Accessible Version

Accessible Version

Figure 1: Bond Yields

Monthly

  Germany United Kingdom United States Canada
Jan-88 6.61 9.71 8.65 9.71
Feb-88 6.39 9.51 8.21 9.22
Mar-88 6.28 9.22 8.37 9.42
Apr-88 6.38 9.20 8.71 9.68
May-88 6.69 9.40 9.08 9.91
Jun-88 6.67 9.51 8.91 9.75
Jul-88 6.79 9.84 9.04 9.89
Aug-88 6.85 9.91 9.25 10.20
Sep-88 6.66 10.09 8.97 10.07
Oct-88 6.50 9.70 8.78 9.78
Nov-88 6.45 9.85 8.96 9.99
Dec-88 6.60 10.14 9.10 10.10
Jan-89 6.70 9.96 9.08 10.15
Feb-89 6.93 9.75 9.16 10.25
Mar-89 7.01 9.88 9.35 10.55
Apr-89 6.98 10.18 9.17 10.32
May-89 7.10 10.17 8.85 9.91
Jun-89 6.97 10.56 8.27 9.43
Jul-89 6.84 10.15 8.01 9.32
Aug-89 6.87 9.91 8.10 9.40
Sep-89 7.03 10.24 8.19 9.59
Oct-89 7.01 10.58 8.00 9.48
Nov-89 7.28 10.68 7.86 9.50
Dec-89 7.18 10.71 7.83 9.59
Jan-90 7.58 11.01 8.20 9.84
Feb-90 8.41 11.44 8.47 10.30
Mar-90 8.73 12.09 8.58 10.82
Apr-90 8.64 12.31 8.77 11.54
May-90 8.65 12.05 8.75 11.15
Jun-90 8.78 11.48 8.47 10.76
Jul-90 8.55 11.54 8.46 10.68
Aug-90 8.89 11.84 8.74 10.70
Sep-90 9.01 11.80 8.88 10.95
Oct-90 8.99 11.48 8.71 11.21
Nov-90 8.92 11.13 8.38 10.65
Dec-90 8.78 10.64 8.06 10.27
Jan-91 8.88 10.43 8.08 10.12
Feb-91 8.37 9.98 7.85 9.60
Mar-91 8.41 10.12 8.10 9.63
Apr-91 8.38 10.15 8.03 9.54
May-91 8.35 10.30 8.06 9.58
Jun-91 8.35 10.53 8.28 9.90
Jul-91 8.60 10.24 8.26 9.98
Aug-91 8.53 10.00 7.90 9.75
Sep-91 8.42 9.65 7.65 9.45
Oct-91 8.29 9.72 7.52 9.02
Nov-91 8.28 9.76 7.41 8.64
Dec-91 8.20 9.70 7.07 8.42
Jan-92 7.89 9.47 7.03 8.16
Feb-92 7.89 9.32 7.33 8.40
Mar-92 7.95 9.67 7.53 8.75
Apr-92 7.95 9.40 7.46 8.80
May-92 7.97 9.05 7.38 8.55
Jun-92 7.98 9.14 7.25 8.25
Jul-92 8.03 9.07 6.84 7.73
Aug-92 7.97 9.37 6.58 7.30
Sep-92 7.64 9.17 6.41 7.54
Oct-92 7.37 8.68 6.57 7.81
Nov-92 7.32 8.26 6.86 7.94
Dec-92 7.30 8.37 6.75 7.86
Jan-93 7.09 8.32 6.58 7.97
Feb-93 6.93 7.96 6.25 7.67
Mar-93 6.60 7.70 5.97 7.45
Apr-93 6.65 7.83 5.96 7.47
May-93 6.81 8.06 6.02 7.58
Jun-93 6.77 7.87 5.94 7.46
Jul-93 6.57 7.49 5.78 7.21
Aug-93 6.34 6.98 5.67 6.95
Sep-93 6.12 6.90 5.35 6.87
Oct-93 5.94 6.81 5.32 6.80
Nov-93 5.88 6.77 5.71 6.86
Dec-93 5.71 6.29 5.74 6.69
Jan-94 5.65 6.22 5.71 6.47
Feb-94 5.89 6.61 5.97 6.71
Mar-94 6.28 7.29 6.48 7.48
Apr-94 6.45 7.66 6.95 8.09
May-94 6.66 8.13 7.17 8.46
Jun-94 7.04 8.53 7.09 9.01
Jul-94 6.88 8.37 7.29 9.16
Aug-94 7.10 8.51 7.23 8.92
Sep-94 7.55 8.79 7.43 8.89
Oct-94 7.55 8.70 7.73 9.05
Nov-94 7.48 8.57 7.94 9.15
Dec-94 7.46 8.53 7.81 9.09
Jan-95 7.57 8.66 7.77 9.37
Feb-95 7.40 8.59 7.46 8.91
Mar-95 7.26 8.53 7.20 8.65
Apr-95 7.07 8.38 7.05 8.42
May-95 6.84 8.12 6.61 8.06
Jun-95 6.71 8.07 6.16 7.85
Jul-95 6.79 8.22 6.27 8.05
Aug-95 6.71 8.09 6.48 8.26
Sep-95 6.57 7.92 6.20 7.94
Oct-95 6.54 8.08 6.04 7.71
Nov-95 6.32 7.75 5.92 7.50
Dec-95 6.07 7.45 5.71 7.25
Jan-96 5.90 7.41 5.65 7.10
Feb-96 6.20 7.75 5.80 7.25
Mar-96 6.45 8.05 6.26 7.63
Apr-96 6.39 8.05 6.50 7.71
May-96 6.45 8.07 6.73 7.72
Jun-96 6.57 8.04 6.90 7.81
Jul-96 6.47 7.90 6.86 7.69
Aug-96 6.31 7.80 6.63 7.31
Sep-96 6.23 7.80 6.83 7.35
Oct-96 6.00 7.50 6.53 6.65
Nov-96 5.85 7.55 6.19 6.14
Dec-96 5.80 7.54 6.29 6.40
Jan-97 5.82 7.53 6.56 6.64
Feb-97 5.57 7.16 6.40 6.32
Mar-97 5.78 7.42 6.70 6.55
Apr-97 5.91 7.60 6.87 6.79
May-97 5.81 7.13 6.71 6.55
Jun-97 5.75 7.10 6.49 6.27
Jul-97 5.57 7.01 6.22 5.99
Aug-97 5.67 7.06 6.29 6.00
Sep-97 5.60 6.78 6.21 5.89
Oct-97 5.59 6.48 6.02 5.61
Nov-97 5.56 6.59 5.87 5.51
Dec-97 5.32 6.33 5.80 5.67
Jan-98 5.12 6.08 5.54 5.38
Feb-98 5.00 6.02 5.57 5.44
Mar-98 4.91 5.97 5.64 5.44
Apr-98 4.91 5.80 5.63 5.33
May-98 4.96 5.85 5.65 5.39
Jun-98 4.80 5.77 5.49 5.32
Jul-98 4.68 5.84 5.46 5.35
Aug-98 4.41 5.56 5.33 5.57
Sep-98 4.06 5.15 4.80 5.27
Oct-98 4.05 4.99 4.52 4.92
Nov-98 4.14 4.92 4.83 5.18
Dec-98 3.88 4.49 4.64 4.91
Jan-99 3.70 4.24 4.71 4.96
Feb-99 3.84 4.33 5.00 5.14
Mar-99 4.03 4.55 5.22 5.24
Apr-99 3.88 4.50 5.18 5.05
May-99 4.05 4.78 5.54 5.38
Jun-99 4.34 5.03 5.89 5.60
Jul-99 4.69 5.21 5.78 5.50
Aug-99 4.88 5.25 5.94 5.74
Sep-99 5.06 5.53 5.90 5.70
Oct-99 5.31 5.71 6.10 6.09
Nov-99 5.05 5.18 6.03 6.04
Dec-99 5.17 5.31 6.27 6.15
Jan-00 5.54 5.74 6.65 6.49
Feb-00 5.51 5.56 6.52 6.34
Mar-00 5.33 5.28 6.25 6.04
Apr-00 5.23 5.24 5.98 5.94
May-00 5.34 5.34 6.43 6.23
Jun-00 5.17 5.15 6.09 5.93
Jul-00 5.26 5.18 6.04 5.89
Aug-00 5.21 5.26 5.83 5.77
Sep-00 5.26 5.32 5.79 5.73
Oct-00 5.22 5.14 5.74 5.73
Nov-00 5.17 5.06 5.70 5.73
Dec-00 4.91 4.90 5.22 5.40
1-Jan 4.80 4.88 5.15 5.42
1-Feb 4.79 4.90 5.10 5.42
1-Mar 4.70 4.69 4.88 5.29
1-Apr 4.86 4.94 5.14 5.57
1-May 5.07 5.10 5.37 5.84
1-Jun 5.03 5.17 5.26 5.70
1-Jul 5.02 5.14 5.21 5.80
1-Aug 4.84 4.91 4.96 5.55
1-Sep 4.84 4.92 4.73 5.31
1-Oct 4.62 4.77 4.55 5.24
1-Nov 4.47 4.58 4.62 5.17
1-Dec 4.80 4.86 5.05 5.41
2-Jan 4.88 4.92 4.99 5.35
2-Feb 4.93 4.94 4.90 5.33
2-Mar 5.19 5.23 5.28 5.68
2-Apr 5.17 5.22 5.20 5.67
2-May 5.18 5.25 5.14 5.60
2-Jun 5.03 5.09 4.89 5.43
2-Jul 4.87 4.95 4.61 5.30
2-Aug 4.59 4.67 4.24 5.14
2-Sep 4.38 4.45 3.87 4.90
2-Oct 4.49 4.57 3.91 5.13
2-Nov 4.50 4.60 4.04 5.09
2-Dec 4.34 4.53 4.02 4.96
3-Jan 4.19 4.37 4.01 4.96
3-Feb 3.97 4.20 3.89 5.02
3-Mar 4.04 4.28 3.79 5.00
3-Apr 4.16 4.42 3.93 5.06
3-May 3.85 4.16 3.54 4.68
3-Jun 3.65 4.02 3.32 4.29
3-Jul 4.01 4.34 3.94 4.68
3-Aug 4.16 4.54 4.42 4.90
