Board of Governors of the Federal Reserve System

Figure 1: The Unemployment Rate

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Note: In this figure, the solid line represents the quarterly average of the unemployment rate from 2006 through 2010, and the dashed line denotes the median estimate of the non-accelerating inflation rate of unemployment (NAIRU) from the Federal Reserve Bank of Philadelphia's Survey of Professional Forecasters (SPF).

Source: For the unemployment rate, U.S. Dept. of Labor, Bureau of Labor Statistics; for NAIRU, Federal Reserve Bank of Philadelphia.

Figure 2: Measures of Consumer Inflation

Note: This figure displays 12-month percent changes from 2006 to 2010 for the following three price indexes: the price index for personal consumption expenditures (PCE) (the thick solid line), the price index for PCE excluding food and energy (the thin solid line), and the trimmed-mean PCE price index (the dashed line).

Source: For trimmed-mean, Federal Reserve Bank of Dallas; for all else, U.S. Dept. of Commerce, Bureau of Economic Analysis.

Table 1: Responses of U.S. Interest Rates to News about the First Round of Asset Purchases

Note: The table displays basis point changes from close of business on the day before the announcement to close of business on the day of the announcement. Changes in the 10-year nominal Treasury yield are computed using a smoothed yield curve estimated by staff from off-the-run Treasury coupon securities. Changes in the yield on 10-year Treasury inflation-protected securities (TIPS) are computed by staff using a smoothed inflation-indexed yield curve. Changes in the yield on 30-year mortgage-backed securities (MBS) are computed using Bloomberg data on securities issued by Fannie Mae. Changes in the yield on 10-year BBB corporate bonds are computed using a smoothed yield curve estimated by staff using Merrill Lynch data.

Figure 3: Illustrative Simulation of the FRB/US Model

Note: This figure depicts an illustrative simulation of the Federal Reserve Board staff's FRB/US model of the U.S. economy, with results expressed as deviations from baseline. The left panel shows the implied trajectory of the Federal Reserve's securities holdings (in $ billions), and the right panel shows the level of private payroll employment (in thousands).

Table 2: Responses of U.S. Interest Rates to News about the Second Round of Asset Purchases

Note: The table displays basis point changes from close of business on the day before the announcement to close of business on the day of the announcement, with the exception of Aug.11 to Nov. 2, 2010, which shows the interperiod change. Changes in the 10-year nominal Treasury yield are computed using a smoothed yield curve estimated by staff from off-the-run Treasury coupon securities. Changes in the yield on 10-year Treasury inflation-protected securities (TIPS) are computed by staff using a smoothed inflation-indexed yield curve. Changes in the yield on 30-year mortgage-backed securities (MBS) are computed using Bloomberg data on securities issued by Fannie Mae. Changes in the yield on 10-year BBB corporate bonds are computed using a smoothed yield curve estimated by staff using Merrill Lynch data.

Figure 4: Recent Movements in U.S. Treasury Yields

Note: This figure depicts the evolution of yields on Treasury securities over the period from November 1 to December 31, 2010. The solid line denotes the 10-year nominal Treasury yield, which is computed using a smoothed yield curve estimated by staff from off-the-run Treasury coupon securities. The dashed line denotes the yield on 10-year Treasury inflation-protected securities (TIPS), which is computed by staff using a smoothed inflation-indexed yield curve. The vertical lines mark the following dates: the Federal Open Market Committee meeting statements issued on November 3 and December 14; the employment reports published by the U.S. Bureau of Labor Statistics on November 5 and December 3; and the announcement of a fiscal package on December 6.

Figure 5: The Evolution of the Beveridge Curve

Note. The figure displays a scatter plot of quarterly average observations of the unemployment rate (indicated on the horizontal axis) and a measure of vacancies (indicated on the vertical axis) for the following periods: 1973:Q4 to 1976:Q2; 1979:Q2 to 1983:Q4; 1990:Q1 to 1993:Q3; and 2007:Q1 to 2010:Q4. The measure of vacancies is given by an index of help-wanted advertisements divided by the labor force. The 2010:Q4 observation is the average of the October and November readings.

Source: For unemployment rate, Dept. of Labor, Bureau of Labor Statistics; for help-wanted advertisements, the Conference Board and Barnichon (2010).

Table 3: Responses of U.S. Dollar Exchange Rates to News about the First Round of Asset Purchases

Note: The table displays the percent change in the value of the U.S. dollar against four other currencies (the Canadian dollar, the British pound, the euro, and the Japanese yen) on selected dates associated with news about the first round of the Federal Reserve's asset purchases. Each rate is expressed in units of foreign currency per U.S. dollar; thus, a negative number corresponds to a depreciation in the value of the U.S. dollar against the specified foreign currency. The daily change is computed using Bloomberg data for the close of business on the day of the announcement relative to the close of business the day before the announcement.

Figure 6: The Evolution of U.S. Exchange Rates Since 2007

Note: This figure depicts the evolution of U.S. exchange rates over the period from January 2007 through December 2010. The following four dates are associated with the Federal Reserve's first round of securities purchases (November 25, 2008; December 1, 2008; December 16, 2008; and March 18, 2009). November 3, 2010 is associated with the date on which the Federal Open Market Committee initiated its second round of securities purchases.

Source: Federal Reserve Board.

Figure 7: International Financial Flows

Note: The bars denote net private capital flows to emerging market economies (EMEs) in Asia and Latin America as a share of the aggregate gross domestic production (GDP) of those economies, and the solid line denotes the cumulation of these capital flows since 2000 divided by the share of aggregate GDP of those economies. The 16 EMEs are Argentina, Brazil, Chile, China, Colombia, Hong Kong, India, Indonesia, Malaysia, Mexico, the Philippines, Singapore, South Korea, Taiwan, Thailand, and Venezuela.

Source: Country sources via Haver.

Figure 8: Recent Flows to Emerging Market Mutual Funds

Note: The bars denote monthly net flows to Latin American and Asian emerging market mutual funds (in $U.S. billions).

Source: EmergingPortfolio.com Fund Research.