76.46 | ND |
2004:Q1 | 82.22 | 65.75 | ND |
2004:Q2 | 59.38 | 29.63 | ND |
2004:Q3 | 69.20 | 30.78 | ND |
2004:Q4 | 39.19 | 18.76 | ND |
2005:Q1 | 56.19 | 8.18 | ND |
2005:Q2 | 53.52 | -0.50 | ND |
2005:Q3 | 72.81 | 25.71 | ND |
2005:Q4 | 35.32 | -3.78 | ND |
2006:Q1 | 48.25 | -17.74 | ND |
2006:Q2 | 49.16 | -19.57 | ND |
2006:Q3 | 29.96 | -20.76 | ND |
2006:Q4 | 45.31 | -32.58 | ND |
2007:Q1 | 48.08 | -48.92 | ND |
2007:Q2 | ND | -65.64 | 22.30 |
2007:Q3 | ND | -78.78 | 12.25 |
2007:Q4 | ND | -91.64 | -2.10 |
2008:Q1 | ND | ND | -18.33 |
2008:Q2 | ND | ND | -29.67 |
2008:Q3 | ND | ND | -40.16 |
2008:Q4 | ND | ND | -50.17 |
Bottom panel
Contribution of Real Net Exports to U.S. GDP Growth
Greenbook | |||
---|---|---|---|
May 2006 | June 2007 | ||
2006 | -.3 | .5 | |
2007: | Q1 | -.5 | -.7 |
Q2 | .3 | 1.0 | |
H2 | -.4 | .1 | |
2008 | -- | .0 |
Appendix 3: Materials used by Mr. Reinhart
Material for FOMC Briefing on Economic Projections of FOMC Participants
Vincent R. Reinhart
June 27, 2007
Class I FOMC - Restricted-Controlled (FR)
Exhibit 1
Summary of June Trial Run Economic Projections
Top panel
2007 | 2008 | 2009 | |
---|---|---|---|
GDP Growth | |||
Central Tendency | (2.2 to 2.5) | (2.5 to 2.8) | (2.6 to 3.0) |
(Central tendency of May projections) | (2.0 to 2.5) | (2.5 to 2.8) | (2.5 to 3.0) |
Range | (2.0 to 2.7) | (2.5 to 3.0) | (2.0 to 3.1) |
(Range of May projections) | (1.8 to 2.6) | (2.4 to 3.0) | (2.5 to 3.0) |
Unemployment Rate | |||
Central Tendency | (4.6 to 4.7) | (4.7 to 4.8) | (4.7 to 5.0) |
(Central tendency of May projections) | (4.7 to 4.8) | (4.7 to 4.9) | (4.7 to 5.0) |
Range | (4.6 to 4.8) | (4.5 to 5.0) | (4.4 to 5.1) |
(Range of May projections) | (4.5 to 4.9) | (4.6 to 5.0) | (4.6 to 5.1) |
Core PCE Inflation | |||
Central Tendency | (2.0 to 2.2) | (1.8 to 2.0) | (1.6 to 2.0) |
(Central tendency of May projections) | (2.1 to 2.3) | (1.8 to 2.1) | (1.6 to 2.0) |
Range | (1.9 to 2.2) | (1.7 to 2.1) | (1.5 to 2.0) |
(Range of May projections) | (2.0 to 2.3) | (1.8 to 2.4) | (1.5 to 2.3) |
Total CPI Inflation | |||
Central Tendency | (3.1 to 3.6) | (2.1 to 2.3) | (2.0 to 2.3) |
Range | (2.3 to 3.7) | (2.0 to 2.5) | (1.8 to 2.5) |
Exhibit 2
Central Tendency and Range of June Economic Projections
Central tendencies and ranges of economic projections for years 2007 through 2009.
Actual data for years 2002 through 2006, as estimated from the charts.
