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Figure 1. Real 10-year Treasury yield

Line chart, January 1980 to March 2024, titled “Real 10-year Treasury yield”. Data are monthly. The Y axis ranges from -3 to 10 percent. There are two lines plotted. The first line is labeled “Survey-based measure” and designated solid black. The second line is labeled “TIPS” and designated dashed red. There is a trend down in these two lines. The first line starts at around 2 percent, increases sharply to near 9 percent in 1981 and then generally decreases to about negative 1 percent by 2013. It hovers around negative 1 percent until 2017, when it increases slightly to around zero-point five percent. It drops back down to negative 2 percent in 2020 and then increases to a little under 2 percent by March 2024. The second line starts in January 2003 and follows the first line very closely, remaining slightly (between 0 and 1 percent) above the first line through the end of 2023, when the series ends.

Note: The survey-based real 10-year Treasury yield is calculated as the nominal 10-year minus the University of Michigan survey of inflation expectations over the next 5 to 10 years. TIPS is Treasury Inflation-Protected Securities. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): February 1980 to July 1980, August 1981 to November 1982, August 1990 to March 1991, April 2001 to November 2001, January 2008 to June 2009, and March 2020 to May 2020.

Source: Department of the Treasury; University of Michigan, Survey Research Center, Surveys of Consumers.

