Board of Governors of the Federal Reserve System

Figure 1. Two-Year Sovereign Yields

Series: Two-year sovereign yields from the following countries: United States, United Kingdom, Germany, France, and Japan

Horizon: August 8, 1990, to September 29, 2016

Description: The data are daily yields, plotted as five time series. Units are percent. All series start in the 1990s at a high level, then gradually decrease with variation over the horizon. Note that the Japanese yield data start both later (in 1994) and lower than the other countries’ yield data. There are slight peaks in the data in the years 1994, 2000, and 2006-07. There are large decreases in the data in 1993, 2003, and the end of 2008. From 2009 on, the series have stayed consistently low and have hovered above and below zero.

The U.S. series starts on August 8, 1990, at 8 percent and fluctuates over the period. In September 1993, it hits a low point at about 4 percent before rising to near 8 percent in late 1994. The series then fluctuates between about 5 percent and 7 percent until early 2001. There is a dip to around 1 percent in mid-2003, then a steady increase back to about 5 percent in mid-2006, where the series roughly remains until mid-2007. It generally decreases to near zero by late 2008 and stays near zero through the end of the period, ending at less than 1 percent.

The U.K. series starts on January 2, 1992, at just below 10 percent. It drops to just below 5 percent at the end of 1993 and fluctuates between 6 percent and 7 percent until the end of 1998, when it drops to just below 5 percent again. It fluctuates steadily between 4 percent and 6 percent until the third quarter of 2008, when it drops steeply to about 1 percent. It generally remains at about 1 percent through the end of the period, finishing slightly lower at near zero.

The France series starts on August 8, 1990, at about 10 percent. It drops to just below 5 percent at the end of 1993, rises to about 8 percent in late 1994, declines to about 2.5 by 1999, and fluctuates between 2.5 percent and 5 percent until late 2008, when it drops steeply, reaching about 2 percent by the end of the year. It fluctuates between about 2 percent and 1 percent through early 2012, decreasing to about zero later in the year, where it roughly remains through 2014. The series is a bit below zero in early 2015 and declines somewhat through the end of the period, finishing at a value slightly greater than negative 1 percent.

The Germany series starts on September 18, 1990, at about 9 percent. The series closely follows the contours of the France series, ending at a value slightly greater than negative 1 percent.

The Japan series starts on May 9, 1994, at about 2.5 percent and rises to about 3 percent by late 1994. It drops to near zero by late 1995 and fluctuates between zero and 1 percent through 2015. The series is a bit below zero from early 2016 through the end of the period, finishing at a negative value very close to zero.

Note: The data start on August 8, 1990, except those for Germany, the United Kingdom, and Japan, which start, respectively, on September 18, 1990; January 2, 1992; and May 9, 1994.

Source: Bloomberg.

Figure 2. 10-Year Sovereign Yields

Series: Ten-year sovereign yields from the following countries: United States, United Kingdom, Germany, France, and Japan

Horizon: January 2, 1990, to September 29, 2016

Description: The data are daily yields, plotted as five time series. Units are percent. All series start in January 1990 and gradually decrease with variation over the horizon. There are slight peaks in the data in the years 1990, 1994, and 2000. Note that the Japanese series starts the lowest and remains the lowest over the whole period.

The U.S. series starts in 1990 at 8 percent. It reaches about 5 percent by late 1993, rises to about 8 percent by late 1994, and declines to about 5 percent by late 1998. It increases to about 7.5 percent by early 2000 and then gradually declines through the end of the period, finishing at about 1.5 percent.

The U.K. series starts in 1990 at about 10.5 percent. It reaches about 7 percent by late 1993, rises to about 9 percent by late 1994, and declines to under 5 percent by early 1999. It increases to about 6 percent by late 1999 and then gradually declines through the end of the period, finishing at under 1 percent.

The France series starts in 1990 at 9.5 percent. It reaches about 7 percent by late 1993, rises to about 8 percent by late 1994, and declines to about 4 percent by early 1999. It increases to about 6 percent by early 2000 and then gradually declines through the end of the period, finishing at a value slightly above zero.

The Germany series starts in 1990 at about 7 percent. It reaches about 6 percent by late 1993, rises to about 8 percent by late 1994, and declines to about 4 percent by early 1999. It increases to about 6 percent by late 1999 and then gradually declines through the end of the period. It first becomes negative in June 2016 and ends the period at a negative value slightly below zero.

The Japan series starts in 1990 at about 6 percent. It increases to about 8 percent by late 1990, decreases to about 3 percent by late 1993, rises to about 5 percent by late 1994, and declines to about 1 percent by late 1998. The series fluctuates between about 2 percent and zero through 2015. It first becomes negative in February 2016 and ends at a negative value slightly below zero.

Source: Bloomberg.

Figure 3. Estimated Inflation-Adjusted Natural Rates of Interest

Note: Data are 4-quarter moving averages of equilibrium short-term policy rates.

Source: Kathryn Holston, Thomas Laubach, and John C. Williams (forthcoming). "Measuring the Natural Rate of Interest: International Trends and Determinants," in Richard Clarida and Lucrezia Reichlin, organizers, NBER International Seminar on Macroeconomics 2016. Amsterdam: Journal of International Economics (Elsevier).