Top panel
GDP Growth (Q4-to-Q4)
2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | |
---|---|---|---|---|---|---|---|---|
Actual | 1.9 | 3.7 | 3.4 | 3.1 | 3.1 | - | - | - |
Upper End of Range | - | - | - | - | - | 2.7 | 3.0 | 3.1 |
Upper End of Central Tendency | - | - | - | - | - | 2.5 | 2.8 | 3.0 |
Lower End of Central Tendency | - | - | - | - | - | 2.2 | 2.5 | 2.6 |
Lower End of Range | - | - | - | - | - | 2.0 | 2.5 | 2.0 |
Top-middle panel
Civilian Unemployment Rate (Q4 level)
2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | |
---|---|---|---|---|---|---|---|---|
Actual | 5.9 | 5.8 | 5.4 | 5.0 | 4.5 | - | - | - |
Upper End of Range | - | - | - | - | - | 4.8 | 5.0 | 5.1 |
Upper End of Central Tendency | - | - | - | - | - | 4.7 | 4.8 | 5.0 |
Lower End of Central Tendency | - | - | - | - | - | 4.6 | 4.7 | 4.7 |
Lower End of Range | - | - | - | - | - | 4.6 | 4.5 | 4.4 |
Bottom-middle panel
Core PCE Inflation (Q4-to-Q4)
2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | |
---|---|---|---|---|---|---|---|---|
Actual | 1.6 | 1.4 | 2.2 | 2.1 | 2.2 | - | - | - |
Upper End of Range | - | - | - | - | - | 2.2 | 2.1 | 2.0 |
Upper End of Central Tendency | - | - | - | - | - | 2.2 | 2.0 | 2.0 |
Lower End of Central Tendency | - | - | - | - | - | 2.0 | 1.8 | 1.6 |
Lower End of Range | - | - | - | - | - | 1.9 | 1.7 | 1.5 |
Bottom panel
Total CPI Inflation (Q4-to-Q4)
2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | |
---|---|---|---|---|---|---|---|---|
Actual | 2.3 | 1.9 | 3.4 | 3.7 | 1.9 | - | - | - |
Upper End of Range | - | - | - | - | - | 3.7 | 2.5 | 2.5 |
Upper End of Central Tendency | - | - | - | - | - | 3.6 | 2.3 | 2.3 |
Lower End of Central Tendency | - | - | - | - | - | 3.1 | 2.1 | 2.0 |
Lower End of Range | - | - | - | - | - | 2.3 | 2.0 | 1.8 |
Exhibit 3
Uncertainty and Risks- GDP Growth
Top panel
2(a): Please indicate your judgment of the uncertainty attached to your projections relative to
levels of uncertainty over the past 20 years.
Bottom panel
2(b): Please indicate your judgment of the risk weighting around your projections.
Exhibit 4
Distribution of Participants' Unemployment Projections: 2007-2009
Top panel
Distribution of Unemployment Projections: 2007
4.4 | 4.5 | 4.6 | 4.7* | 4.8 | 4.9 | 5.0 | 5.1 | |
---|---|---|---|---|---|---|---|---|
Current Projection | 0 | 0 | 8 | 8 | 1 | 0 | 0 | 0 |
May Projection | 0 | 1 | 2 | 5 | 8 | 1 | 0 | 0 |
* Greenbook Return to table
Middle panel
Distribution of Unemployment Projections: 2008
4.4 | 4.5 | 4.6 | 4.7 | 4.8* | 4.9 | 5.0 | 5.1 | |
---|---|---|---|---|---|---|---|---|
Current Projection | 0 | 1 | 2 | 7 | 5 | 1 | 1 | 0 |
May Projection | 0 | 0 | 1 | 3 | 5 | 5 | 3 | 0 |
* Greenbook Return to table
Bottom panel
Distribution of Unemployment Projections: 2009
4.4 | 4.5 | 4.6 | 4.7 | 4.8 | 4.9* | 5.0 | 5.1 | |
---|---|---|---|---|---|---|---|---|
Current Projection | 1 | 0 | 1 | 6 | 3 | 2 | 3 | 1 |
May Projection | 0 | 0 | 1 | 4 | 3 | 2 | 6 | 1 |
* Greenbook Extension Return to table
Exhibit 5
Distribution of Participants' Core PCE Inflation Projections: 2007-2009
Top panel
Distribution of Core PCE Inflation Projections: 2007
1.5 | 1.6 | 1.7 | 1.8 | 1.9 | 2.0* | 2.1 | 2.2 | 2.3 | 2.4 | |
---|---|---|---|---|---|---|---|---|---|---|
Current Projection | 0 | 0 | 0 | 0 | 3 | 6 | 3 | 5 | 0 | 0 |
May Projection | 0 | 0 | 0 | 0 | 0 | 2 | 7 | 4 | 4 | 0 |
* Greenbook Return to table
Middle panel
Distribution of Core PCE Inflation Projections: 2008
1.5 | 1.6 | 1.7 | 1.8 | 1.9 | 2.0* | 2.1 | 2.2 | 2.3 | 2.4 | |
---|---|---|---|---|---|---|---|---|---|---|
Current Projection | 0 | 0 | 2 | 4 | 2 | 6 | 3 | 0 | 0 | 0 |
May Projection | 0 | 0 | 0 | 6 | 1 | 5 | 3 | 1 | 0 | 1 |
* Greenbook Return to table
Bottom panel
Distribution of Core PCE Inflation Projections: 2009
1.5 | 1.6 | 1.7 | 1.8 | 1.9 | 2.0* | 2.1 | 2.2 | 2.3 | 2.4 | |
---|---|---|---|---|---|---|---|---|---|---|
Current Projection | 3 | 1 | 1 | 3 | 5 | 4 | 0 | 0 | 0 | 0 |
May Projection | 2 | 2 | 2 | 2 | 3 | 5 | 0 | 0 | 1 | 0 |
* Greenbook Extension Return to table
Exhibit 6
MONETARY POLICY REPORT ECONOMIC PROJECTIONS
Top panel
2007 PROJECTIONS
FOMC | Staff | ||
---|---|---|---|