3-Sep 4.19 4.63 4.26 4.77
3-Oct 4.25 4.86 4.26 4.82
3-Nov 4.41 5.04 4.29 4.87
3-Dec 4.33 4.88 4.25 4.72
4-Jan 4.19 4.79 4.13 4.59
4-Feb 4.13 4.81 4.06 4.46
4-Mar 3.94 4.71 3.81 4.26
4-Apr 4.13 4.94 4.32 4.61
4-May 4.29 5.10 4.70 4.78
4-Jun 4.37 5.19 4.72 4.94
4-Jul 4.25 5.09 4.47 4.76
4-Aug 4.09 4.98 4.27 4.65
4-Sep 4.04 4.90 4.12 4.61
4-Oct 3.92 4.76 4.08 4.56
4-Nov 3.82 4.68 4.18 4.49
4-Dec 3.65 4.53 4.22 4.33
5-Jan 3.58 4.55 4.20 4.27
5-Feb 3.57 4.62 4.16 4.21
5-Mar 3.72 4.81 4.49 4.37
5-Apr 3.50 4.63 4.32 4.20
5-May 3.35 4.42 4.13 4.08
5-Jun 3.20 4.28 3.99 3.83
5-Jul 3.23 4.29 4.16 3.90
5-Aug 3.25 4.31 4.25 3.93
5-Sep 3.09 4.21 4.18 3.87
5-Oct 3.26 4.35 4.45 4.04
5-Nov 3.48 4.32 4.53 4.11
5-Dec 3.37 4.22 4.46 4.04
6-Jan 3.34 4.09 4.40 4.03
6-Feb 3.49 4.17 4.56 4.17
6-Mar 3.66 4.32 4.72 4.20
6-Apr 3.92 4.52 4.99 4.42
6-May 3.98 4.64 5.10 4.40
6-Jun 3.99 4.65 5.10 4.44
6-Jul 4.02 4.65 5.08 4.46
6-Aug 3.89 4.63 4.87 4.27
6-Sep 3.76 4.55 4.71 4.07
6-Oct 3.80 4.61 4.72 4.11
6-Nov 3.73 4.55 4.59 4.00
6-Dec 3.80 4.65 4.56 3.97
7-Jan 4.03 4.88 4.75 4.12
7-Feb 4.05 4.92 4.72 4.12
7-Mar 3.95 4.83 4.56 4.05
7-Apr 4.16 5.05 4.69 4.18
7-May 4.29 5.16 4.74 4.30
7-Jun 4.58 5.43 5.10 4.62
7-Jul 4.52 5.39 4.99 4.59
7-Aug 4.30 5.13 4.68 4.43
7-Sep 4.24 4.99 4.51 4.36
7-Oct 4.29 4.95 4.52 4.37
7-Nov 4.10 4.70 4.14 4.13
7-Dec 4.24 4.64 4.09 4.03
8-Jan 4.05 4.45 3.72 3.86
8-Feb 3.96 4.58 3.73 3.83
8-Mar 3.81 4.37 3.48 3.51
8-Apr 4.05 4.57 3.65 3.64
8-May 4.20 4.80 3.87 3.62
8-Jun 4.55 5.11 4.08 3.76
8-Jul 4.50 4.95 3.97 3.76
8-Aug 4.22 4.63 3.88 3.60
8-Sep 4.10 4.50 3.68 3.55
8-Oct 3.90 4.48 3.78 3.68
8-Nov 3.57 4.09 3.48 3.58
8-Dec 3.06 3.32 2.39 2.93
9-Jan 3.09 3.36 2.46 2.81
9-Feb 3.16 3.60 2.85 2.97
9-Mar 3.06 3.20 2.80 2.89
9-Apr 3.19 3.36 2.90 2.96
9-May 3.42 3.63 3.30 3.20
9-Jun 3.55 3.82 3.70 3.46
9-Jul 3.36 3.81 3.53 3.43
9-Aug 3.33 3.69 3.57 3.47
9-Sep 3.29 3.66 3.39 3.37
9-Oct 3.23 3.54 3.36 3.43
9-Nov 3.28 3.71 3.38 3.40
9-Dec 3.23 3.84 3.59 3.44
10-Jan 3.29 3.97 3.71 3.49
10-Feb 3.19 4.02 3.68 3.43
10-Mar 3.13 4.02 3.72 3.49
10-Apr 3.09 3.99 3.82 3.67
10-May 2.80 3.72 3.40 3.44
10-Jun 2.63 3.49 3.19 3.30
10-Jul 2.65 3.38 2.98 3.18
10-Aug 2.37 3.07 2.68 2.96
10-Sep 2.34 3.02 2.64 2.89
10-Oct 2.37 2.96 2.51 2.76
10-Nov 2.56 3.20 2.74 3.02
10-Dec 2.96 3.50 3.28 3.20
11-Jan 3.05 3.60 3.36 3.25
11-Feb 3.23 3.77 3.56 3.42
11-Mar 3.25 3.60 3.40 3.27
11-Apr 3.35 3.63 3.43 3.33
11-May 3.11 3.36 3.15 3.16
11-Jun 2.97 3.24 2.99 2.99
11-Jul 2.78 3.13 2.98 2.95
11-Aug 2.25 2.55 2.29 2.46
11-Sep 1.87 2.41 1.96 2.20
11-Oct 2.04 2.50 2.13 2.29
11-Nov 1.95 2.23 2.00 2.12
11-Dec 1.99 2.11 1.97 1.99
12-Jan 1.86 2.04 1.93 1.98
12-Feb 1.90 2.13 1.96 2.02
12-Mar 1.88 2.25 2.16 2.11
12-Apr 1.73 2.12 2.03 2.07
12-May 1.46 1.87 1.78 1.92
12-Jun 1.43 1.67 1.61 1.75
12-Jul 1.31 1.55 1.50 1.66
12-Aug 1.42 1.57 1.67 1.83
12-Sep 1.54 1.77 1.70 1.84
12-Oct 1.51 1.80 1.72 1.81
12-Nov 1.39 1.79 1.65 1.74
12-Dec 1.36 1.85 1.71 1.77
13-Jan 1.56 2.04 1.88 1.93
13-Feb 1.60 2.11 1.97 1.97
13-Mar 1.41 1.89 1.94 1.86
13-Apr 1.25 1.71 1.73 1.75
13-May 1.37 1.86 1.92 1.90
13-Jun 1.62 2.21 2.29 2.25
13-Jul 1.63 2.36 2.56 2.44
13-Aug 1.80 2.61 2.73 2.61
13-Sep 1.93 2.89 2.80 2.70
13-Oct 1.81 2.69 2.60 2.53
13-Nov 1.72 2.74 2.71 2.56
13-Dec 1.85 2.93 2.89 2.68
14-Jan 1.80 2.87 2.85 2.55
14-Feb 1.66 2.74 2.70 2.44
14-Mar 1.59 2.72 2.72 2.46
14-Apr 1.53 2.67 2.69 2.45
14-May 1.40 2.62 2.55 2.32
14-Jun 1.35 2.70 2.59 2.30
14-Jul 1.19 2.63 2.53 2.20
14-Aug 1.02 2.44 2.41 2.07
14-Sep 1.00 2.49 2.52 2.17
14-Oct 0.87 2.22 2.29 2.01
14-Nov 0.79 2.13 2.32 2.01
14-Dec 0.64 1.87 2.20 1.86
15-Jan 0.45 1.55 1.88 1.54
15-Feb 0.35 1.68 1.98 1.39
15-Mar 0.26 1.69 2.04 1.42
15-Apr 0.16 1.62 1.92 1.41
15-May 0.58 1.93 2.20 1.74
15-Jun 0.83 2.06 2.36 1.78
15-Jul 0.76 2.01 2.32 1.58
15-Aug 0.66 1.87 2.16 1.40
15-Sep 0.68 1.85 2.16 1.48
15-Oct 0.55 1.81 2.06 1.47
15-Nov 0.55 1.94 2.26 1.64
15-Dec 0.60 1.88 2.23 1.46
16-Jan 0.51 1.74 2.08 1.27
16-Feb 0.23 1.44 1.77 1.13
16-Mar 0.22 1.47 1.88 1.27
16-Apr 0.18 1.48 1.80 1.34
16-May 0.16 1.44 1.80 1.35
16-Jun 0.01 1.18 1.64 1.17
16-Jul -0.09 0.79 1.49 1.05
16-Aug -0.07 0.61 1.56 1.04
16-Sep -0.05 0.77 1.62 1.09
16-Oct 0.04 1.04 1.75 1.17
16-Nov 0.23 1.34 2.15 1.44
16-Dec 0.29 1.39 2.49 1.74
17-Jan 0.35 1.37 2.43 1.73
17-Feb 0.32 1.25 2.42 1.71
17-Mar 0.39 1.20 2.48 1.72
17-Apr 0.25 1.06 2.29 1.52
17-May 0.37 1.09 2.30 1.52
17-Jun 0.29 1.05 2.18 1.50
17-Jul 0.54 1.25 2.31 1.90
17-Aug 0.42 1.10 2.20 1.89
17-Sep 0.41 1.21 2.20 2.04
17-Oct 0.43 1.35 2.36 2.06
17-Nov 0.36 1.28 2.35 1.92
17-Dec 0.35 1.22 2.41 1.93
18-Jan 0.55 1.33 2.57 2.19
18-Feb 0.72 1.57 2.86 2.33
18-Mar 0.58 1.45 2.84 2.19
18-Apr 0.54 1.44 2.87 2.25
18-May 0.52 1.42 2.98 2.38
18-Jun 0.40 1.32 2.91 2.21
18-Jul 0.36 1.27 2.89 2.19
18-Aug 0.36 1.31 2.89 2.30
18-Sep 0.44 1.52 2.99 2.35
18-Oct 0.46 1.56 3.16 2.50
18-Nov 0.38 1.44 3.11 2.42
18-Dec 0.25 1.27 2.83 2.05
19-Jan 0.22 1.28 2.71 1.96
19-Feb 0.13 1.20 2.67 1.91
19-Mar 0.06 1.14 2.57 1.72
19-Apr 0.01 1.15 2.53 1.73
19-May -0.08 1.06 2.39 1.67
19-Jun -0.27 0.84 2.07 1.46
19-Jul -0.34 0.73 2.05 1.52
19-Aug -0.63 0.49 1.62 1.22
19-Sep -0.57 0.58 1.69 1.36
19-Oct -0.45 0.61 1.70 1.45
19-Nov -0.31 0.74 1.83 1.55