Figure 1. Real 10-year Treasury yield

Percent

Date	Survey-based measure	TIPS
1/31/1980
2/29/1980	2.6
3/31/1980
4/30/1980
5/31/1980
6/30/1980
7/31/1980
8/31/1980	2.3
9/30/1980	2.2
10/31/1980
11/30/1980
12/31/1980
1/31/1981	5
2/28/1981	6.3
3/31/1981	7.2
4/30/1981
5/31/1981
6/30/1981
7/31/1981	8.2
8/31/1981	8
9/30/1981	8.7
10/31/1981
11/30/1981
12/31/1981
1/31/1982	8.4
2/28/1982	8.4
3/31/1982	8.7
4/30/1982
5/31/1982
6/30/1982
7/31/1982	8.4
8/31/1982	7.4
9/30/1982	7.1
10/31/1982
11/30/1982
12/31/1982
1/31/1983	5.7
2/28/1983	6.1
3/31/1983	5.8
4/30/1983
5/31/1983
6/30/1983
7/31/1983	6.5
8/31/1983	7
9/30/1983	6.7
10/31/1983
11/30/1983
12/31/1983
1/31/1984	6.8
2/29/1984	6.8
3/31/1984	7.3
4/30/1984
5/31/1984
6/30/1984
7/31/1984	8.2
8/31/1984	7.8
9/30/1984	7.6
10/31/1984
11/30/1984
12/31/1984
1/31/1985	6.7
2/28/1985	6.7
3/31/1985	7.2
4/30/1985
5/31/1985
6/30/1985
7/31/1985	5.8
8/31/1985	5.8
9/30/1985	5.8
10/31/1985
11/30/1985
12/31/1985
1/31/1986
2/28/1986
3/31/1986	4.2
4/30/1986
5/31/1986
6/30/1986	4.3
7/31/1986
8/31/1986
9/30/1986	3.9
10/31/1986
11/30/1986
12/31/1986	3.6
1/31/1987
2/28/1987
3/31/1987	3.5
4/30/1987
5/31/1987
6/30/1987	4.2
7/31/1987
8/31/1987
9/30/1987	6.1
10/31/1987
11/30/1987
12/31/1987	5
1/31/1988
2/29/1988
3/31/1988
4/30/1988
5/31/1988
6/30/1988
7/31/1988
8/31/1988
9/30/1988
10/31/1988
11/30/1988
12/31/1988
1/31/1989
2/28/1989
3/31/1989
4/30/1989
5/31/1989
6/30/1989
7/31/1989
8/31/1989
9/30/1989
10/31/1989
11/30/1989
12/31/1989
1/31/1990
2/28/1990
3/31/1990
4/30/1990	4.9
5/31/1990	4.5
6/30/1990	4
7/31/1990	4.4
8/31/1990	4.2
9/30/1990	4.3
10/31/1990	4.2
11/30/1990	3.9
12/31/1990	3.7
1/31/1991	3.6
2/28/1991	3.4
3/31/1991	3.6
4/30/1991	4
5/31/1991	3.8
6/30/1991	3.9
7/31/1991	4.2
8/31/1991	4.1
9/30/1991	3.9
10/31/1991	4
11/30/1991	3.8
12/31/1991	3.5
1/31/1992	3.7
2/29/1992	4.2
3/31/1992	4.1
4/30/1992	3.7
5/31/1992	3.6
6/30/1992	4
7/31/1992	3.4
8/31/1992	2.7
9/30/1992	3.3
10/31/1992	3.2
11/30/1992	3.4
12/31/1992	3.6
1/31/1993	3.5
2/28/1993	2.4
3/31/1993	2.7
4/30/1993	2.8
5/31/1993	2.8
6/30/1993	2.3
7/31/1993	2.5
8/31/1993	2.6
9/30/1993	2.3
10/31/1993	2
11/30/1993	2.5
12/31/1993	2.3
1/31/1994	2.7
2/28/1994	2.8
3/31/1994	3.2
4/30/1994	3.9
5/31/1994	3.9
6/30/1994	3.8
7/31/1994	4.2
8/31/1994	3.8
9/30/1994	4.3
10/31/1994	4.5
11/30/1994	4.8
12/31/1994	4.7
1/31/1995	4.7
2/28/1995	4.3
3/31/1995	4
4/30/1995	3.7
5/31/1995	3.5
6/30/1995	3.2
7/31/1995	3.2
8/31/1995	3.5
9/30/1995	3.2
10/31/1995	2.9
11/30/1995	2.9
12/31/1995	2.7
1/31/1996	2.6
2/29/1996	2.6
3/31/1996	3.2
4/30/1996	3.7
5/31/1996	3.5
6/30/1996	3.9
7/31/1996	3.7
8/31/1996	3.4
9/30/1996	3.7
10/31/1996	3.6
11/30/1996	3.3
12/31/1996	3.4
1/31/1997	3.4
2/28/1997	3.4
3/31/1997	3.8
4/30/1997	4.1
5/31/1997	3.8
6/30/1997	3.5
7/31/1997	3.4
8/31/1997	3.4
9/30/1997	3.2
10/31/1997	3.2
11/30/1997	2.9
12/31/1997	2.8
1/31/1998	2.8
2/28/1998	2.8
3/31/1998	3
4/30/1998	3.1
5/31/1998	3
6/30/1998	2.8
7/31/1998	2.9
8/31/1998	2.8
9/30/1998	2.1
10/31/1998	2
11/30/1998	2.3
12/31/1998	2
1/31/1999	2.1
2/28/1999	2.5
3/31/1999	2.9
4/30/1999	2.7
5/31/1999	2.9
6/30/1999	3.4
7/31/1999	3.2
8/31/1999	3.5
9/30/1999	3.4
10/31/1999	3.7
11/30/1999	3.4
12/31/1999	3.7
1/31/2000	3.8
2/29/2000	3.8
3/31/2000	3.4
4/30/2000	3.5
5/31/2000	3.8
6/30/2000	3.5
7/31/2000	3.4
8/31/2000	3.2
9/30/2000	3.1
10/31/2000	3
11/30/2000	3
12/31/2000	2.5
1/31/2001	2.5
2/28/2001	2.4
3/31/2001	2.2
4/30/2001	2.3
5/31/2001	2.6
6/30/2001	2.5
7/31/2001	2.5
8/31/2001	2.2
9/30/2001	2.1
10/31/2001	2.2
11/30/2001	2.1
12/31/2001	2.4
1/31/2002	2.6
2/28/2002	2.4
3/31/2002	2.8
4/30/2002	2.7
5/31/2002	2.4
6/30/2002	2.4
7/31/2002	2.1
8/31/2002	1.6
9/30/2002	1.7
10/31/2002	1.5
11/30/2002	1.5
12/31/2002	1.5
1/31/2003	1.6	2.3
2/28/2003	1.4	2
3/31/2003	1.2	1.9
4/30/2003	1.5	2.2
5/31/2003	0.9	1.9
6/30/2003	0.8	1.7
7/31/2003	1.4	2.1
8/31/2003	1.9	2.3
9/30/2003	1.7	2.2
10/31/2003	1.6	2.1
11/30/2003	1.8	2
12/31/2003	1.6	2
1/31/2004	1.5	1.9
2/29/2004	1.3	1.8
3/31/2004	1.1	1.5
4/30/2004	1.8	1.9
5/31/2004	2.1	2.1
6/30/2004	2	2.1
7/31/2004	1.8	2
8/31/2004	1.7	1.9
9/30/2004	1.5	1.8
10/31/2004	1.4	1.7
11/30/2004	1.6	1.7
12/31/2004	1.5	1.7
1/31/2005	1.6	1.7
2/28/2005	1.4	1.6
3/31/2005	1.7	1.8
4/30/2005	1.4	1.7
5/31/2005	1.3	1.6
6/30/2005	1.3	1.7
