Board of Governors of the Federal Reserve System

Note: PCE is personal consumption expenditures.
Source: Department of Commerce, Bureau of Economic Analysis.

Series: Brent spot price and December 2017 futures contracts

Horizon: For Brent spot price, January 8, 2004, to August 20, 2015; for December 2017 futures contracts, November 14, 2008, to August 20, 2015

Description: The data are weekly and are plotted as two curves. Units for both the spot price and the futures contracts are in dollars per barrel and can be found along the right axis. The curves move in the same direction from late 2008 to the third quarter of 2015, with futures staying relatively stable and spot prices experiencing more fluctuation. Both series decrease sharply at the end of 2014 and generally increase at the start of 2015. Both series dip down at the end of the period.

The spot price series starts at around 30 at the beginning of 2004 and generally increases to about 80 by the third quarter of 2006. It steadily declines to around 50 by the start of 2007 before increasing sharply to reach about 140 in mid-2008. The series then decreases dramatically, reaching around 40 in early 2009. After increasing steadily to about 120 by early 2011, it fluctuates in a range between around 90 and 120 through mid-2014, at which point it declines dramatically to just below 50 in early 2015. The series generally increases to near 70 in the second quarter of 2015, then declines to around 50 in the third quarter, where the series ends.

The December 2017 futures contracts series starts near 90 in late 2008. In the first quarter of 2009, the series decreases to about 70 before generally increasing to around 100 late in the year. In 2010, the series declines gradually in the first three quarters to around 90. It then rises to around 110 by early 2011 and generally decreases to around 90 in the fourth quarter. Between the fourth quarter of 2011 and the first half of 2014, the series fluctuates in a narrow range between about 90 and 100. Starting in the third quarter of 2014, the series drops dramatically, reaching about 70 by early 2015. It then generally increases to over 70 in the second quarter of 2015 before declining steeply to around 60 in the third quarter, where the series ends.

Note: The data for Dec. 2017 futures contracts start on Nov. 14, 2008.
Source: NYMEX.

Note: CPI is consumer price index; PCE is personal consumption expenditures.
Source: Department of Commerce, Bureau of Economic Analysis; Department of Labor, Bureau of Labor Statistics.

Note: The series is a trade-weighted average of the foreign exchange values of the U.S. dollar against a large group of major U.S. trading partners.
Source: Federal Reserve Board, Statistical Release H.10, "Foreign Exchange Rates."

Note: GDP is gross domestic product.
Source: Federal Reserve Board staff calculations using the SIGMA model. For background information on the model, see Christopher J. Erceg, Luca Guerrieri, and Christopher Gust (2006), "SIGMA: A New Open Economy Model for Policy Analysis," International Finance Discussion Papers 835 (Washington: Board of Governors of the Federal Reserve System, January), www.federalreserve.gov/pubs/ifdp/2005/835/ifdp835r.pdf.

Note: The data for the Survey of Professional Forecasters (SPF) expectations start in 2007:Q1. PCE is personal consumption expenditures.
Source: Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters.

Note: Michigan survey data for Aug. 2015 are preliminary.
Source: University of Michigan Surveys of Consumers.

Series: TIPS breakevens

Horizon: January 2004 to August 2015

Description: The Treasury Inflation-Protected Securities (TIPS) breakevens data are weekly and plotted as a curve. The units for the series are percent and can be found along the right axis. The series starts in January 2004 at approximately 3.0. It spikes to around 3.25 in the second quarter before largely declining, with several fluctuations, to just below 2.5 in the second quarter of 2005. From the second quarter of 2005 to the end of 2007, the series fluctuates between approximately 2.25 and 2.75. It then spikes to approximately 3.25 in the first quarter of 2008, returns to below 3.0 in the middle of the year, and spikes again to around 3.5 in the fourth quarter. It falls dramatically to around 2.0 by the beginning of 2009, then fluctuates between approximately 2.25 and 3.5 until the third quarter of 2011, when it falls to around 2.25. The series then remains between about 2.25 and 3.0 until the third quarter of 2014. It falls through the end of 2014, ending the year around 1.75. It then rises through the beginning of 2015, reaching its highest point of the year at approximately 2.0 in the second quarter before ending below 2.0 on August 20, 2015.

Note: TIPS is Treasury Inflation-Protected Securities.
Source: Barclays; Federal Reserve Board staff estimates.