Note: 10-year generic government bond yields.

Source: Bloomberg Finance LP.

Figure 2: Yield Decomposition

Monthly

  Expected real short rate Expected inflation Term premium
Jan-88 2.29 3.72 2.74
Feb-88 2.16 3.64 2.52
Mar-88 2.19 3.67 2.62
Apr-88 2.28 3.73 2.79
May-88 2.38 3.78 2.93
Jun-88 2.40 3.73 2.76
Jul-88 2.48 3.78 2.74
Aug-88 2.60 3.84 2.74
Sep-88 2.57 3.80 2.54
Oct-88 2.54 3.78 2.42
Nov-88 2.64 3.83 2.41
Dec-88 2.77 3.85 2.39
Jan-89 2.80 3.85 2.35
Feb-89 2.86 3.87 2.33
Mar-89 2.97 3.91 2.32
Apr-89 2.91 3.88 2.26
May-89 2.79 3.85 2.16
Jun-89 2.64 3.79 1.89
Jul-89 2.48 3.75 1.83
Aug-89 2.54 3.72 1.87
Sep-89 2.56 3.72 1.93
Oct-89 2.51 3.73 1.87
Nov-89 2.44 3.69 1.83
Dec-89 2.43 3.66 1.82
Jan-90 2.50 3.71 2.03
Feb-90 2.57 3.75 2.17
Mar-90 2.63 3.75 2.20
Apr-90 2.65 3.77 2.32
May-90 2.63 3.77 2.34
Jun-90 2.56 3.75 2.20
Jul-90 2.52 3.77 2.22
Aug-90 2.50 3.84 2.43
Sep-90 2.50 3.88 2.56
Oct-90 2.44 3.83 2.48
Nov-90 2.37 3.77 2.29
Dec-90 2.27 3.67 2.21
Jan-91 2.19 3.64 2.40
Feb-91 2.08 3.57 2.37
Mar-91 2.13 3.59 2.57
Apr-91 2.07 3.55 2.59
May-91 2.05 3.59 2.67
Jun-91 2.11 3.61 2.76
Jul-91 2.09 3.63 2.76
Aug-91 1.96 3.61 2.62
Sep-91 1.89 3.57 2.50
Oct-91 1.81 3.54 2.43
Nov-91 1.70 3.52 2.53
Dec-91 1.54 3.45 2.47
Jan-92 1.50 3.43 2.61
Feb-92 1.56 3.47 2.80
Mar-92 1.66 3.42 2.84
Apr-92 1.57 3.45 2.91
May-92 1.53 3.44 2.88
Jun-92 1.50 3.43 2.75
Jul-92 1.32 3.38 2.59
Aug-92 1.27 3.33 2.46
Sep-92 1.19 3.31 2.42
Oct-92 1.24 3.33 2.53
Nov-92 1.36 3.34 2.66
Dec-92 1.37 3.29 2.60
Jan-93 1.29 3.28 2.54
Feb-93 1.22 3.22 2.28
Mar-93 1.18 3.19 2.12
Apr-93 1.16 3.19 2.12
May-93 1.18 3.18 2.08
Jun-93 1.22 3.07 1.94
Jul-93 1.20 3.03 1.84
Aug-93 1.18 3.03 1.80
Sep-93 1.13 2.94 1.58
Oct-93 1.14 2.93 1.53
Nov-93 1.22 3.01 1.76
Dec-93 1.22 3.00 1.80
Jan-94 1.20 2.99 1.80
Feb-94 1.29 3.03 1.89
Mar-94 1.45 3.12 2.14
Apr-94 1.59 3.18 2.39
May-94 1.73 3.23 2.33
Jun-94 1.71 3.20 2.27
Jul-94 1.77 3.27 2.36
Aug-94 1.80 3.26 2.26
Sep-94 1.86 3.32 2.36
Oct-94 1.97 3.38 2.42
Nov-94 2.08 3.40 2.46
Dec-94 2.21 3.32 2.21
Jan-95 2.20 3.35 2.21
Feb-95 2.10 3.33 2.02
Mar-95 2.03 3.33 1.88
Apr-95 1.97 3.31 1.81
May-95 1.88 3.26 1.54
Jun-95 1.77 3.20 1.31
Jul-95 1.78 3.19 1.40
Aug-95 1.82 3.22 1.55
Sep-95 1.76 3.15 1.39
Oct-95 1.75 3.12 1.26
Nov-95 1.71 3.15 1.20
Dec-95 1.65 3.09 1.11
Jan-96 1.59 3.08 1.13
Feb-96 1.56 3.13 1.26
Mar-96 1.69 3.13 1.56
Apr-96 1.76 3.14 1.71
May-96 1.80 3.17 1.82
Jun-96 1.85 3.19 1.89
Jul-96 1.85 3.18 1.81
Aug-96 1.78 3.14 1.70
Sep-96 1.84 3.18 1.83
Oct-96 1.76 3.15 1.67
Nov-96 1.71 3.10 1.45
Dec-96 1.72 3.09 1.51
Jan-97 1.77 3.13 1.68
Feb-97 1.74 3.11 1.60
Mar-97 1.83 3.16 1.75
Apr-97 1.89 3.17 1.84
May-97 1.84 3.14 1.74
Jun-97 1.79 3.09 1.65
Jul-97 1.74 3.06 1.47
Aug-97 1.77 3.10 1.51
Sep-97 1.74 3.06 1.49
Oct-97 1.72 3.03 1.38
Nov-97 1.72 3.01 1.23
Dec-97 1.72 3.00 1.15
Jan-98 1.63 2.98 1.03
Feb-98 1.65 2.99 1.06
Mar-98 1.67 2.97 1.14
Apr-98 1.67 2.95 1.12
May-98 1.69 2.98 1.11
Jun-98 1.67 2.95 1.03
Jul-98 1.64 2.92 1.01
Aug-98 1.60 2.90 0.93
Sep-98 1.46 2.83 0.67
Oct-98 1.29 2.76 0.70
Nov-98 1.41 2.84 0.79
Dec-98 1.39 2.80 0.70
Jan-99 1.40 2.79 0.81
Feb-99 1.46 2.84 0.97
Mar-99 1.50 2.88 1.14
Apr-99 1.47 2.85 1.10
May-99 1.55 2.94 1.29
Jun-99 1.66 3.02 1.47
Jul-99 1.61 2.95 1.47
Aug-99 1.68 3.04 1.51
Sep-99 1.68 3.05 1.49
Oct-99 1.73 3.08 1.61
Nov-99 1.75 3.08 1.42
Dec-99 1.83 3.15 1.49
Jan-00 1.90 3.16 1.69
Feb-00 1.95 3.14 1.58
Mar-00 1.95 3.12 1.40
Apr-00 1.91 3.07 1.22
May-00 2.03 3.14 1.42
Jun-00 1.96 3.08 1.21
Jul-00 1.94 3.11 1.14
Aug-00 1.93 3.11 0.99
Sep-00 1.89 3.14 0.99
Oct-00 1.87 3.17 0.88
Nov-00 1.87 3.17 0.84
Dec-00 1.72 3.07 0.65
1-Jan 1.54 3.05 0.84
1-Feb 1.48 3.02 0.92
1-Mar 1.37 2.95 0.93
1-Apr 1.30 2.95 1.21
1-May 1.28 2.95 1.46
1-Jun 1.23 2.93 1.46
1-Jul 1.22 2.93 1.42
1-Aug 1.15 2.92 1.32
1-Sep 0.95 2.87 1.36
1-Oct 0.82 2.81 1.41
1-Nov 0.79 2.77 1.57
1-Dec 0.84 2.81 1.96
2-Jan 0.82 2.80 1.93
2-Feb 0.82 2.80 1.82
2-Mar 0.93 2.80 2.03
2-Apr 0.90 2.78 1.98
2-May 0.87 2.78 1.92
2-Jun 0.81 2.76 1.75
2-Jul 0.72 2.80 1.57
2-Aug 0.63 2.77 1.30
2-Sep 0.59 2.67 1.00
2-Oct 0.58 2.70 1.06
2-Nov 0.54 2.66 1.23
2-Dec 0.53 2.67 1.23
3-Jan 0.51 2.70 1.25
3-Feb 0.48 2.67 1.14
3-Mar 0.46 2.64 1.07
3-Apr 0.48 2.68 1.18
3-May 0.41 2.58 0.87
3-Jun 0.35 2.50 0.73
3-Jul 0.43 2.66 1.20
3-Aug 0.52 2.74 1.56
3-Sep 0.48 2.72 1.42
3-Oct 0.49 2.70 1.42
3-Nov 0.51 2.65 1.43
3-Dec 0.50 2.63 1.42
4-Jan 0.47 2.63 1.33
4-Feb 0.47 2.62 1.28
4-Mar 0.43 2.58 1.07
4-Apr 0.55 2.63 1.45
4-May 0.66 2.65 1.68
4-Jun 0.73 2.66 1.59
4-Jul 0.71 2.63 1.38
4-Aug 0.69 2.62 1.21
4-Sep 0.70 2.59 1.02
4-Oct 0.73 2.59 0.96
4-Nov 0.81 2.60 0.94
4-Dec 0.86 2.59 0.90
5-Jan 0.91 2.56 0.85
5-Feb 0.95 2.52 0.76
5-Mar 1.05 2.59 0.95
5-Apr 1.04 2.56 0.80
5-May 1.03 2.51 0.65
5-Jun 1.03 2.46 0.53
5-Jul 1.12 2.52 0.57
5-Aug 1.18 2.57 0.56
5-Sep 1.17 2.59 0.51
5-Oct 1.27 2.65 0.61
5-Nov 1.32 2.70 0.63
5-Dec 1.32 2.67 0.55
6-Jan 1.34 2.69 0.47
6-Feb 1.41 2.73 0.53
6-Mar 1.45 2.78 0.60
6-Apr 1.49 2.83 0.72
6-May 1.52 2.88 0.76
6-Jun 1.56 2.87 0.71
6-Jul 1.58 2.88 0.66
6-Aug 1.52 2.86 0.54
6-Sep 1.48 2.84 0.47
6-Oct 1.49 2.84 0.46
6-Nov 1.48 2.82 0.36
6-Dec 1.46 2.82 0.36
7-Jan 1.51 2.83 0.48
7-Feb 1.51 2.83 0.45
7-Mar 1.46 2.85 0.35
7-Apr 1.47 2.85 0.45
7-May 1.47 2.81 0.51
7-Jun 1.52 2.86 0.78
7-Jul 1.50 2.91 0.69
7-Aug 1.35 2.85 0.61
7-Sep 1.25 2.79 0.59
7-Oct 1.24 2.81 0.61
7-Nov 1.06 2.75 0.54
7-Dec 0.99 2.76 0.57
8-Jan 0.81 2.74 0.46
8-Feb 0.64 2.72 0.69
8-Mar 0.49 2.59 0.68
8-Apr 0.57 2.52 0.81
8-May 0.67 2.56 0.92
8-Jun 0.78 2.61 1.00
8-Jul 0.71 2.57 0.96
8-Aug 0.69 2.56 0.85
8-Sep 0.59 2.52 0.82
8-Oct 0.47 2.74 1.16
8-Nov 0.32 2.70 1.12
8-Dec 0.13 2.32 0.51
9-Jan 0.16 2.33 0.56
9-Feb 0.23 2.43 0.77
9-Mar 0.22 2.35 0.68
9-Apr 0.21 2.34 0.71
9-May 0.22 2.46 0.99
9-Jun 0.29 2.58 1.37
9-Jul 0.25 2.55 1.23
9-Aug 0.26 2.52 1.27
9-Sep 0.22 2.49 1.15
9-Oct 0.21 2.45 1.11
9-Nov 0.19 2.49 1.09
9-Dec 0.21 2.53 1.18
10-Jan 0.22 2.56 1.30
10-Feb 0.21 2.58 1.24
10-Mar 0.23 2.56 1.24
10-Apr 0.25 2.57 1.32
10-May 0.20 2.49 1.04
10-Jun 0.17 2.44 0.90
10-Jul 0.14 2.39 0.71
10-Aug 0.11 2.29 0.45
10-Sep 0.10 2.28 0.41
10-Oct 0.07 2.24 0.27
10-Nov 0.09 2.28 0.39
10-Dec 0.16 2.47 0.86
11-Jan 0.16 2.51 0.93
11-Feb 0.19 2.53 1.10
11-Mar 0.17 2.50 0.99
11-Apr 0.17 2.49 1.04
11-May 0.12 2.43 0.81
11-Jun 0.10 2.38 0.62
11-Jul 0.09 2.37 0.62
11-Aug 0.03 2.16 0.13
11-Sep 0.01 2.05 -0.05
11-Oct 0.03 2.09 0.08
11-Nov 0.01 2.05 -0.04
11-Dec 0.01 2.03 -0.06
12-Jan 0.01 2.03 -0.10
12-Feb 0.02 2.02 -0.14
12-Mar 0.05 2.08 0.02
12-Apr 0.03 2.05 -0.08
12-May 0.02 1.97 -0.24
12-Jun 0.02 1.90 -0.34
12-Jul 0.00 1.87 -0.42
12-Aug 0.01 1.93 -0.31
12-Sep 0.01 1.94 -0.32
12-Oct 0.01 1.94 -0.30
12-Nov 0.01 1.91 -0.35
12-Dec 0.01 1.92 -0.31
13-Jan 0.01 1.99 -0.18
13-Feb 0.02 2.02 -0.14
13-Mar 0.02 2.01 -0.16
13-Apr 0.00 1.94 -0.28
13-May 0.01 2.00 -0.15
13-Jun 0.05 2.13 0.16
13-Jul 0.07 2.25 0.39
13-Aug 0.08 2.31 0.51
13-Sep 0.08 2.31 0.58
13-Oct 0.07 2.26 0.40
13-Nov 0.07 2.32 0.44
13-Dec 0.09 2.39 0.61
14-Jan 0.09 2.36 0.63
14-Feb 0.08 2.33 0.51
14-Mar 0.09 2.32 0.57
14-Apr 0.09 2.32 0.60
14-May 0.08 2.27 0.49
14-Jun 0.09 2.27 0.53
14-Jul 0.09 2.23 0.50
14-Aug 0.09 2.19 0.44
14-Sep 0.10 2.21 0.54
14-Oct 0.08 2.16 0.37
14-Nov 0.09 2.16 0.39
14-Dec 0.11 2.09 0.32
15-Jan 0.07 1.98 0.09
15-Feb 0.09 1.99 0.17
15-Mar 0.10 2.02 0.20
15-Apr 0.07 2.00 0.10
15-May 0.10 2.07 0.29
15-Jun 0.12 2.11 0.41
15-Jul 0.11 2.11 0.36
15-Aug 0.12 2.06 0.23
15-Sep 0.12 2.04 0.22
15-Oct 0.09 2.00 0.15
15-Nov 0.17 2.07 0.27
15-Dec 0.21 2.06 0.21
16-Jan 0.18 2.00 0.08
16-Feb 0.14 1.96 -0.14
16-Mar 0.17 1.97 -0.06
16-Apr 0.13 1.94 -0.11
16-May 0.15 1.94 -0.11
16-Jun 0.12 1.90 -0.22
16-Jul 0.11 1.87 -0.31
16-Aug 0.13 1.88 -0.28
16-Sep 0.14 1.89 -0.24
16-Oct 0.16 1.91 -0.17
16-Nov 0.21 2.04 0.09
16-Dec 0.27 2.13 0.35
17-Jan 0.26 2.10 0.31
17-Feb 0.27 2.10 0.28
17-Mar 0.32 2.15 0.27
17-Apr 0.31 2.12 0.09
17-May 0.33 2.12 0.06
17-Jun 0.34 2.08 -0.05
17-Jul 0.35 2.12 0.03
17-Aug 0.34 2.09 -0.05
17-Sep 0.35 2.08 -0.06
17-Oct 0.39 2.10 0.03
17-Nov 0.43 2.09 -0.01
17-Dec 0.47 2.08 0.01
18-Jan 0.52 2.12 0.10
18-Feb 0.58 2.20 0.25
18-Mar 0.61 2.21 0.20
18-Apr 0.64 2.19 0.19
18-May 0.67 2.21 0.24
18-Jun 0.68 2.19 0.19
18-Jul 0.69 2.17 0.15
18-Aug 0.71 2.17 0.11
18-Sep 0.74 2.19 0.16
18-Oct 0.78 2.24 0.22
18-Nov 0.79 2.24 0.16
18-Dec 0.75 2.21 -0.05
19-Jan 0.72 2.20 -0.14
19-Feb 0.71 2.20 -0.16
19-Mar 0.70 2.20 -0.23
19-Apr 0.68 2.20 -0.25
19-May 0.65 2.19 -0.33
19-Jun 0.55 2.14 -0.48
19-Jul 0.54 2.10 -0.47
19-Aug 0.46 2.00 -0.70
19-Sep 0.47 1.99 -0.63
19-Oct 0.42 1.96 -0.57
19-Nov 0.42 1.95 -0.46

Note: Decomposition of the 10-year zero-coupon U.S. Treasury yield based on the model presented in Kim, Walsh, and Wei (2019).