7/31/2005	1.3	1.9
8/31/2005	1.5	1.9
9/30/2005	1.2	1.7
10/31/2005	1.4	1.9
11/30/2005	1.7	2.1
12/31/2005	1.5	2.1
1/31/2006	1.6	2
2/28/2006	1.8	2
3/31/2006	1.9	2.2
4/30/2006	2	2.4
5/31/2006	2	2.5
6/30/2006	2.3	2.5
7/31/2006	2.2	2.5
8/31/2006	1.7	2.3
9/30/2006	1.8	2.3
10/31/2006	1.7	2.4
11/30/2006	1.7	2.3
12/31/2006	1.6	2.2
1/31/2007	1.8	2.4
2/28/2007	1.9	2.4
3/31/2007	1.7	2.2
4/30/2007	1.7	2.3
5/31/2007	1.7	2.4
6/30/2007	2.3	2.7
7/31/2007	2	2.6
8/31/2007	1.9	2.4
9/30/2007	1.7	2.3
10/31/2007	1.8	2.2
11/30/2007	1.4	1.8
12/31/2007	1.2	1.8
1/31/2008	0.9	1.5
2/29/2008	0.9	1.4
3/31/2008	0.8	1.1
4/30/2008	0.7	1.4
5/31/2008	0.7	1.5
6/30/2008	0.9	1.6
7/31/2008	1	1.6
8/31/2008	0.9	1.7
9/30/2008	0.9	1.9
10/31/2008	1.4	2.8
11/30/2008	1.1	2.9
12/31/2008	0.3	2.2
1/31/2009	0.2	1.9
2/28/2009	0.3	1.8
3/31/2009	0.6	1.7
4/30/2009	0.5	1.6
5/31/2009	0.7	1.7
6/30/2009	1.1	1.9
7/31/2009	0.9	1.8
8/31/2009	1.1	1.8
9/30/2009	0.9	1.6
10/31/2009	0.7	1.5
11/30/2009	0.6	1.3
12/31/2009	1.1	1.4
1/31/2010	1	1.4
2/28/2010	1.1	1.4
3/31/2010	1.2	1.5
4/30/2010	1.2	1.5
5/31/2010	0.7	1.3
6/30/2010	0.6	1.3
7/31/2010	0.2	1.2
8/31/2010	0	1
9/30/2010	0.1	0.9
10/31/2010	-0.2	0.5
11/30/2010	0	0.7
12/31/2010	0.6	1
1/31/2011	0.6	1.1
2/28/2011	0.7	1.2
3/31/2011	0.3	1
4/30/2011	0.6	0.9
5/31/2011	0.3	0.8
6/30/2011	0.1	0.8
7/31/2011	0.2	0.6
8/31/2011	-0.5	0.1
9/30/2011	-0.8	0.1
10/31/2011	-0.5	0.2
11/30/2011	-0.6	0
12/31/2011	-0.7	0
1/31/2012	-0.7	-0.1
2/29/2012	-0.9	-0.2
3/31/2012	-0.8	-0.1
4/30/2012	-0.8	-0.2
5/31/2012	-0.9	-0.3
6/30/2012	-1.2	-0.5
7/31/2012	-1.2	-0.6
8/31/2012	-1.3	-0.6
9/30/2012	-1.1	-0.7
10/31/2012	-1	-0.8
11/30/2012	-1.2	-0.8
12/31/2012	-1.2	-0.8
1/31/2013	-1	-0.6
2/28/2013	-1	-0.6
3/31/2013	-0.8	-0.6
4/30/2013	-1.2	-0.7
5/31/2013	-1	-0.4
6/30/2013	-0.6	0.2
7/31/2013	-0.2	0.5
8/31/2013	-0.1	0.6
9/30/2013	-0.2	0.7
10/31/2013	-0.1	0.4
11/30/2013	-0.1	0.6
12/31/2013	0.2	0.7
1/31/2014	0	0.6
2/28/2014	-0.1	0.6
3/31/2014	-0.1	0.6
4/30/2014	-0.2	0.5
5/31/2014	-0.2	0.4
6/30/2014	-0.3	0.4
7/31/2014	-0.1	0.3
8/31/2014	-0.4	0.2
9/30/2014	-0.2	0.5
10/31/2014	-0.5	0.4
11/30/2014	-0.2	0.5
12/31/2014	-0.6	0.5
1/31/2015	-0.9	0.3
2/28/2015	-0.7	0.3
3/31/2015	-0.7	0.3
4/30/2015	-0.6	0.1
5/31/2015	-0.5	0.3
6/30/2015	-0.2	0.5
7/31/2015	-0.4	0.5
8/31/2015	-0.5	0.6
9/30/2015	-0.5	0.7
10/31/2015	-0.4	0.6
11/30/2015	-0.3	0.7
12/31/2015	-0.3	0.7
1/31/2016	-0.6	0.7
2/29/2016	-0.7	0.5
3/31/2016	-0.8	0.3
4/30/2016	-0.7	0.2
5/31/2016	-0.7	0.2
6/30/2016	-0.9	0.2
7/31/2016	-1.1	0
8/31/2016	-0.9	0.1
9/30/2016	-0.9	0.1
10/31/2016	-0.6	0.1
11/30/2016	-0.4	0.3
12/31/2016	0.3	0.6
1/31/2017	-0.1	0.4
2/28/2017	0	0.4
3/31/2017	0.1	0.5
4/30/2017	-0.1	0.4
5/31/2017	-0.1	0.5
6/30/2017	-0.3	0.5
7/31/2017	-0.3	0.6
8/31/2017	-0.3	0.4
9/30/2017	-0.3	0.4
10/31/2017	-0.1	0.5
11/30/2017	0	0.5
12/31/2017	0	0.5
1/31/2018	0.1	0.5
2/28/2018	0.4	0.8
3/31/2018	0.4	0.8
4/30/2018	0.4	0.7
5/31/2018	0.5	0.8
6/30/2018	0.3	0.8
7/31/2018	0.5	0.8
8/31/2018	0.3	0.8
9/30/2018	0.5	0.9
10/31/2018	0.8	1
11/30/2018	0.5	1.1
12/31/2018	0.3	1
1/31/2019	0.1	0.9
2/28/2019	0.4	0.8
3/31/2019	0.1	0.7
4/30/2019	0.2	0.6
5/31/2019	-0.2	0.6
6/30/2019	-0.2	0.4
7/31/2019	-0.4	0.3
8/31/2019	-1	0
9/30/2019	-0.7	0.1
10/31/2019	-0.6	0.1
11/30/2019	-0.7	0.2
12/31/2019	-0.3	0.1
1/31/2020	-0.7	0
2/29/2020	-0.8	-0.1
3/31/2020	-1.4	-0.1
4/30/2020	-1.8	-0.5
5/31/2020	-2	-0.4
6/30/2020	-1.8	-0.5
7/31/2020	-2	-0.8
8/31/2020	-2.1	-1
9/30/2020	-2	-1
10/31/2020	-1.6	-0.9
11/30/2020	-1.6	-0.8
12/31/2020	-1.6	-1
1/31/2021	-1.6	-1
2/28/2021	-1.4	-0.9
3/31/2021	-1.1	-0.7
4/30/2021	-1	-0.7
5/31/2021	-1.3	-0.8
6/30/2021	-1.2	-0.8
7/31/2021	-1.4	-1
8/31/2021	-1.6	-1.1
9/30/2021	-1.6	-1
10/31/2021	-1.3	-0.9
11/30/2021	-1.4	-1.1
12/31/2021	-1.4	-1
1/31/2022	-1.3	-0.7
2/28/2022	-1	-0.5
3/31/2022	-0.8	-0.7
4/30/2022	-0.2	-0.1
5/31/2022	0	0.2
6/30/2022	0.1	0.5
7/31/2022	0.1	0.5
8/31/2022	0.1	0.4
9/30/2022	0.9	1.1
10/31/2022	1.2	1.6
11/30/2022	1	1.5
12/31/2022	0.7	1.4
1/31/2023	0.7	1.3
2/28/2023	0.9	1.4
3/31/2023	0.9	1.4
4/30/2023	0.5	1.2
5/31/2023	0.5	1.4
6/30/2023	0.8	1.6
7/31/2023	1	1.6
8/31/2023	1.2	1.8
9/30/2023	1.7	2
10/31/2023	1.9	2.4
11/30/2023	1.4	2.2
12/31/2023	1.2	1.8
1/31/2024	1.2	1.8
2/29/2024	1.4	1.9
3/31/2024	1.5	1.9
4/30/2024	1.6	2.1
5/31/2024	1.4