Range | Central Tendency | ||
Percentage change, Q4 to Q4 | |||
Nominal GDP | 4½ to 5½ | 4½ to 5 | 4.8 |
February 2007 | (4¾ to 5½) | (5 to 5½) | (5.0) |
Real GDP | 2 to 2¾ | 2¼ to 2½ | 2.2 |
February 2007 | (2¼ to 3¼) | (2½ to 3) | (2.3) |
Core PCE Prices | 2 to 2¼ | 2 to 2¼ | 2.0 |
February 2007 | (2 to 2¼) | (2 to 2¼) | (2.2) |
Average level, Q4, percent | |||
Unemployment rate | 4½ to 4¾ | 4½ to 4¾ | 4.7 |
February 2007 | (4½ to 4¾) | (4½ to 4¾) | (4.8) |
Bottom panel
2008 PROJECTIONS
FOMC | Staff | ||
---|---|---|---|
Range | Central Tendency | ||
Percentage change, Q4 to Q4 | |||
Nominal GDP | 4½ to 5½ | 4¾ to 5 | 4.8 |
February 2007 | (4¾ to 5½) | (4¾ to 5¼) | (4.8) |
Real GDP | 2½ to 3 | 2½ to 2¾ | 2.5 |
February 2007 | (2½ to 3¼) | (2¾ to 3) | (2.5) |
Core PCE Prices | 1¾ to 2 | 1¾ to 2 | 2.0 |
February 2007 | (1½ to 2¼) | (1¾ to 2) | (2.0) |
Average level, Q4, percent | |||
Unemployment rate | 4½ to 5 | about 4¾ | 4.8 |
February 2007 | (4½ to 5) | (4½ to 4¾) | (4.9) |
Appendix 4: Materials used by Mr. Reinhart
Material for FOMC Briefing on Monetary Policy Alternatives
Vincent Reinhart
June 27, 2007
Class I FOMC -- Restricted Controlled FR
Exhibit 1
Financial Market Developments
Exhibit 1 summarizes important developments in financial markets over the intermeeting period.
Top-left panel
Expected federal funds rates
A line chart shows the expected path of the federal funds rate based on futures quotes as of May 8, 2007 and June 26, 2007. The chart indicates that investors revised up their expectations for the path of the federal funds rate over the intermeeting period, particularly at longer horizons. The expected funds rate paths are estimated from federal funds and Eurodollar futures, with an allowance for term premiums and other adjustments.
Top-right panel
Nominal and inflation indexed treasury yields
A line chart shows the nominal and inflation indexed Treasury yield curves on 6/26/2007 and on 5/8/2007 (day before the FOMC meeting). Consistent with the upward revision in policy expectations, both the nominal and inflation-indexed yields curves revised up substantially over the intermeeting period.
Middle-left panel
Distribution of primary dealers' federal funds rate forecasts at year-end
A bar chart shows the distribution of primary dealers' forecasts for the level of the federal funds at the end of 2007 as reported in the May and June FRBNY desk primary dealers' survey. Relative to the distribution reported in the May survey, primary dealer forecasts submitted in June shifted to the right (toward higher rates) and become more tightly centered around a funds rate level of 5.25 percent.
Bottom-left panel
Subprime BBB- mortgage CDS index spreads
A line chart shows three daily time-series of subprime BBB- mortgage CDX index spreads for pools of mortgages originated in 2005:H2, 2006:H1, and 2006:H2. Investors' concerns about the mortgage credit quality are evident in a sharp increase in all three series over the period from September 2006 through June 2007 with a particularly steep increase early in 2007. All three series moved sharply higher again over the period since the May FOMC meeting.
Note. Measured relative to Libor.
Source: JP Morgan.
Bottom-right panel
Change in selected financial market quotes
May FOMC to Bluebook | Bluebook to Tuesday | |
---|---|---|
basis points | ||
Ten-year Treasury | 54 | -6 |
basis points | ||
Ten-year Indexed Treasury | 44 | -3 |
percent | ||
S&P 500 | 0.96 | -1.92 |
Exhibit 2
Case for Alternative B
Top-left panel
Staff Forecast
Real GDP Growth | 2007 | 2008 |
---|---|---|
May | 2.0 | 2.4 |
June | 2.2 | 2.5 |
Revision | 0.2 | 0.1 |
Core PCE Inflation | ||
May | 2.3 | 2.1 |
June | 2.0 | 2.0 |
Revision | -0.3 | -0.1 |
Top-right panel
2007 Q4 Target Funds Rate
A line chart shows the evolution over time of investors' expectations for the level of the federal funds rate in 2007 Q4. The series dropped sharply earlier in the year but moved higher thereafter and stood a little above 5 percent at the end of June. The Greenbook assumption for the level of the federal funds rate at year end remained at 5.25 percent for every FOMC date over the year.