Source: Federal Reserve Bank of New York; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters; Wolters Kluwer Legal and Regulatory Solutions U.S., Blue Chip Financial Forecasts; Board staff calculations.

Figure 3: Estimates of r*

Quarterly

Date United States Foreign
1-Jan-92 2.85 3.35
1-Apr-92 2.82 3.09
1-Jul-92 2.69 2.90
1-Oct-92 2.75 2.86
1-Jan-93 2.54 2.81
1-Apr-93 2.53 2.78
1-Jul-93 2.31 2.85
1-Oct-93 2.35 2.75
1-Jan-94 2.26 2.77
1-Apr-94 2.46 2.79
1-Jul-94 2.33 2.84
1-Oct-94 2.37 2.83
1-Jan-95 2.29 2.85
1-Apr-95 2.28 2.75
1-Jul-95 2.30 2.70
1-Oct-95 2.34 2.60
1-Jan-96 2.31 2.53
1-Apr-96 2.57 2.59
1-Jul-96 2.59 2.49
1-Oct-96 2.74 2.48
1-Jan-97 2.62 2.50
1-Apr-97 2.90 2.56
1-Jul-97 2.77 2.63
1-Oct-97 2.77 2.69
1-Jan-98 2.79 2.65
1-Apr-98 2.83 2.62
1-Jul-98 2.98 2.58
1-Oct-98 3.14 2.52
1-Jan-99 3.15 2.65
1-Apr-99 3.12 2.61
1-Jul-99 3.23 2.73
1-Oct-99 3.48 2.89
1-Jan-00 3.44 2.95
1-Apr-00 3.52 3.00
1-Jul-00 3.41 3.13
1-Oct-00 3.43 3.19
1-Jan-01 3.32 3.28
1-Apr-01 3.24 3.60
1-Jul-01 2.91 3.31
1-Oct-01 2.98 3.25
1-Jan-02 2.87 3.34
1-Apr-02 2.98 3.21
1-Jul-02 2.86 3.15
1-Oct-02 2.58 3.01
1-Jan-03 2.40 2.86
1-Apr-03 2.36 2.73
1-Jul-03 2.56 2.75
1-Oct-03 2.57 2.82
1-Jan-04 2.61 2.75
1-Apr-04 2.59 2.78
1-Jul-04 2.42 2.66
1-Oct-04 2.49 2.56
1-Jan-05 2.62 2.46
1-Apr-05 2.36 2.46
1-Jul-05 2.28 2.52
1-Oct-05 2.40 2.61
1-Jan-06 2.49 2.61
1-Apr-06 2.49 2.70
1-Jul-06 2.32 2.72
1-Oct-06 2.29 2.78
1-Jan-07 2.40 2.83
1-Apr-07 2.19 2.88
1-Jul-07 2.24 2.82
1-Oct-07 2.39 2.89
1-Jan-08 2.11 2.94
1-Apr-08 2.09 2.70
1-Jul-08 1.82 2.62
1-Oct-08 0.92 2.01
1-Jan-09 0.60 1.23
1-Apr-09 0.76 1.20
1-Jul-09 0.76 1.27
1-Oct-09 1.12 1.39
1-Jan-10 0.86 1.46
1-Apr-10 0.80 1.50
1-Jul-10 0.66 1.56
1-Oct-10 0.65 1.56
1-Jan-11 0.62 1.65
1-Apr-11 0.82 1.63
1-Jul-11 0.68 1.53
1-Oct-11 0.74 1.56
1-Jan-12 0.93 1.36
1-Apr-12 0.71 1.26
1-Jul-12 0.47 1.11
1-Oct-12 0.45 1.06
1-Jan-13 0.49 0.92
1-Apr-13 0.33 0.97
1-Jul-13 0.42 0.94
1-Oct-13 0.53 0.82
1-Jan-14 0.25 0.86
1-Apr-14 0.53 0.76
1-Jul-14 0.58 0.86
1-Oct-14 0.44 0.89
1-Jan-15 0.36 0.89
1-Apr-15 0.51 0.87
1-Jul-15 0.41 0.85
1-Oct-15 0.24 0.86
1-Jan-16 0.36 0.79
1-Apr-16 0.44 0.70
1-Jul-16 0.47 0.78
1-Oct-16 0.38 0.84
1-Jan-17 0.39 1.00
1-Apr-17 0.31 0.92
1-Jul-17 0.36 0.95
1-Oct-17 0.55 1.05
1-Jan-18 0.61 0.99
1-Apr-18 0.67 1.06
1-Jul-18 0.58 1.02
1-Oct-18 0.51 0.80
1-Jan-19 0.42 0.85
1-Apr-19 0.51 0.91

Note: The foreign r* shown in the chart captures the comovement of r*in Canada, the euro area, and the United Kingdom with the U.S. r*. Specifically, the foreign r* is a linear combination of the r*s for Canada, the euro area, and the United Kingdom. The weights are equal to (minus) the cointegrating vector coefficient for each country as reported in Holston, Laubach, and Williams (2017) from a vector-error-correction model fitted to r*s in the United States, Canada, the euro area, and the United Kingdom.

Source: Holston, Laubach, and Williams (2017); Clarida (2019); Board staff calculations.

Table 1: Average Inflation
Region 1970-1994 1995-2018
United States* 5.2 1.8
Memo: US core inflation 5.1 1.7
Other advanced economies** 6.7 1.4
Emerging market economies*** 32.7 6.6

*For the United States, inflation is the annualized quarterly percent change in the price index for personal consumption expenditures (PCE). Core inflation is the annualized quarterly percent change in the price index for PCE less food and energy. Return to table

**Staff estimate. Begins in the third quarter of 1970. Based on a weighted average of Australia, Canada, the euro area, Japan, Sweden, Switzerland, and the United Kingdom. For the euro area, inflation is the annualized quarterly percent change in the harmonized index of consumer prices, extended back to 1970 using Euro Area Business Cycle Network data. For all other countries, inflation is the annualized quarterly percent change in the consumer price index (CPI). Countries’ weights are based on real GDP at chained purchasing power parity. Return to table

***Staff estimate. Begins in the third quarter of 1971. Based on a weighted average of Argentina, Brazil, Chile, China, Colombia, Hong Kong, India, Indonesia, Israel, Korea, Malaysia, Mexico, Philippines, Russia, Saudi Arabia, Singapore, Taiwan, Thailand, Venezuela, and Vietnam. The data for Venezuela end in 2005. Countries’ weights are based on real GDP at chained purchasing power parity. Return to table

Source: Board staff calculations; Haver Analytics; Robert C. Feenstra, Robert Inklaar, and Marcel P. Timmer (2015), "The Next Generation of the Penn World Table," American Economic Review, 105 (October), pp. 3150–82, available for download at www.ggdc.net/pwt.

Table 2: Standard Deviation of the Annualized Quarterly Headline Inflation Rates
Region 1970-1994 1995-2018
United States* 2.8 1.5
Memo: US core inflation 2.2 0.5
Other advanced economies** 3.8 1.0
Emerging market economies*** 25.1 4.8

*For the United States, inflation is the annualized quarterly percent change in the price index for personal consumption expenditures (PCE). Core inflation is the annualized quarterly percent change in the price index for PCE less food and energy. Return to table

**Staff estimate. Begins in the third quarter of 1970. Based on a weighted average of Australia, Canada, the euro area, Japan, Sweden, Switzerland, and the United Kingdom. For the euro area, inflation is the annualized quarterly percent change in the harmonized index of consumer prices, extended back to 1970 using Euro Area Business Cycle Network data. For all other countries, inflation is the annualized quarterly percent change in the consumer price index (CPI). Countries’ weights are based on real GDP at chained purchasing power parity. Return to table

***Staff estimate. Begins in the third quarter of 1971. Based on a weighted average of Argentina, Brazil, Chile, China, Colombia, Hong Kong, India, Indonesia, Israel, Korea, Malaysia, Mexico, Philippines, Russia, Saudi Arabia, Singapore, Taiwan, Thailand, Venezuela, and Vietnam. The data for Venezuela end in 2005. Countries’ weights are based on real GDP at chained purchasing power parity. Return to table

Source: Board staff calculations; Haver Analytics; Robert C. Feenstra, Robert Inklaar, and Marcel P. Timmer (2015), "The Next Generation of the Penn World Table," American Economic Review, 105 (October), pp. 3150–82, available for download at www.ggdc.net/pwt.