Source: Department of the Treasury; University of Michigan, Survey Research Center, Surveys of Consumers.

Figure 2. Real return on capital

Line chart, 1960 to 2022, titled “Real return on capital”. There are two series plotted. The first, designated solid black and labeled “Bureau of Economic Analysis”, is annual and the second, designated dashed blue and labeled “Ravikumar, Gomme, and Rupert (2011)”, is quarterly. The Y axis ranges from 4 to 11 percent. The two lines do not exhibit a downward trend. The first line starts around 6 percent in 1960, increases sharply to 9 percent by 1965, then falls back down to 6 percent by 1970. It remains between 5 and 8 percent with a gradually upwards trajectory until 2020, with two sharp declines to around 6 percent in 2001 and 2009, both followed by subsequent recoveries. The series ends around 7 percent in 2022. The second line follows the first line closely from 1960 until 1996. It then increases to almost 9 percent in 1997, falls back to 7 percent in 2001, and then increases to over 9 percent in 2006. After falling dramatically to 6 percent in 2008, it quickly recovers to over 9 percent and gradually increases to around 10 percent by 2022, the end of the series.

Note: Both measures are the return on business capital, after tax. Ravikumar, Gomme, and Rupert (2011) includes a constant capital gain. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): May 1960 to October 1960, January 1970 to November 1970, December 1973 to March 1975, February 1980 to July 1980, August 1981 to November 1982, August 1990 to March 1991, April 2001 to November 2001, January 2008 to June 2009, and March 2020 to May 2020.

Source: Bureau of Economic Analysis, Survey of Current Business; Paul Gomme, B. Ravikumar, and Peter Rupert (2011), “The Return to Capital and the Business Cycle,” Review of Economic Dynamics, vol. 14 (April), pp. 262–78.