Middle panel
Equilibrium Real Federal Funds Rate
A line chart shows the actual real federal funds rate, a range of model-based estimates of the equilibrium real federal funds rate, and the Greenbook-consistent measure of the equilibrium real funds rate from 1990 to 2007. Shading depicts the range of model-based estimates and also 70 and 90 percent confidence intervals. The actual level of the real federal funds rate is somewhat above the range of model-based estimates of the equilibrium real funds rate but about in line with the Greenbook-consistent measure.
Bottom-left panel
FRB/US Model Simulations of Estimated Outcome-Based Rule
A line chart shows the current and previous FRB/US model simulations of the outcome-based policy rule over the period from 2007 through 2012. Shading depicts the 70 and 90 percent confidence intervals. The estimated prescriptions from the outcome-based rule are relatively stable at around 5 percent through 2009 and then drift lower to about 4 percent in 2012. These estimates are little changed from those in the previous Bluebook.
Bottom-right panel
Implied Distribution of Federal Funds Rate Six Months Ahead*
A bar chart shows June 26, 2007 (recent) and May 8, 2007 (last FOMC) implied distributions for the federal funds rate six months ahead. The estimates are calculated using options on Eurodollar futures contracts. Both distributions are skewed to the left with the majority of estimates at target rates of 5.00 and 5.25 percent. The distribution for the June meeting has somewhat larger weights on higher interest rate outcomes than for the comparable distribution estimated at the time of the May FOMC meeting.
* Estimates from options on Eurodollar futures contracts, adjusted to estimate expectations for the federal funds rate. Return to text
Exhibit 3
Wording of the Statement
Top panel
May FOMC | Revised Alternative B |
|||
---|---|---|---|---|
1. | The Federal Open Market Committee decided today to keep its target for the federal funds rate at 5 1/4 percent. | The Federal Open Market Committee decided today to keep its target for the federal funds rate at 5 1/4 percent. | ||
2. |
|
|
||
3. |
|
|
||
4. | In these circumstances, the Committee's predominant policy concern remains the risk that inflation will fail to moderate as expected. Future policy adjustments will depend on the evolution of the outlook for both inflation and economic growth, as implied by incoming information. |
|
Exhibit 4
Tendency Toward Alternative C
Top-left panel
Resource utilization
A line chart shows the ISM (Institute for Supply Management) New Orders Index* and the unemployment rate from 2003 through 2007. The unemployment rate trends downward over the period, falling from approximately 6.0 to 4.5 percent. The ISM New Orders Index trends downward over the rest of the period since 2004 but moved up appreciably over the first half of 2007.
* Three-month moving average. Return to text
Middle-left panel
Five year forward inflation compensation
A line chart shows weekly data for the five year forward inflation compensation from 2003 through 2007. The series hovers between 2.4 and 2.8 percent except for a period in 2003 and 2004 where it increases to approximately 3.2 percent. Over recent months, five-year forward inflation compensation has moved noticeably higher relative to levels observed earlier in 2007.
Bottom-left panel
Statement
- 2. Despite the ongoing adjustment in the housing sector, the economy appears to have grown at a moderate pace so far this year.
- 3. '…in combination with earlier increases in the prices of energy and other commodities…'
Tendency Toward Alternative A
Top-right panel
Thirty-year fixed rate mortgage rate
A line chart shows the monthly average for the thirty-year fixed rate mortgage rate from 2003 through 2007. The rate trends slightly upward, remaining between 5.0 and 6.8 percent for the entire period. In recent months, the mortgage rate moved up sharply from about 6-1/4 percent to about 6-3/4 percent.
Middle-right panel
Months' supply of new homes
A line chart shows the monthly supply of new homes (millions of units, annual rate) using a two-quarter moving average of sales. The data cover 2003 through 2008, where 2007:H2 through 2008 is a forecast. The supply of new homes increases from 2003 through mid-year 2007 where it reaches a maximum of 7 million units. From mid-year 2007 through 2008, the supply is forecasted to sharply decline reaching approximately 4.6 million units at the end of 2008.
Bottom-right panel
Statement
- 2. But ongoing weakness in the housing sector implies a significant risk that economic activity might grow more slowly than anticipated.
- 3. Core inflation has edged lower in recent months and is expected to remain moderate over the next year or so.
- 4. With this policy action, the Committee judges that the downside risk to economic growth now roughly balances the upside risk to inflation.