Figure 4: Term Premium Decomposition

Monthly

  Term premium Real term premium Inflation risk premium
Jan-88 2.74 1.88 0.87
Feb-88 2.52 1.73 0.79
Mar-88 2.62 1.79 0.83
Apr-88 2.79 1.91 0.88
May-88 2.93 2.00 0.93
Jun-88 2.76 1.89 0.87
Jul-88 2.74 1.89 0.86
Aug-88 2.74 1.89 0.84
Sep-88 2.54 1.77 0.77
Oct-88 2.42 1.69 0.73
Nov-88 2.41 1.69 0.71
Dec-88 2.39 1.68 0.70
Jan-89 2.35 1.66 0.69
Feb-89 2.33 1.65 0.68
Mar-89 2.32 1.66 0.66
Apr-89 2.26 1.62 0.65
May-89 2.16 1.55 0.61
Jun-89 1.89 1.38 0.52
Jul-89 1.83 1.33 0.50
Aug-89 1.87 1.35 0.52
Sep-89 1.93 1.39 0.55
Oct-89 1.87 1.35 0.52
Nov-89 1.83 1.32 0.51
Dec-89 1.82 1.30 0.51
Jan-90 2.03 1.45 0.59
Feb-90 2.17 1.54 0.63
Mar-90 2.20 1.56 0.65
Apr-90 2.32 1.63 0.69
May-90 2.34 1.64 0.70
Jun-90 2.20 1.55 0.65
Jul-90 2.22 1.57 0.65
Aug-90 2.43 1.71 0.72
Sep-90 2.56 1.80 0.77
Oct-90 2.48 1.74 0.74
Nov-90 2.29 1.61 0.68
Dec-90 2.21 1.54 0.67
Jan-91 2.40 1.65 0.74
Feb-91 2.37 1.62 0.75
Mar-91 2.57 1.74 0.82
Apr-91 2.59 1.75 0.84
May-91 2.67 1.81 0.86
Jun-91 2.76 1.86 0.89
Jul-91 2.76 1.87 0.89
Aug-91 2.62 1.78 0.84
Sep-91 2.50 1.70 0.80
Oct-91 2.43 1.66 0.78
Nov-91 2.53 1.71 0.82
Dec-91 2.47 1.66 0.81
Jan-92 2.61 1.74 0.87
Feb-92 2.80 1.86 0.94
Mar-92 2.84 1.88 0.96
Apr-92 2.91 1.93 0.98
May-92 2.88 1.91 0.97
Jun-92 2.75 1.82 0.92
Jul-92 2.59 1.72 0.87
Aug-92 2.46 1.63 0.83
Sep-92 2.42 1.60 0.81
Oct-92 2.53 1.68 0.86
Nov-92 2.66 1.76 0.91
Dec-92 2.60 1.71 0.89
Jan-93 2.54 1.67 0.87
Feb-93 2.28 1.50 0.78
Mar-93 2.12 1.40 0.72
Apr-93 2.12 1.40 0.72
May-93 2.08 1.38 0.71
Jun-93 1.94 1.27 0.67
Jul-93 1.84 1.20 0.64
Aug-93 1.80 1.18 0.63
Sep-93 1.58 1.03 0.56
Oct-93 1.53 0.99 0.54
Nov-93 1.76 1.15 0.61
Dec-93 1.80 1.17 0.63
Jan-94 1.80 1.17 0.63
Feb-94 1.89 1.23 0.66
Mar-94 2.14 1.40 0.74
Apr-94 2.39 1.56 0.83
May-94 2.33 1.53 0.80
Jun-94 2.27 1.49 0.78
Jul-94 2.36 1.56 0.80
Aug-94 2.26 1.50 0.76
Sep-94 2.36 1.57 0.79
Oct-94 2.42 1.62 0.80
Nov-94 2.46 1.65 0.82
Dec-94 2.21 1.48 0.73
Jan-95 2.21 1.48 0.73
Feb-95 2.02 1.37 0.66
Mar-95 1.88 1.28 0.60
Apr-95 1.81 1.23 0.57
May-95 1.54 1.06 0.48
Jun-95 1.31 0.91 0.40
Jul-95 1.40 0.97 0.44
Aug-95 1.55 1.06 0.49
Sep-95 1.39 0.95 0.44
Oct-95 1.26 0.86 0.39
Nov-95 1.20 0.83 0.36
Dec-95 1.11 0.77 0.34
Jan-96 1.13 0.78 0.35
Feb-96 1.26 0.87 0.39
Mar-96 1.56 1.05 0.51
Apr-96 1.71 1.14 0.57
May-96 1.82 1.21 0.60
Jun-96 1.89 1.26 0.63
Jul-96 1.81 1.21 0.60
Aug-96 1.70 1.14 0.57
Sep-96 1.83 1.23 0.61
Oct-96 1.67 1.12 0.55
Nov-96 1.45 0.98 0.47
Dec-96 1.51 1.01 0.50
Jan-97 1.68 1.12 0.56
Feb-97 1.60 1.07 0.53
Mar-97 1.75 1.17 0.58
Apr-97 1.84 1.23 0.62
May-97 1.74 1.16 0.58
Jun-97 1.65 1.10 0.55
Jul-97 1.47 0.98 0.49
Aug-97 1.51 1.02 0.50
Sep-97 1.49 1.00 0.50
Oct-97 1.38 0.92 0.46
Nov-97 1.23 0.83 0.40
Dec-97 1.15 0.78 0.37
Jan-98 1.03 0.70 0.33
Feb-98 1.06 0.72 0.34
Mar-98 1.14 0.76 0.37
Apr-98 1.12 0.75 0.37
May-98 1.11 0.75 0.36
Jun-98 1.03 0.70 0.34
Jul-98 1.01 0.68 0.34
Aug-98 0.93 0.63 0.31
Sep-98 0.67 0.46 0.22
Oct-98 0.70 0.46 0.24
Nov-98 0.79 0.53 0.26
Dec-98 0.70 0.47 0.23
Jan-99 0.81 0.53 0.28
Feb-99 0.97 0.64 0.33
Mar-99 1.14 0.75 0.39
Apr-99 1.10 0.72 0.38
May-99 1.29 0.85 0.44
Jun-99 1.47 0.97 0.50
Jul-99 1.47 0.96 0.51
Aug-99 1.51 1.00 0.51
Sep-99 1.49 0.99 0.50
Oct-99 1.61 1.07 0.54
Nov-99 1.42 0.96 0.46
Dec-99 1.49 1.01 0.48
Jan-00 1.69 1.13 0.56
Feb-00 1.58 1.07 0.52
Mar-00 1.40 0.95 0.45
Apr-00 1.22 0.83 0.39
May-00 1.42 0.97 0.45
Jun-00 1.21 0.83 0.38
Jul-00 1.14 0.79 0.35
Aug-00 0.99 0.70 0.29
Sep-00 0.99 0.71 0.28
Oct-00 0.88 0.65 0.24
Nov-00 0.84 0.62 0.22
Dec-00 0.65 0.49 0.16
1-Jan 0.84 0.60 0.24
1-Feb 0.92 0.64 0.28
1-Mar 0.93 0.63 0.29
1-Apr 1.21 0.80 0.41
1-May 1.46 0.95 0.50
1-Jun 1.46 0.95 0.51
1-Jul 1.42 0.93 0.49
1-Aug 1.32 0.87 0.46
1-Sep 1.36 0.88 0.48
1-Oct 1.41 0.90 0.51
1-Nov 1.57 0.99 0.58
1-Dec 1.96 1.23 0.73
2-Jan 1.93 1.21 0.72
2-Feb 1.82 1.15 0.68
2-Mar 2.03 1.27 0.76
2-Apr 1.98 1.23 0.74
2-May 1.92 1.20 0.72
2-Jun 1.75 1.09 0.65
2-Jul 1.57 0.99 0.58
2-Aug 1.30 0.82 0.47
2-Sep 1.00 0.63 0.38
2-Oct 1.06 0.67 0.39
2-Nov 1.23 0.76 0.47
2-Dec 1.23 0.77 0.47
3-Jan 1.25 0.78 0.47
3-Feb 1.14 0.71 0.43
3-Mar 1.07 0.66 0.41
3-Apr 1.18 0.73 0.44
3-May 0.87 0.53 0.34
3-Jun 0.73 0.43 0.30
3-Jul 1.20 0.74 0.46
3-Aug 1.56 0.97 0.58
3-Sep 1.42 0.89 0.53
3-Oct 1.42 0.88 0.54
3-Nov 1.43 0.88 0.55
3-Dec 1.42 0.87 0.55
4-Jan 1.33 0.81 0.51
4-Feb 1.28 0.78 0.49
4-Mar 1.07 0.65 0.42
4-Apr 1.45 0.89 0.56
4-May 1.68 1.03 0.65
4-Jun 1.59 0.98 0.61
4-Jul 1.38 0.85 0.54
4-Aug 1.21 0.74 0.47
4-Sep 1.02 0.62 0.40
4-Oct 0.96 0.58 0.37
4-Nov 0.94 0.57 0.36
4-Dec 0.90 0.55 0.35
5-Jan 0.85 0.51 0.34
5-Feb 0.76 0.45 0.31
5-Mar 0.95 0.58 0.37
5-Apr 0.80 0.48 0.32
5-May 0.65 0.38 0.27
5-Jun 0.53 0.30 0.23
5-Jul 0.57 0.34 0.23
5-Aug 0.56 0.34 0.22
5-Sep 0.51 0.31 0.20
5-Oct 0.61 0.38 0.22
5-Nov 0.63 0.41 0.23
5-Dec 0.55 0.35 0.20
6-Jan 0.47 0.31 0.16
6-Feb 0.53 0.35 0.18
6-Mar 0.60 0.40 0.20
6-Apr 0.72 0.49 0.23
6-May 0.76 0.52 0.24
6-Jun 0.71 0.49 0.22
6-Jul 0.66 0.46 0.20
6-Aug 0.54 0.38 0.16
6-Sep 0.47 0.34 0.14
6-Oct 0.46 0.33 0.13
6-Nov 0.36 0.26 0.09
6-Dec 0.36 0.27 0.10
7-Jan 0.48 0.34 0.14
7-Feb 0.45 0.32 0.13
7-Mar 0.35 0.27 0.09
7-Apr 0.45 0.32 0.12
7-May 0.51 0.35 0.15
7-Jun 0.78 0.53 0.25
7-Jul 0.69 0.48 0.21
7-Aug 0.61 0.42 0.19
7-Sep 0.59 0.40 0.19
7-Oct 0.61 0.41 0.20
7-Nov 0.54 0.36 0.18
7-Dec 0.57 0.38 0.19
8-Jan 0.46 0.31 0.15
8-Feb 0.69 0.45 0.25
8-Mar 0.68 0.42 0.27
8-Apr 0.81 0.48 0.33
8-May 0.92 0.55 0.37
8-Jun 1.00 0.61 0.39
8-Jul 0.96 0.58 0.38
8-Aug 0.85 0.51 0.34
8-Sep 0.82 0.48 0.33
8-Oct 1.16 0.74 0.43
8-Nov 1.12 0.70 0.42
8-Dec 0.51 0.26 0.25
9-Jan 0.56 0.30 0.27
9-Feb 0.77 0.44 0.33
9-Mar 0.68 0.37 0.31
9-Apr 0.71 0.39 0.32
9-May 0.99 0.58 0.41
9-Jun 1.37 0.83 0.54
9-Jul 1.23 0.74 0.49
9-Aug 1.27 0.76 0.51
9-Sep 1.15 0.68 0.47
9-Oct 1.11 0.65 0.46
9-Nov 1.09 0.65 0.45
9-Dec 1.18 0.71 0.47
10-Jan 1.30 0.78 0.51
10-Feb 1.24 0.75 0.49
10-Mar 1.24 0.75 0.49
10-Apr 1.32 0.80 0.52
10-May 1.04 0.62 0.43
10-Jun 0.90 0.52 0.38
10-Jul 0.71 0.40 0.31
10-Aug 0.45 0.22 0.23
10-Sep 0.41 0.19 0.22
10-Oct 0.27 0.10 0.17
10-Nov 0.39 0.18 0.21
10-Dec 0.86 0.50 0.36
11-Jan 0.93 0.55 0.38
11-Feb 1.10 0.66 0.44
11-Mar 0.99 0.59 0.40
11-Apr 1.04 0.61 0.43
11-May 0.81 0.46 0.35
11-Jun 0.62 0.34 0.28
11-Jul 0.62 0.34 0.28
11-Aug 0.13 0.00 0.13
11-Sep -0.05 -0.13 0.08
11-Oct 0.08 -0.04 0.12
11-Nov -0.04 -0.12 0.08
11-Dec -0.06 -0.14 0.08
12-Jan -0.10 -0.16 0.06
12-Feb -0.14 -0.19 0.05
12-Mar 0.02 -0.08 0.10
12-Apr -0.08 -0.15 0.07
12-May -0.24 -0.26 0.02
12-Jun -0.34 -0.33 -0.01
12-Jul -0.42 -0.38 -0.03
12-Aug -0.31 -0.31 0.00
12-Sep -0.32 -0.31 -0.01
12-Oct -0.30 -0.30 0.00
12-Nov -0.35 -0.34 -0.02
12-Dec -0.31 -0.31 0.00
13-Jan -0.18 -0.22 0.04
13-Feb -0.14 -0.19 0.05
13-Mar -0.16 -0.20 0.04
13-Apr -0.28 -0.29 0.01
13-May -0.15 -0.20 0.05
13-Jun 0.16 0.02 0.15
13-Jul 0.39 0.17 0.21
13-Aug 0.51 0.26 0.25
13-Sep 0.58 0.30 0.28
13-Oct 0.40 0.18 0.21
13-Nov 0.44 0.22 0.22
13-Dec 0.61 0.33 0.27
14-Jan 0.63 0.34 0.29
14-Feb 0.51 0.26 0.25
14-Mar 0.57 0.30 0.27
14-Apr 0.60 0.31 0.28
14-May 0.49 0.24 0.25
14-Jun 0.53 0.26 0.26
14-Jul 0.50 0.24 0.26
14-Aug 0.44 0.19 0.24
14-Sep 0.54 0.26 0.28
14-Oct 0.37 0.14 0.22
14-Nov 0.39 0.16 0.23
14-Dec 0.32 0.11 0.22
15-Jan 0.09 -0.05 0.15
15-Feb 0.17 -0.01 0.18
15-Mar 0.20 0.02 0.18
15-Apr 0.10 -0.05 0.15
15-May 0.29 0.08 0.21
15-Jun 0.41 0.16 0.25
15-Jul 0.36 0.13 0.23
15-Aug 0.23 0.04 0.18
15-Sep 0.22 0.03 0.19
15-Oct 0.15 -0.01 0.17
15-Nov 0.27 0.07 0.20
15-Dec 0.21 0.03 0.18
16-Jan 0.08 -0.06 0.14
16-Feb -0.14 -0.20 0.06
16-Mar -0.06 -0.15 0.09
16-Apr -0.11 -0.19 0.07
16-May -0.11 -0.18 0.08
16-Jun -0.22 -0.26 0.04
16-Jul -0.31 -0.32 0.01
16-Aug -0.28 -0.30 0.02
16-Sep -0.24 -0.28 0.03
16-Oct -0.17 -0.23 0.06
16-Nov 0.09 -0.04 0.14
16-Dec 0.35 0.13 0.22
17-Jan 0.31 0.10 0.21
17-Feb 0.28 0.08 0.20
17-Mar 0.27 0.08 0.18
17-Apr 0.09 -0.03 0.12
17-May 0.06 -0.05 0.11
17-Jun -0.05 -0.12 0.07
17-Jul 0.03 -0.07 0.10
17-Aug -0.05 -0.12 0.07
17-Sep -0.06 -0.13 0.07
17-Oct 0.03 -0.07 0.10
17-Nov -0.01 -0.10 0.09
17-Dec 0.01 -0.09 0.10
18-Jan 0.10 -0.02 0.12
18-Feb 0.25 0.08 0.17
18-Mar 0.20 0.05 0.15
18-Apr 0.19 0.04 0.15
18-May 0.24 0.08 0.16
18-Jun 0.19 0.04 0.15
18-Jul 0.15 0.01 0.14
18-Aug 0.11 -0.01 0.12
18-Sep 0.16 0.02 0.13
18-Oct 0.22 0.07 0.15
18-Nov 0.16 0.04 0.13
18-Dec -0.05 -0.10 0.05
19-Jan -0.14 -0.15 0.02
19-Feb -0.16 -0.16 0.01
19-Mar -0.23 -0.21 -0.02
19-Apr -0.25 -0.22 -0.03
19-May -0.33 -0.27 -0.06
19-Jun -0.48 -0.37 -0.11
19-Jul -0.47 -0.37 -0.10
19-Aug -0.70 -0.53 -0.17
19-Sep -0.63 -0.49 -0.14
19-Oct -0.57 -0.46 -0.11
19-Nov -0.46 -0.39 -0.06

Note: Decomposition of the 10-year zero-coupon U.S. Treasury yield based on the model presented in Kim, Walsh, and Wei (2019).