Figure 2. Real return on capital

Percent

Date	Bureau of Economic Analysis	Ravikumar, Gomme, and Rupert (2011)
3/31/1960		5.5
6/30/1960		5.2
9/30/1960		5.1
12/31/1960	6.2	4.9
3/31/1961		4.8
6/30/1961		5.3
9/30/1961		5.5
12/31/1961	5.9	5.9
3/31/1962		6.2
6/30/1962		6.1
9/30/1962		6.2
12/31/1962	7.1	6.4
3/31/1963		6.4
6/30/1963		6.6
9/30/1963		6.6
12/31/1963	7.7	6.7
3/31/1964		7.3
6/30/1964		7.3
9/30/1964		7.4
12/31/1964	8.3	7.3
3/31/1965		8
6/30/1965		8
9/30/1965		8.1
12/31/1965	9.2	8.3
3/31/1966		8.6
6/30/1966		8.2
9/30/1966		7.9
12/31/1966	9.2	7.9
3/31/1967		7.6
6/30/1967		7.5
9/30/1967		7.3
12/31/1967	8.4	7.3
3/31/1968		6.9
6/30/1968		7
9/30/1968		6.9
12/31/1968	7.9	6.8
3/31/1969		6.7
6/30/1969		6.4
9/30/1969		6.1
12/31/1969	7	5.5
3/31/1970		5.1
6/30/1970		5.3
9/30/1970		5.3
12/31/1970	6	4.9
3/31/1971		5.4
6/30/1971		5.4
9/30/1971		5.5
12/31/1971	6.5	5.6
3/31/1972		5.7
6/30/1972		5.6
9/30/1972		6.1
12/31/1972	6.9	6.4
3/31/1973		6.4
6/30/1973		6
9/30/1973		6
12/31/1973	6.7	6
3/31/1974		5.4
6/30/1974		5
9/30/1974		4.5
12/31/1974	5.2	4.5
3/31/1975		4.7
6/30/1975		5.1
9/30/1975		5.3
12/31/1975	5.7	5.4
3/31/1976		5.7
6/30/1976		5.5
9/30/1976		5.4
12/31/1976	6.1	5.3
3/31/1977		5.3
6/30/1977		5.7
9/30/1977		6.1
12/31/1977	6.5	6
3/31/1978		5.8
6/30/1978		6.3
9/30/1978		6.4
12/31/1978	6.5	6.3
3/31/1979		6
6/30/1979		5.7
9/30/1979		5.3
12/31/1979	5.8	5.2
3/31/1980		4.7
6/30/1980		4.4
9/30/1980		4.4
12/31/1980	5	5.1
3/31/1981		5.1
6/30/1981		5.3
9/30/1981		5.9
12/31/1981	5.9	5.6
3/31/1982		5.3
6/30/1982		5.4
9/30/1982		5.2
12/31/1982	5.6	5
3/31/1983		5.3
6/30/1983		5.5
9/30/1983		5.8
12/31/1983	6	6.3
3/31/1984		6.8
6/30/1984		7
9/30/1984		7.3
12/31/1984	7.1	7.4
3/31/1985		7.2
6/30/1985		7.2
9/30/1985		7.1
12/31/1985	7.1	6.7
3/31/1986		6.6
6/30/1986		6.3
9/30/1986		5.8
12/31/1986	6.3	5.5
3/31/1987		5.5
6/30/1987		5.7
9/30/1987		6
12/31/1987	6.5	6.1
3/31/1988		6.1
6/30/1988		6.1
9/30/1988		6.1
12/31/1988	6.9	6.4
3/31/1989		6.2
6/30/1989		6.2
9/30/1989		6.1
12/31/1989	6.6	5.7
3/31/1990		5.8
6/30/1990		5.8
9/30/1990		5.3
12/31/1990	6.3	5
3/31/1991		5.3
6/30/1991		5.3
9/30/1991		5.2
12/31/1991	6.2	5
3/31/1992		5.2
6/30/1992		5.2
9/30/1992		5.1
12/31/1992	5.9	5.3
3/31/1993		5.1
6/30/1993		5.2
9/30/1993		5.3
12/31/1993	6.1	5.6
3/31/1994		5.9
6/30/1994		6
9/30/1994		6.2
12/31/1994	6.9	6.3
3/31/1995		6.1
6/30/1995		6.2
9/30/1995		6.6
12/31/1995	7.1	6.6
3/31/1996		6.8
6/30/1996		6.9
9/30/1996		6.9
12/31/1996	7.5	7.2
3/31/1997		7.3
6/30/1997		7.4
9/30/1997		7.7
12/31/1997	7.8	7.8
3/31/1998		7.2
6/30/1998		7.4
9/30/1998		7.6
12/31/1998	7.2	7.3
3/31/1999		7.4
6/30/1999		7.1
9/30/1999		6.9
12/31/1999	6.9	6.7
3/31/2000		6.5
6/30/2000		6.6
9/30/2000		6.7
12/31/2000	6.1	6.3
3/31/2001		6.6
6/30/2001		6.7
9/30/2001		6.7
12/31/2001	5.8	5.8
3/31/2002		6.7
6/30/2002		7
9/30/2002		6.9
12/31/2002	6.5	7.3
3/31/2003		7.1
6/30/2003		7.2
9/30/2003		7.5
12/31/2003	6.9	7.4
3/31/2004		7.7
6/30/2004		7.8
9/30/2004		7.8
12/31/2004	7.4	7.8
3/31/2005		7.7
6/30/2005		8
9/30/2005		7.9
12/31/2005	7.6	8.4
3/31/2006		8.3
6/30/2006		8.4
9/30/2006		8.3
12/31/2006	7.8	7.7
3/31/2007		7
6/30/2007		7.3
9/30/2007		6.7
12/31/2007	7.1	6.1
3/31/2008		5.9
6/30/2008		5.7
9/30/2008		5.8
12/31/2008	6.8	4.9
3/31/2009		5.7
6/30/2009		5.7
9/30/2009		6
12/31/2009	6.2	6.6
3/31/2010		7.1
6/30/2010		7.1
9/30/2010		8
12/31/2010	7.8	8
3/31/2011		7.2
6/30/2011		7.7
9/30/2011		7.7
12/31/2011	7.9	8.3
3/31/2012		8.7
6/30/2012		8.5
9/30/2012		7.9
12/31/2012	8.1	8.1
3/31/2013		8
6/30/2013		7.9
9/30/2013		8
12/31/2013	8.1	8.1
3/31/2014		7.5
6/30/2014		8.3
9/30/2014		8.9
12/31/2014	7.9	8.7
3/31/2015		8.4
6/30/2015		8.4
9/30/2015		8.2
12/31/2015	7.8	8
3/31/2016		8.1
6/30/2016		7.8
9/30/2016		7.7
12/31/2016	7.4	7.8
3/31/2017		8.3
6/30/2017		8.2
9/30/2017		8
12/31/2017	7.7	8.1
3/31/2018		8.4
6/30/2018		8.5
9/30/2018		8.6
12/31/2018	7.8	8.6
3/31/2019		8.5
6/30/2019		8.4
9/30/2019		8.6
12/31/2019	7.5	8.4
3/31/2020		7.4
6/30/2020		6.9
9/30/2020		9.6
12/31/2020	7.1	8.8
3/31/2021		9.5
6/30/2021		10.4
9/30/2021		9.9
12/31/2021		9.3
3/31/2022		8.9