Source: Federal Reserve Bank of New York; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters; Wolters Kluwer Legal and Regulatory Solutions U.S., Blue Chip Financial Forecasts; Board staff calculations.

Figure 5: Bond-Stock Covariance in the United States

Monthly

Year Month CAPM beta Covariance
1971 11 0.046 0.018
1971 12 0.014 0.008
1972 1 -0.039 -0.018
1972 2 -0.023 -0.007
1972 3 -0.061 -0.013
1972 4 -0.050 -0.010
1972 5 0.029 0.008
1972 6 0.010 0.002
1972 7 0.041 0.011
1972 8 0.028 0.007
1972 9 0.064 0.017
1972 10 0.066 0.020
1972 11 0.060 0.018
1972 12 0.050 0.015
1973 1 0.069 0.017
1973 2 0.094 0.032
1973 3 0.062 0.033
1973 4 0.040 0.027
1973 5 0.021 0.021
1973 6 0.031 0.035
1973 7 0.027 0.032
1973 8 0.004 0.003
1973 9 0.001 0.001
1973 10 0.028 0.015
1973 11 0.007 0.008
1973 12 0.048 0.086
1974 1 0.035 0.073
1974 2 0.047 0.083
1974 3 0.013 0.016
1974 4 -0.036 -0.033
1974 5 0.024 0.021
1974 6 0.028 0.028
1974 7 0.072 0.108
1974 8 0.008 0.015
1974 9 0.012 0.032
1974 10 -0.007 -0.026
1974 11 0.003 0.010
1974 12 0.022 0.062
1975 1 0.053 0.091
1975 2 0.085 0.132
1975 3 0.042 0.054
1975 4 0.095 0.107
1975 5 0.132 0.136
1975 6 0.120 0.100
1975 7 0.103 0.072
1975 8 0.064 0.052
1975 9 0.112 0.100
1975 10 0.130 0.135
1975 11 0.146 0.119
1975 12 0.069 0.046
1976 1 0.062 0.040
1976 2 0.024 0.018
1976 3 0.028 0.019
1976 4 -0.011 -0.007
1976 5 -0.009 -0.005
1976 6 0.011 0.005
1976 7 0.049 0.019
1976 8 0.018 0.006
1976 9 0.071 0.024
1976 10 0.018 0.008
1976 11 0.078 0.041
1976 12 0.050 0.022
1977 1 0.214 0.074
1977 2 0.217 0.053
1977 3 0.144 0.038
1977 4 0.073 0.023
1977 5 0.028 0.010
1977 6 0.087 0.031
1977 7 0.081 0.024
1977 8 0.082 0.023
1977 9 0.076 0.020
1977 10 0.028 0.008
1977 11 0.113 0.046
1977 12 0.095 0.042
1978 1 0.161 0.073
1978 2 0.127 0.047
1978 3 0.158 0.052
1978 4 0.056 0.026
1978 5 0.062 0.033
1978 6 0.086 0.052
1978 7 0.113 0.053
1978 8 0.184 0.080
1978 9 0.165 0.070
1978 10 0.205 0.126
1978 11 0.286 0.284
1978 12 0.288 0.318
1979 1 0.302 0.279
1979 2 0.211 0.126
1979 3 0.214 0.088
1979 4 0.175 0.066
1979 5 0.112 0.041
1979 6 0.140 0.047
1979 7 0.070 0.025
1979 8 0.072 0.019
1979 9 -0.023 -0.008
1979 10 0.324 0.158
1979 11 0.419 0.256
1979 12 0.625 0.328
1980 1 0.320 0.147
1980 2 0.263 0.170
1980 3 0.326 0.435
1980 4 0.205 0.311
1980 5 0.259 0.365
1980 6 -0.092 -0.076
1980 7 0.222 0.142
1980 8 0.214 0.147
1980 9 0.380 0.340
1980 10 0.519 0.532
1980 11 0.639 0.668
1980 12 0.715 0.806
1981 1 0.597 0.633
1981 2 0.322 0.336
1981 3 -0.094 -0.081
1981 4 -0.101 -0.074
1981 5 0.312 0.192
1981 6 0.640 0.287
1981 7 0.759 0.349
1981 8 0.730 0.436
1981 9 0.868 0.734
1981 10 0.828 0.865
1981 11 0.620 0.678
1981 12 0.445 0.350
1982 1 0.665 0.652
1982 2 0.688 0.637
1982 3 0.569 0.583
1982 4 0.400 0.340
1982 5 0.388 0.243
1982 6 0.548 0.323
1982 7 0.633 0.333
1982 8 0.475 0.671
1982 9 0.494 0.742
1982 10 0.494 1.070
1982 11 0.449 0.892
1982 12 0.403 0.803
1983 1 0.180 0.280
1983 2 0.131 0.171
1983 3 0.165 0.166
1983 4 0.207 0.145
1983 5 0.282 0.173
1983 6 0.293 0.172
1983 7 0.424 0.313
1983 8 0.452 0.349
1983 9 0.400 0.277
1983 10 0.259 0.125
1983 11 0.158 0.063
1983 12 0.236 0.076
1984 1 0.237 0.073
1984 2 0.105 0.055
1984 3 0.157 0.104
1984 4 0.230 0.162
1984 5 0.466 0.243
1984 6 0.291 0.167
1984 7 0.390 0.213
1984 8 0.273 0.236
1984 9 0.447 0.338
1984 10 0.451 0.370
1984 11 0.584 0.283
1984 12 0.506 0.278
1985 1 0.218 0.110
1985 2 0.289 0.139
1985 3 0.134 0.054
1985 4 0.292 0.091
1985 5 0.387 0.128
1985 6 0.479 0.153
1985 7 0.580 0.210
1985 8 0.462 0.158
1985 9 0.133 0.047
1985 10 0.129 0.049
1985 11 0.183 0.072
1985 12 0.412 0.170
1986 1 0.487 0.298
1986 2 0.514 0.336
1986 3 0.508 0.336
1986 4 0.434 0.338
1986 5 0.429 0.346
1986 6 0.534 0.448
1986 7 0.465 0.323
1986 8 0.403 0.275
1986 9 0.312 0.338
1986 10 0.381 0.381
1986 11 0.314 0.364
1986 12 0.230 0.158
1987 1 0.174 0.154
1987 2 0.228 0.169
1987 3 0.272 0.219
1987 4 0.367 0.429
1987 5 0.430 0.568
1987 6 0.487 0.574
1987 7 0.573 0.344
1987 8 0.554 0.298
1987 9 0.471 0.382
1987 10 0.085 1.032
1987 11 0.073 0.980
1987 12 0.067 0.964
1988 1 0.131 0.487
1988 2 0.151 0.460
1988 3 0.211 0.405
1988 4 0.233 0.271
1988 5 0.251 0.261
1988 6 0.464 0.537
1988 7 0.487 0.434
1988 8 0.471 0.407
1988 9 0.418 0.291
1988 10 0.390 0.268
1988 11 0.455 0.287
1988 12 0.318 0.171
1989 1 0.386 0.151
1989 2 0.371 0.176
1989 3 0.396 0.228
1989 4 0.461 0.262
1989 5 0.604 0.300
1989 6 0.496 0.261
1989 7 0.418 0.221
1989 8 0.265 0.155
1989 9 0.270 0.125
1989 10 0.123 0.152
1989 11 0.112 0.133
1989 12 0.076 0.094
1990 1 0.145 0.103
1990 2 0.126 0.092
1990 3 0.208 0.150
1990 4 0.245 0.128
1990 5 0.396 0.194
1990 6 0.299 0.166
1990 7 0.243 0.139
1990 8 0.338 0.439
1990 9 0.322 0.456
1990 10 0.356 0.657
1990 11 0.254 0.354
1990 12 0.298 0.337
1991 1 0.381 0.380
1991 2 0.314 0.335
1991 3 0.285 0.313
1991 4 0.156 0.149
1991 5 0.238 0.184
1991 6 0.280 0.210
1991 7 0.257 0.157
1991 8 0.174 0.121
1991 9 0.119 0.068
1991 10 0.184 0.100
1991 11 0.205 0.113
1991 12 0.253 0.209
1992 1 0.221 0.182
1992 2 0.296 0.167
1992 3 0.240 0.082
1992 4 0.205 0.091
1992 5 0.135 0.057
1992 6 0.082 0.038
1992 7 0.032 0.012
1992 8 0.109 0.035
1992 9 0.205 0.069
1992 10 0.272 0.088
1992 11 0.190 0.068
1992 12 0.211 0.054
1993 1 0.439 0.080
1993 2 0.171 0.034
1993 3 0.218 0.070
1993 4 0.149 0.059
1993 5 0.314 0.137
1993 6 0.318 0.113
1993 7 0.329 0.101
1993 8 0.383 0.081
1993 9 0.493 0.100
1993 10 0.697 0.119
1993 11 0.427 0.097
1993 12 0.432 0.080
1994 1 0.422 0.089
1994 2 0.631 0.177
1994 3 0.672 0.254
1994 4 0.763 0.385
1994 5 0.991 0.460
1994 6 1.012 0.452
1994 7 1.139 0.359
1994 8 0.908 0.244
1994 9 0.811 0.226
1994 10 0.544 0.199
1994 11 0.347 0.138
1994 12 0.267 0.104
1995 1 0.375 0.110
1995 2 0.483 0.116
1995 3 0.727 0.144
1995 4 0.580 0.106
1995 5 0.342 0.089
1995 6 0.466 0.137
1995 7 0.556 0.214
1995 8 0.801 0.208
1995 9 0.726 0.144
1995 10 0.600 0.090
1995 11 0.419 0.084
1995 12 0.335 0.099
1996 1 0.374 0.156