Note: Both measures are the return on business capital, after tax. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): May 1960 to October 1960, January 1970 to November 1970, December 1973 to March 1975, February 1980 to July 1980, August 1981 to November 1982, August 1990 to March 1991, April 2001 to November 2001, January 2008 to June 2009, and March 2020 to April 2020.

Figure 3. Marginal product of physical capital across countries

Line chart with shaded areas surrounding the line, 1970 to 2005, titled “Marginal product of physical capital across countries”. Data are annual. Y axis ranges from 0 to 0.5 and is labeled “Marginal product of physical capital”. The plot shows a white line, representing the median, with blue shaded areas from the proximity to the median out showing the 25th to 75th percentile range, the 10th to 90th percentile range, and the 5th to 95th percentile range and colored in progressively slighter shades of blue. The median is roughly constant while the dispersion narrows over time. The median line starts around 0.25 in 1970 and gradually declines to 0.12 by 1980. It then remains roughly flat until 2005, the end of the period. The darkest blue shaded area ranges from .175 to .3 in 1970 and gradually narrows to between 0.1 and 0.15 by 2005. The middle-colored blue shaded area ranges from 0.15 to 0.4 in 1970 and gradually narrows to between 0.09 and 0.2 by 2005. The lightest blue shaded area ranges from 0.13 to 0.45 in 1970 and gradually narrows to between 0.05 and 0.25 in 2005.

Note: White line represents the median; blue shaded areas from the proximity to the median out show the 25th to 75th percentile range, the 10th to 90th percentile range, and the 5th to 95th percentile range.

Source: Alexander Monge-Naranjo; Juan M. Sánchez; Raül Santaeulàlia-Llopis (2019), “Natural Resources and Global Misallocation,” American Economic Journal: Macroeconomics, vol. 11 (April), pp. 79–126.

Figure 4. Term premium

Line chart, January 1990 to May 2024, titled “Term premium”. Data are daily. The Y axis ranges from -2 to 3 percent. The single series, designated solid black, has a downward trend. It starts around 2 percent in 1990, increases slightly to 2.5 percent by 1993, and gradually declines to 0.5 percent by 1998. It then hovers between 0.5 and 2 percent until 2004, where it declines for several years to near zero percent. After increasing to around 1 percent in 2008-09, it generally declines to -1 percent in 2020. It then generally increases to around zero percent by 2024, the end of the series.

Note: The term premium is calculated by fitting the Kim and Wright (2005) three-factor arbitrage-free term structure model to the 10-year U.S. Treasury yield. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): August 1990 to March 1991, April 2001 to November 2001, January 2008 to June 2009, and March 2020 to May 2020.

Source: Board of Governors of the Federal Reserve System.

Figure 4. Term premium

Percent

Date	Term premium
1/31/1990	1.8
2/28/1990	1.94
3/31/1990	1.97
4/30/1990	2.09
5/31/1990	2.1
6/30/1990	1.96
7/31/1990	1.98
8/31/1990	2.2
9/30/1990	2.33
10/31/1990	2.26
11/30/1990	2.09
12/31/1990	1.99
1/31/1991	2.18
2/28/1991	2.14
3/31/1991	2.31
4/30/1991	2.34
5/31/1991	2.43
6/30/1991	2.52
7/31/1991	2.51
8/31/1991	2.38
9/30/1991	2.28
10/31/1991	2.23
11/30/1991	2.32
12/31/1991	2.29
1/31/1992	2.39
2/29/1992	2.55
3/31/1992	2.57
4/30/1992	2.63
5/31/1992	2.62
6/30/1992	2.51
7/31/1992	2.41
8/31/1992	2.29
9/30/1992	2.27
10/31/1992	2.38
11/30/1992	2.45
12/31/1992	2.37
1/31/1993	2.33
2/28/1993	2.11
3/31/1993	1.95
4/30/1993	1.95
5/31/1993	1.93
6/30/1993	1.79
7/31/1993	1.69
8/31/1993	1.65
9/30/1993	1.45
10/31/1993	1.4
11/30/1993	1.61
12/31/1993	1.65
1/31/1994	1.64
2/28/1994	1.72
3/31/1994	1.96
4/30/1994	2.2
5/31/1994	2.15
6/30/1994	2.09
7/31/1994	2.17
8/31/1994	2.08
9/30/1994	2.17
10/31/1994	2.24
11/30/1994	2.27
12/31/1994	2.02
1/31/1995	2.01
2/28/1995	1.83
3/31/1995	1.71
4/30/1995	1.64
5/31/1995	1.38
6/30/1995	1.17
7/31/1995	1.25
8/31/1995	1.39
9/30/1995	1.24
10/31/1995	1.12
11/30/1995	1.05
12/31/1995	0.97
1/31/1996	0.98
2/29/1996	1.12
3/31/1996	1.4
4/30/1996	1.54
5/31/1996	1.64
6/30/1996	1.71
7/31/1996	1.63
8/31/1996	1.52
9/30/1996	1.65
10/31/1996	1.5
11/30/1996	1.29
12/31/1996	1.35
1/31/1997	1.49
2/28/1997	1.42
3/31/1997	1.56
4/30/1997	1.66
5/31/1997	1.56
6/30/1997	1.48
7/31/1997	1.3
8/31/1997	1.33
9/30/1997	1.33
10/31/1997	1.22
11/30/1997	1.07
12/31/1997	0.99
1/31/1998	0.88
2/28/1998	0.92
3/31/1998	0.97
4/30/1998	0.97
5/31/1998	0.98
6/30/1998	0.89
7/31/1998	0.86
8/31/1998	0.8
9/30/1998	0.57
10/31/1998	0.61
11/30/1998	0.69
12/31/1998	0.6
1/31/1999	0.7
2/28/1999	0.84
3/31/1999	1
4/30/1999	0.98
5/31/1999	1.14
6/30/1999	1.32
7/31/1999	1.29
8/31/1999	1.35
9/30/1999	1.35
10/31/1999	1.44
11/30/1999	1.28
12/31/1999	1.35
1/31/2000	1.51
2/29/2000	1.38
3/31/2000	1.21
4/30/2000	1.05
5/31/2000	1.24
6/30/2000	1.05
7/31/2000	0.96
8/31/2000	0.82
9/30/2000	0.84
10/31/2000	0.75
11/30/2000	0.7
12/31/2000	0.53
1/31/2001	0.69
2/28/2001	0.77
3/31/2001	0.78
4/30/2001	1.06
5/31/2001	1.29
6/30/2001	1.29
7/31/2001	1.26
8/31/2001	1.17
9/30/2001	1.22
10/31/2001	1.27
11/30/2001	1.41
12/31/2001	1.78
1/31/2002	1.75
2/28/2002	1.66
3/31/2002	1.85
4/30/2002	1.8
5/31/2002	1.75
6/30/2002	1.6
7/31/2002	1.45
8/31/2002	1.21
9/30/2002	0.93
10/31/2002	0.99
11/30/2002	1.15
12/31/2002	1.16
1/31/2003	1.16
2/28/2003	1.07
3/31/2003	0.99
4/30/2003	1.09
5/31/2003	0.82
6/30/2003	0.68
7/31/2003	1.1
8/31/2003	1.46
9/30/2003	1.33
10/31/2003	1.32
11/30/2003	1.33
12/31/2003	1.31
1/31/2004	1.23
2/29/2004	1.18
3/31/2004	1
4/30/2004	1.34
5/31/2004	1.56
6/30/2004	1.48
7/31/2004	1.29
8/31/2004	1.12
9/30/2004	0.96
10/31/2004	0.9
11/30/2004	0.87
12/31/2004	0.83
1/31/2005	0.78
2/28/2005	0.68
3/31/2005	0.85
4/30/2005	0.72
5/31/2005	0.57
6/30/2005	0.45
7/31/2005	0.48
8/31/2005	0.48
9/30/2005	0.43
10/31/2005	0.53
11/30/2005	0.54
12/31/2005	0.48
1/31/2006	0.37
2/28/2006	0.42
3/31/2006	0.49
4/30/2006	0.61
5/31/2006	0.66
6/30/2006	0.62
7/31/2006	0.56
8/31/2006	0.44
9/30/2006	0.38
10/31/2006	0.37
11/30/2006	0.27
12/31/2006	0.27
1/31/2007	0.38
2/28/2007	0.35
3/31/2007	0.27
4/30/2007	0.36
5/31/2007	0.41
6/30/2007	0.67
7/31/2007	0.58