1996 2 0.355 0.189
1996 3 0.506 0.340
1996 4 0.546 0.325
1996 5 0.696 0.384
1996 6 0.563 0.191
1996 7 0.398 0.216
1996 8 0.396 0.219
1996 9 0.426 0.259
1996 10 0.671 0.250
1996 11 0.482 0.144
1996 12 0.425 0.214
1997 1 0.327 0.205
1997 2 0.336 0.244
1997 3 0.332 0.247
1997 4 0.300 0.296
1997 5 0.290 0.307
1997 6 0.246 0.261
1997 7 0.261 0.232
1997 8 0.279 0.282
1997 9 0.349 0.347
1997 10 0.052 0.114
1997 11 -0.002 -0.004
1997 12 -0.088 -0.212
1998 1 -0.093 -0.114
1998 2 -0.083 -0.079
1998 3 0.028 0.021
1998 4 0.276 0.164
1998 5 0.265 0.149
1998 6 0.048 0.035
1998 7 -0.105 -0.085
1998 8 -0.117 -0.247
1998 9 -0.125 -0.379
1998 10 -0.120 -0.432
1998 11 -0.149 -0.489
1998 12 -0.164 -0.273
1999 1 -0.229 -0.336
1999 2 -0.072 -0.136
1999 3 0.014 0.023
1999 4 0.074 0.109
1999 5 0.083 0.113
1999 6 0.183 0.232
1999 7 0.239 0.283
1999 8 0.320 0.357
1999 9 0.277 0.329
1999 10 0.235 0.387
1999 11 0.140 0.208
1999 12 0.135 0.157
2000 1 -0.040 -0.053
2000 2 -0.044 -0.071
2000 3 -0.009 -0.021
2000 4 -0.061 -0.189
2000 5 -0.045 -0.140
2000 6 -0.070 -0.165
2000 7 0.045 0.061
2000 8 0.083 0.067
2000 9 0.114 0.083
2000 10 0.008 0.011
2000 11 -0.026 -0.043
2000 12 -0.059 -0.137
2001 1 -0.159 -0.345
2001 2 -0.156 -0.327
2001 3 -0.176 -0.401
2001 4 -0.124 -0.343
2001 5 -0.107 -0.298
2001 6 -0.084 -0.156
2001 7 -0.021 -0.023
2001 8 -0.141 -0.142
2001 9 -0.106 -0.181
2001 10 -0.095 -0.171
2001 11 0.007 0.013
2001 12 0.035 0.040
2002 1 -0.049 -0.049
2002 2 -0.139 -0.152
2002 3 -0.180 -0.201
2002 4 -0.158 -0.200
2002 5 -0.215 -0.294
2002 6 -0.237 -0.379
2002 7 -0.193 -0.670
2002 8 -0.157 -0.664
2002 9 -0.164 -0.768
2002 10 -0.193 -0.769
2002 11 -0.308 -1.018
2002 12 -0.315 -0.876
2003 1 -0.378 -0.714
2003 2 -0.227 -0.337
2003 3 -0.278 -0.571
2003 4 -0.261 -0.516
2003 5 -0.249 -0.441
2003 6 -0.178 -0.206
2003 7 -0.033 -0.030
2003 8 0.095 0.073
2003 9 0.009 0.006
2003 10 -0.162 -0.106
2003 11 -0.422 -0.283
2003 12 -0.378 -0.192
2004 1 -0.339 -0.158
2004 2 -0.117 -0.048
2004 3 -0.034 -0.020
2004 4 0.029 0.017
2004 5 0.043 0.029
2004 6 0.164 0.079
2004 7 0.022 0.009
2004 8 -0.213 -0.100
2004 9 -0.323 -0.149
2004 10 -0.318 -0.173
2004 11 -0.141 -0.063
2004 12 -0.056 -0.025
2005 1 0.090 0.034
2005 2 0.070 0.025
2005 3 0.218 0.081
2005 4 0.060 0.033
2005 5 0.029 0.017
2005 6 -0.114 -0.058
2005 7 0.067 0.022
2005 8 0.151 0.043
2005 9 0.053 0.015
2005 10 -0.042 -0.020
2005 11 -0.036 -0.018
2005 12 -0.017 -0.008
2006 1 -0.050 -0.014
2006 2 -0.078 -0.023
2006 3 -0.001 0.000
2006 4 0.118 0.035
2006 5 0.217 0.079
2006 6 0.071 0.044
2006 7 0.060 0.045
2006 8 0.056 0.035
2006 9 0.097 0.037
2006 10 0.129 0.028
2006 11 0.022 0.006
2006 12 0.024 0.005
2007 1 0.025 0.006
2007 2 -0.164 -0.069
2007 3 -0.139 -0.084
2007 4 -0.156 -0.094
2007 5 -0.104 -0.047
2007 6 0.136 0.060
2007 7 -0.073 -0.055
2007 8 -0.126 -0.181
2007 9 -0.220 -0.337
2007 10 -0.214 -0.297
2007 11 -0.301 -0.416
2007 12 -0.354 -0.513
2008 1 -0.286 -0.571
2008 2 -0.274 -0.482
2008 3 -0.250 -0.601
2008 4 -0.286 -0.589
2008 5 -0.309 -0.574
2008 6 -0.327 -0.412
2008 7 -0.289 -0.441
2008 8 -0.269 -0.477
2008 9 -0.251 -1.291
2008 10 -0.106 -1.211
2008 11 -0.115 -2.009
2008 12 -0.086 -1.464
2009 1 -0.160 -1.784
2009 2 -0.147 -0.944
2009 3 -0.087 -0.549
2009 4 -0.079 -0.482
2009 5 -0.058 -0.319
2009 6 -0.128 -0.347
2009 7 -0.131 -0.275
2009 8 -0.359 -0.527
2009 9 -0.327 -0.402
2009 10 -0.303 -0.390
2009 11 -0.175 -0.222
2009 12 -0.215 -0.236
2010 1 -0.217 -0.192
2010 2 -0.347 -0.282
2010 3 -0.229 -0.169
2010 4 -0.303 -0.220
2010 5 -0.292 -0.494
2010 6 -0.307 -0.752
2010 7 -0.290 -0.804
2010 8 -0.332 -0.606
2010 9 -0.367 -0.483
2010 10 -0.371 -0.357
2010 11 -0.163 -0.126
2010 12 -0.103 -0.058
2011 1 -0.244 -0.129
2011 2 -0.399 -0.142
2011 3 -0.401 -0.248
2011 4 -0.348 -0.224
2011 5 -0.376 -0.234
2011 6 -0.431 -0.265
2011 7 -0.387 -0.311
2011 8 -0.230 -0.848
2011 9 -0.239 -1.084
2011 10 -0.286 -1.514
2011 11 -0.370 -1.319
2011 12 -0.362 -1.066
2012 1 -0.316 -0.595
2012 2 -0.371 -0.353
2012 3 -0.484 -0.169
2012 4 -0.402 -0.211
2012 5 -0.366 -0.240
2012 6 -0.364 -0.376
2012 7 -0.381 -0.396
2012 8 -0.387 -0.344
2012 9 -0.373 -0.232
2012 10 -0.390 -0.172
2012 11 -0.325 -0.216
2012 12 -0.332 -0.218
2013 1 -0.314 -0.169
2013 2 -0.325 -0.139
2013 3 -0.346 -0.134
2013 4 -0.305 -0.166
2013 5 -0.283 -0.141
2013 6 -0.056 -0.045
2013 7 0.109 0.064
2013 8 0.141 0.085
2013 9 0.119 0.038
2013 10 0.016 0.008
2013 11 0.014 0.006
2013 12 -0.031 -0.014
2014 1 -0.209 -0.098
2014 2 -0.186 -0.105
2014 3 -0.281 -0.159
2014 4 -0.291 -0.177
2014 5 -0.353 -0.158
2014 6 -0.303 -0.108
2014 7 -0.288 -0.082
2014 8 -0.207 -0.057
2014 9 -0.211 -0.076
2014 10 -0.209 -0.133
2014 11 -0.210 -0.129
2014 12 -0.273 -0.227
2015 1 -0.396 -0.323
2015 2 -0.385 -0.345
2015 3 -0.180 -0.149
2015 4 -0.044 -0.024
2015 5 0.105 0.052
2015 6 -0.298 -0.119
2015 7 -0.328 -0.160
2015 8 -0.222 -0.281
2015 9 -0.192 -0.324
2015 10 -0.182 -0.323
2015 11 -0.235 -0.245
2015 12 -0.155 -0.141
2016 1 -0.125 -0.178
2016 2 -0.177 -0.285
2016 3 -0.226 -0.308
2016 4 -0.272 -0.220
2016 5 -0.314 -0.153
2016 6 -0.347 -0.258
2016 7 -0.342 -0.239
2016 8 -0.333 -0.187
2016 9 0.060 0.023
2016 10 0.099 0.034
2016 11 -0.056 -0.028
2016 12 -0.227 -0.066
2017 1 -0.314 -0.094
2017 2 -0.256 -0.041
2017 3 -0.407 -0.070
2017 4 -0.394 -0.072
2017 5 -0.382 -0.087
2017 6 -0.296 -0.061
2017 7 -0.119 -0.023
2017 8 -0.070 -0.016
2017 9 -0.255 -0.049
2017 10 -0.320 -0.059
2017 11 -0.349 -0.041
2017 12 -0.228 -0.029
2018 1 -0.104 -0.021
2018 2 -0.012 -0.014
2018 3 -0.063 -0.102
2018 4 -0.067 -0.116
2018 5 -0.139 -0.134
2018 6 -0.156 -0.082
2018 7 -0.189 -0.060
2018 8 -0.239 -0.061
2018 9 -0.138 -0.027
2018 10 -0.133 -0.115
2018 11 -0.076 -0.097
2018 12 -0.087 -0.171
2019 1 -0.115 -0.207
2019 2 -0.154 -0.217
2019 3 -0.246 -0.174
2019 4 -0.210 -0.074
2019 5 -0.271 -0.144
2019 6 -0.219 -0.115
2019 7 -0.179 -0.100
2019 8 -0.259 -0.251
2019 9 -0.306 -0.274
2019 10 -0.306 -0.315
2019 11 -0.315 -0.253

Note: 10-year Treasury returns are constructed from zero-coupon yields. The covariance and Capital Asset Pricing Model (CAPM) beta are estimated from a rolling window of 3 months of daily data.

Source: Bloomberg Finance LP; Federal Reserve Bank of New York; Board staff calculations.

Figure 6: Bond-Stock Covariances in Advanced Economies

Monthly

Year Month United States Germany United Kingdom
1989 4 0.262 0.127 0.310
1989 5 0.300 0.087 0.263
1989 6 0.261 0.037 0.268
1989 7 0.221 0.046 0.229
1989 8 0.155 0.045 0.151
1989 9 0.125 0.077 0.107
1989 10 0.152 -0.480 0.074
1989 11 0.133 -0.526 0.076
1989 12 0.094 -0.628 0.058
1990 1 0.103 0.050 0.071
1990 2 0.092 0.145 0.101
1990 3 0.150 0.257 0.219
1990 4 0.128 0.268 0.264
1990 5 0.194 0.313 0.652
1990 6 0.166 0.252 0.563
1990 7 0.139 0.244 0.466
1990 8 0.439 0.581 0.433
1990 9 0.456 0.571 0.439
1990 10 0.657 0.681 1.100
1990 11 0.354 0.329 0.849
1990 12 0.337 0.421 0.812
1991 1 0.380 0.524 0.186
1991 2 0.335 0.613 0.151
1991 3 0.313 0.565 0.125
1991 4 0.149 0.366 0.061
1991 5 0.184 0.261 0.088
1991 6 0.210 0.206 0.012
1991 7 0.157 0.113 0.053
1991 8 0.121 0.387 0.034
1991 9 0.068 0.314 0.055
1991 10 0.100 0.313 0.072
1991 11 0.113 0.049 0.072
1991 12 0.209 0.055 0.098
1992 1 0.182 0.075 0.111
1992 2 0.167 0.045 0.089
1992 3 0.082 0.050 0.141
1992 4 0.091 0.055 0.651
1992 5 0.057 0.092 0.689
1992 6 0.038 0.092 0.654
1992 7 0.012 0.123 0.107
1992 8 0.035 0.054 0.163
1992 9 0.069 0.220 0.653
1992 10 0.088 0.175 0.828
1992 11 0.068 0.153 0.707
1992 12 0.054 0.013 0.264
1993 1 0.080 0.021 0.139
1993 2 0.034 0.076 0.131
1993 3 0.070 0.091 0.147
1993 4 0.059 0.106 0.111
1993 5 0.137 0.107 0.098
1993 6 0.113 0.081 0.107
1993 7 0.101 0.110 0.047
1993 8 0.081 0.091 0.059
1993 9 0.100 0.137 0.091
1993 10 0.119 0.142 0.135
1993 11 0.097 0.179 0.177
1993 12 0.080 0.159 0.206
1994 1 0.089 0.120 0.262
1994 2 0.177 0.128 0.430
1994 3 0.254 0.284 0.337
1994 4 0.385 0.394 0.419
1994 5 0.460 0.382 0.367
1994 6 0.452 0.419 0.733
1994 7 0.359 0.306 0.650
1994 8 0.244 0.276 0.620
1994 9 0.226 0.069 0.452
1994 10 0.199 0.211 0.542
1994 11 0.138 0.265 0.420
1994 12 0.104 0.313 0.294
1995 1 0.110 0.126 0.157
1995 2 0.116 0.069 0.175
1995 3 0.144 0.007 0.281
1995 4 0.106 0.013 0.267
1995 5 0.089 0.028 0.289
1995 6 0.137 0.131 0.305
1995 7 0.214 0.130 0.351
1995 8 0.208 0.109 0.375
1995 9 0.144 0.201 0.300
1995 10 0.090 0.245 0.256
1995 11 0.084 0.216 0.214
1995 12 0.099 0.116 0.149
1996 1 0.156 0.039 0.133
1996 2 0.189 0.176 0.142
1996 3 0.340 0.194 0.192
1996 4 0.325 0.193 0.215
1996 5 0.384 0.144 0.232
1996 6 0.191 0.099 0.182
1996 7 0.216 0.052 0.134
1996 8 0.219 0.030 0.107
1996 9 0.259 0.041 0.099
1996 10 0.250 0.073 0.132
1996 11 0.144 0.076 0.150
1996 12 0.214 0.183 0.207
1997 1 0.205 0.183 0.235
1997 2 0.244 0.226 0.212
1997 3 0.247 0.132 0.175
1997 4 0.296 0.200 0.157
1997 5 0.307 0.151 0.119
1997 6 0.261 0.117 0.050
1997 7 0.232 0.080 0.060
1997 8 0.282 0.193 0.105
1997 9 0.347 0.166 0.260
1997 10 0.114 0.117 0.324
1997 11 -0.004 0.010 0.347
1997 12 -0.212 -0.037 0.133
1998 1 -0.114 -0.096 0.031
1998 2 -0.079 -0.031 -0.070
1998 3 0.021 0.026 -0.011
1998 4 0.164 0.073 0.084
1998 5 0.149 0.106 0.136
1998 6 0.035 0.040 0.073
1998 7 -0.085 0.015 -0.007
1998 8 -0.247 -0.131 -0.159
1998 9 -0.379 -0.350 -0.298
1998 10 -0.432 -0.381 -0.723
1998 11 -0.489 -0.334 -0.731
1998 12 -0.273 -0.171 -0.524
1999 1 -0.336 -0.162 -0.208
1999 2 -0.136 -0.075 -0.093
1999 3 0.023 0.272 -0.004
1999 4 0.109 0.264 0.024
1999 5 0.113 0.298 0.099
1999 6 0.232 0.161 0.085
1999 7 0.283 0.096 0.111
1999 8 0.357 0.128 0.079
1999 9 0.329 0.067 0.097
1999 10 0.387 0.199 0.243
1999 11 0.208 0.168 0.187
1999 12 0.157 0.127 0.072
2000 1 -0.053 0.050 -0.003
2000 2 -0.071 0.083 -0.101
2000 3 -0.021 0.007 -0.008
2000 4 -0.189 -0.062 -0.058
2000 5 -0.140 -0.086 0.047
2000 6 -0.165 0.014 0.077
2000 7 0.061 0.007 0.037
2000 8 0.067 0.040 0.022
2000 9 0.083 0.050 0.037
2000 10 0.011 0.035 0.006
2000 11 -0.043 -0.063 -0.019
2000 12 -0.137 -0.185 -0.099
2001 1 -0.345 -0.124 -0.103
2001 2 -0.327 -0.119 -0.058
2001 3 -0.401 -0.123 -0.201
2001 4 -0.343 -0.274 -0.244
2001 5 -0.298 -0.224 -0.176
2001 6 -0.156 -0.125 -0.002
2001 7 -0.023 -0.032 0.017
2001 8 -0.142 -0.117 -0.110
2001 9 -0.181 -0.220 -0.316
2001 10 -0.171 -0.225 -0.322
2001 11 0.013 -0.112 -0.280
2001 12 0.040 -0.206 -0.172
2002 1 -0.049 -0.247 -0.134
2002 2 -0.152 -0.392 -0.129
2002 3 -0.201 -0.195 -0.068
2002 4 -0.200 -0.167 -0.088
2002 5 -0.294 -0.175 -0.087
2002 6 -0.379 -0.329 -0.243
2002 7 -0.670 -0.552 -0.506
2002 8 -0.664 -0.878 -0.782
2002 9 -0.768 -1.049 -0.818
2002 10 -0.769 -1.158 -0.751
2002 11 -1.018 -0.961 -0.516
2002 12 -0.876 -0.758 -0.326
2003 1 -0.714 -0.501 -0.191
2003 2 -0.337 -0.471 -0.159
2003 3 -0.571 -0.797 -0.502
2003 4 -0.516 -0.877 -0.600
2003 5 -0.441 -0.843 -0.616
2003 6 -0.206 -0.623 -0.334
2003 7 -0.030 -0.441 -0.187
2003 8 0.073 -0.317 -0.109
2003 9 0.006 -0.265 -0.078
2003 10 -0.106 -0.256 -0.083
2003 11 -0.283 -0.280 -0.112
2003 12 -0.192 -0.224 -0.100
2004 1 -0.158 -0.122 -0.054
2004 2 -0.048 -0.054 -0.025
2004 3 -0.020 -0.027 -0.049
2004 4 0.017 -0.096 -0.072
2004 5 0.029 -0.088 -0.054
2004 6 0.079 -0.038 -0.012
2004 7 0.009 -0.014 -0.015
2004 8 -0.100 -0.065 -0.044
2004 9 -0.149 -0.125 -0.071
2004 10 -0.173 -0.167 -0.086
2004 11 -0.063 -0.125 -0.064
2004 12 -0.025 -0.087 -0.046
2005 1 0.034 -0.006 0.005
2005 2 0.025 0.026 0.031
2005 3 0.081 0.057 0.051
2005 4 0.033 0.014 0.012
2005 5 0.017 -0.036 -0.019
2005 6 -0.058 -0.033 -0.030
2005 7 0.022 -0.031 -0.037
2005 8 0.043 -0.006 -0.035
2005 9 0.015 -0.075 -0.071
2005 10 -0.020 -0.046 -0.027
2005 11 -0.018 -0.050 -0.042
2005 12 -0.008 0.009 -0.004
2006 1 -0.014 -0.020 -0.052
2006 2 -0.023 -0.028 -0.009
2006 3 0.000 -0.026 -0.008
2006 4 0.035 -0.015 0.005
2006 5 0.079 0.030 -0.028
2006 6 0.044 -0.064 -0.068
2006 7 0.045 -0.046 -0.045
2006 8 0.035 -0.051 -0.004
2006 9 0.037 0.008 -0.001
2006 10 0.028 0.008 -0.023
2006 11 0.006 -0.027 -0.050
2006 12 0.005 -0.030 -0.037
2007 1 0.006 -0.008 -0.027
2007 2 -0.069 -0.021 -0.044
2007 3 -0.084 -0.056 -0.091
2007 4 -0.094 -0.078 -0.092
2007 5 -0.047 -0.076 -0.076
2007 6 0.060 -0.031 -0.023
2007 7 -0.055 -0.169 -0.157
2007 8 -0.181 -0.255 -0.288
2007 9 -0.337 -0.351 -0.402
2007 10 -0.297 -0.259 -0.310
2007 11 -0.416 -0.228 -0.280
2007 12 -0.513 -0.187 -0.205
2008 1 -0.571 -0.470 -0.467
2008 2 -0.482 -0.619 -0.559
2008 3 -0.601 -0.683 -0.705
2008 4 -0.589 -0.486 -0.458
2008 5 -0.574 -0.368 -0.401
2008 6 -0.412 -0.247 -0.280
2008 7 -0.441 -0.193 -0.266
2008 8 -0.477 -0.142 -0.185
2008 9 -1.291 -0.528 -0.788
2008 10 -1.211 -0.780 -1.255
2008 11 -2.009 -1.021 -1.442
2008 12 -1.464 -0.854 -0.987
2009 1 -1.784 -0.684 -0.594
2009 2 -0.944 -0.618 -0.528
2009 3 -0.549 -0.709 -0.628
2009 4 -0.482 -0.904 -0.771
2009 5 -0.319 -0.738 -0.592
2009 6 -0.347 -0.602 -0.367
2009 7 -0.275 -0.474 -0.296
2009 8 -0.527 -0.501 -0.346
2009 9 -0.402 -0.348 -0.260
2009 10 -0.390 -0.325 -0.216
2009 11 -0.222 -0.257 -0.208
2009 12 -0.236 -0.264 -0.223
2010 1 -0.192 -0.209 -0.202
2010 2 -0.282 -0.178 -0.160
2010 3 -0.169 -0.145 -0.077
2010 4 -0.220 -0.186 -0.120
2010 5 -0.494 -0.483 -0.372
2010 6 -0.752 -0.565 -0.408
2010 7 -0.804 -0.542 -0.438
2010 8 -0.606 -0.298 -0.258
2010 9 -0.483 -0.306 -0.309
2010 10 -0.357 -0.258 -0.204
2010 11 -0.126 -0.208 -0.107
2010 12 -0.058 -0.168 -0.094
2011 1 -0.129 -0.221 -0.180
2011 2 -0.142 -0.179 -0.178
2011 3 -0.248 -0.252 -0.169
2011 4 -0.224 -0.259 -0.178
2011 5 -0.234 -0.265 -0.183
2011 6 -0.265 -0.248 -0.204
2011 7 -0.311 -0.296 -0.243
2011 8 -0.848 -0.786 -0.566
2011 9 -1.084 -1.330 -0.898
2011 10 -1.514 -1.884 -1.207
2011 11 -1.319 -1.704 -1.057
2011 12 -1.066 -1.313 -0.709
2012 1 -0.595 -0.677 -0.337
2012 2 -0.353 -0.383 -0.217
2012 3 -0.169 -0.289 -0.175
2012 4 -0.211 -0.382 -0.193
2012 5 -0.240 -0.398 -0.268
2012 6 -0.376 -0.478 -0.310
2012 7 -0.396 -0.386 -0.302
2012 8 -0.344 -0.471 -0.251
2012 9 -0.232 -0.460 -0.298
2012 10 -0.172 -0.425 -0.274
2012 11 -0.216 -0.253 -0.210
2012 12 -0.218 -0.130 -0.095
2013 1 -0.169 -0.082 -0.057
2013 2 -0.139 -0.137 -0.084
2013 3 -0.134 -0.188 -0.107
2013 4 -0.166 -0.217 -0.158
2013 5 -0.141 -0.168 -0.112
2013 6 -0.045 -0.021 0.028
2013 7 0.064 0.094 0.140
2013 8 0.085 0.093 0.159
2013 9 0.038 0.001 0.039
2013 10 0.008 -0.071 0.005
2013 11 0.006 -0.029 -0.021
2013 12 -0.014 -0.008 -0.009
2014 1 -0.098 0.002 -0.014
2014 2 -0.105 -0.056 -0.029
2014 3 -0.159 -0.162 -0.079
2014 4 -0.177 -0.185 -0.090
2014 5 -0.158 -0.182 -0.066
2014 6 -0.108 -0.062 -0.017
2014 7 -0.082 -0.048 -0.037
2014 8 -0.057 -0.075 -0.063
2014 9 -0.076 -0.089 -0.086
2014 10 -0.133 -0.148 -0.222
2014 11 -0.129 -0.106 -0.190
2014 12 -0.227 -0.142 -0.294
2015 1 -0.323 -0.067 -0.239
2015 2 -0.345 -0.063 -0.247
2015 3 -0.149 -0.034 -0.111
2015 4 -0.024 0.038 0.015
2015 5 0.052 0.105 0.071
2015 6 -0.119 -0.081 -0.010
2015 7 -0.160 -0.280 -0.196
2015 8 -0.281 -0.543 -0.244
2015 9 -0.324 -0.540 -0.382
2015 10 -0.323 -0.410 -0.307
2015 11 -0.245 -0.202 -0.295
2015 12 -0.141 0.065 -0.099
2016 1 -0.178 0.061 -0.126
2016 2 -0.285 -0.030 -0.333
2016 3 -0.308 -0.142 -0.354
2016 4 -0.220 -0.109 -0.235
2016 5 -0.153 -0.034 -0.054
2016 6 -0.258 -0.250 -0.306
2016 7 -0.239 -0.259 -0.294
2016 8 -0.187 -0.230 -0.224
2016 9 0.023 0.031 0.058
2016 10 0.034 0.063 0.053
2016 11 -0.028 0.016 -0.041
2016 12 -0.066 -0.034 -0.024
2017 1 -0.094 -0.078 -0.040
2017 2 -0.041 -0.094 -0.020
2017 3 -0.070 -0.094 -0.050
2017 4 -0.072 -0.112 -0.049
2017 5 -0.087 -0.101 -0.045
2017 6 -0.061 -0.025 0.010
2017 7 -0.023 0.007 0.030
2017 8 -0.016 0.006 0.013
2017 9 -0.049 -0.054 0.010
2017 10 -0.059 -0.025 0.016
2017 11 -0.041 0.016 0.060
2017 12 -0.029 0.019 0.031
2018 1 -0.021 0.022 0.044
2018 2 -0.014 0.004 0.009
2018 3 -0.102 0.014 -0.006
2018 4 -0.116 -0.019 -0.015
2018 5 -0.134 -0.091 -0.075
2018 6 -0.082 -0.106 -0.091
2018 7 -0.060 -0.066 -0.082
2018 8 -0.061 -0.034 -0.035
2018 9 -0.027 -0.016 0.008
2018 10 -0.115 -0.091 -0.034
2018 11 -0.097 -0.083 -0.023
2018 12 -0.171 -0.119 -0.052
2019 1 -0.207 -0.126 -0.054
2019 2 -0.217 -0.130 -0.038
2019 3 -0.174 -0.124 -0.014
2019 4 -0.074 -0.094 -0.009
2019 5 -0.144 -0.098 -0.062
2019 6 -0.115 -0.038 -0.039
2019 7 -0.100 0.018 0.010
2019 8 -0.251 -0.036 -0.013
2019 9 -0.274 -0.089 -0.024
2019 10 -0.315 -0.154 -0.062
2019 11 -0.253 -0.139 -0.041

Note: 10-year bond returns are constructed from zero-coupon yields for United States and generic bond yields for other advanced economies. Covariances are estimated from a rolling window of 3 months of daily data.

Source: Bloomberg Finance LP; Federal Reserve Bank of New York; Board staff calculations.

Last Update: November 12, 2019