8/31/2007	0.53
9/30/2007	0.51
10/31/2007	0.53
11/30/2007	0.48
12/31/2007	0.53
1/31/2008	0.4
2/29/2008	0.63
3/31/2008	0.67
4/30/2008	0.78
5/31/2008	0.84
6/30/2008	0.92
7/31/2008	0.88
8/31/2008	0.79
9/30/2008	0.78
10/31/2008	1.11
11/30/2008	1.12
12/31/2008	0.51
1/31/2009	0.55
2/28/2009	0.74
3/31/2009	0.67
4/30/2009	0.68
5/31/2009	0.93
6/30/2009	1.28
7/31/2009	1.15
8/31/2009	1.18
9/30/2009	1.06
10/31/2009	1.03
11/30/2009	1.03
12/31/2009	1.1
1/31/2010	1.21
2/28/2010	1.16
3/31/2010	1.15
4/30/2010	1.22
5/31/2010	0.96
6/30/2010	0.83
7/31/2010	0.66
8/31/2010	0.42
9/30/2010	0.39
10/31/2010	0.28
11/30/2010	0.4
12/31/2010	0.81
1/31/2011	0.87
2/28/2011	1.02
3/31/2011	0.92
4/30/2011	0.97
5/31/2011	0.76
6/30/2011	0.61
7/31/2011	0.61
8/31/2011	0.15
9/30/2011	-0.04
10/31/2011	0.07
11/30/2011	-0.03
12/31/2011	-0.06
1/31/2012	-0.09
2/29/2012	-0.12
3/31/2012	0.02
4/30/2012	-0.06
5/31/2012	-0.22
6/30/2012	-0.33
7/31/2012	-0.4
8/31/2012	-0.3
9/30/2012	-0.29
10/31/2012	-0.28
11/30/2012	-0.33
12/31/2012	-0.29
1/31/2013	-0.17
2/28/2013	-0.12
3/31/2013	-0.13
4/30/2013	-0.26
5/31/2013	-0.15
6/30/2013	0.14
7/31/2013	0.35
8/31/2013	0.46
9/30/2013	0.52
10/31/2013	0.36
11/30/2013	0.41
12/31/2013	0.55
1/31/2014	0.56
2/28/2014	0.45
3/31/2014	0.48
4/30/2014	0.5
5/31/2014	0.4
6/30/2014	0.43
7/31/2014	0.41
8/31/2014	0.34
9/30/2014	0.43
10/31/2014	0.27
11/30/2014	0.29
12/31/2014	0.21
1/31/2015	0.01
2/28/2015	0.07
3/31/2015	0.1
4/30/2015	0.01
5/31/2015	0.19
6/30/2015	0.3
7/31/2015	0.26
8/31/2015	0.13
9/30/2015	0.14
10/31/2015	0.07
11/30/2015	0.18
12/31/2015	0.12
1/31/2016	0.01
2/29/2016	-0.2
3/31/2016	-0.12
4/30/2016	-0.18
5/31/2016	-0.17
6/30/2016	-0.28
7/31/2016	-0.38
8/31/2016	-0.35
9/30/2016	-0.3
10/31/2016	-0.23
11/30/2016	0
12/31/2016	0.24
1/31/2017	0.19
2/28/2017	0.18
3/31/2017	0.16
4/30/2017	0.01
5/31/2017	-0.02
6/30/2017	-0.13
7/31/2017	-0.06
8/31/2017	-0.12
9/30/2017	-0.14
10/31/2017	-0.06
11/30/2017	-0.09
12/31/2017	-0.08
1/31/2018	0
2/28/2018	0.14
3/31/2018	0.09
4/30/2018	0.08
5/31/2018	0.13
6/30/2018	0.08
7/31/2018	0.04
8/31/2018	0.01
9/30/2018	0.05
10/31/2018	0.11
11/30/2018	0.07
12/31/2018	-0.13
1/31/2019	-0.21
2/28/2019	-0.23
3/31/2019	-0.3
4/30/2019	-0.32
5/31/2019	-0.39
6/30/2019	-0.54
7/31/2019	-0.53
8/31/2019	-0.74
9/30/2019	-0.69
10/31/2019	-0.63
11/30/2019	-0.52
12/31/2019	-0.49
1/31/2020	-0.55
2/29/2020	-0.71
3/31/2020	-0.75
4/30/2020	-0.84
5/31/2020	-0.85
6/30/2020	-0.84
7/31/2020	-0.9
8/31/2020	-0.89
9/30/2020	-0.87
10/31/2020	-0.81
11/30/2020	-0.75
12/31/2020	-0.72
1/31/2021	-0.63
2/28/2021	-0.51
3/31/2021	-0.24
4/30/2021	-0.21
5/31/2021	-0.23
6/30/2021	-0.28
7/31/2021	-0.4
8/31/2021	-0.43
9/30/2021	-0.37
10/31/2021	-0.21
11/30/2021	-0.2
12/31/2021	-0.26
1/31/2022	-0.1
2/28/2022	-0.07
3/31/2022	-0.01
4/30/2022	0.28
5/31/2022	0.32
6/30/2022	0.32
7/31/2022	-0.06
8/31/2022	-0.17
9/30/2022	0.08
10/31/2022	0.22
11/30/2022	0.04
12/31/2022	-0.22
1/31/2023	-0.33
2/28/2023	-0.23
3/31/2023	-0.25
4/30/2023	-0.43
5/31/2023	-0.43
6/30/2023	-0.36
7/31/2023	-0.29
8/31/2023	-0.13
9/30/2023	0
10/31/2023	0.29
11/30/2023	0.13
12/31/2023	-0.16
1/31/2024	-0.13
2/29/2024	-0.04
3/31/2024	-0.05
4/30/2024	0.14
5/31/2024	0.17

Source: Board of Governors of the Federal Reserve System.

Last Update: May 24, 2024