Board of Governors of the Federal Reserve System

2022 Stress Test Scenarios

Preface

The Federal Reserve promotes a safe, sound, and efficient banking system that supports the U.S. economy through its supervision and regulation of domestic and foreign banks.

As part of its supervision efforts, the Federal Reserve conducts annually a supervisory stress test. The stress test assesses how large domestic and foreign bank holding companies, as well as savings and loan holding companies, are likely to perform under hypothetical recessions.¹

Each year, the Federal Reserve publishes four documents, in the following chronological order:

• Stress Test Scenarios describes the hypothetical recessions used in the supervisory stress test. Stress Test Scenarios is typically published by mid-February.
• Supervisory Stress Test Methodology provides comprehensive details about the models and methodologies used in the supervisory stress test. Supervisory Stress Test Methodology is typically published at the end of the first quarter.
• Supervisory Stress Test Results reports the aggregate and individual bank results of the supervisory stress test, which assesses whether banks are sufficiently capitalized to absorb losses during a severe recession. Supervisory Stress Test Results is typically published at the end of the second quarter.
• Large Bank Capital Requirements announces the individual capital requirement for all large banks, which are partially determined by the results of the supervisory stress test. Large Bank Capital Requirements is typically published during the third quarter.

These publications can be found on the Stress Test Publications page (https://www.federalreserve.gov/publications/dodd-frank-act-stress-test-publications.htm).

For information on the Federal Reserve's supervision of large financial institutions, see https://www.federalreserve.gov/supervisionreg/large-financial-institutions.htm. For information on the Federal Reserve's supervision of capital-planning processes of firms, see https://www.federalreserve.gov/supervisionreg/stress-tests-capital-planning.htm.

For more information on how the Board promotes the safety and soundness of the banking system, see https://www.federalreserve.gov/supervisionreg.htm.

Executive Summary

The Federal Reserve's stress tests help ensure that large banks are able to lend to households and businesses even in a severe recession. The stress tests evaluate the financial resilience of large banks by estimating bank losses, revenues, expenses, and resulting capital levels—which provide a cushion against losses—under hypothetical recession scenarios into the future.² The Federal Reserve uses the results of the supervisory stress test under the supervisory severely adverse scenario to set capital requirements for large banks.

The supervisory severely adverse scenario is characterized by a severe global recession accompanied by a period of heightened stress in commercial real estate and corporate debt markets. The U.S. unemployment rate rises 5-3/4 percentage points from the starting point of the scenario in the fourth quarter of 2021 to its peak of 10 percent in the third quarter of 2023. The sharp decline in economic activity is also accompanied by increases in market volatility, widening of corporate bond spreads, and collapse in asset prices, including a nearly 40 percent decline in commercial real estate prices. The international component of the scenario features deep recessions in four countries or country blocs followed by declines in inflation and large swings in the value of the U.S. dollar against those countries' currencies.

Banking organizations with large trading operations are tested against a global market shock component that stresses their trading, private equity, and certain other fair-valued positions. Furthermore, banks with substantial trading or custodial operations are tested against the default of their largest counterparty.

The hypothetical scenarios are described in additional detail in this publication.³

Supervisory Scenarios

The severely adverse scenario describes a hypothetical set of conditions designed to assess the strength and resilience of banking organizations in an adverse economic environment. The baseline scenario follows a profile similar to average projections from a survey of economic forecasters. These scenarios are not Federal Reserve forecasts.⁴

Scenario timing and variables: The scenarios start in the first quarter of 2022 and extend through the first quarter of 2025. Each scenario includes 28 variables; this set of variables is the same as the set provided in last year's supervisory scenarios. The variables describing economic developments within the United States include:

• Six measures of economic activity and prices: quarterly percent changes (at an annual rate) in real and nominal gross domestic product (GDP), real and nominal disposable personal income, the Consumer Price Index for all urban consumers (CPI), and the level of the unemployment rate of the civilian non-institutional population aged 16 years and over.
• Four aggregate measures of asset prices or financial conditions: indexes of house prices, commercial real estate prices, equity prices, and stock market volatility.
• Six measures of interest rates: the rate on 3-month Treasury securities; the yield on 5-year Treasury securities; the yield on 10-year Treasury securities; the yield on 10-year BBB-rated corporate securities; the interest rate associated with conforming, conventional, 30-year fixed-rate mortgages; and the prime rate.

The variables describing international economic conditions in each scenario include three variables in four countries or country blocs:

• The three variables for each country or country bloc: quarterly percent changes (at an annual rate) in real GDP and in consumer price indexes or local equivalent, and the level of the U.S. dollar exchange rate.
• Four countries or country blocs: the euro area (the 19 European Union member states that have adopted the euro as their common currency); the United Kingdom; developing Asia (the nominal GDP-weighted aggregate of China, India, South Korea, Hong Kong Special Administrative Region, and Taiwan); and Japan.

Baseline and Severely Adverse Scenarios

The following sections describe this year's baseline and severely adverse scenarios. The variables included in these scenarios are provided in tables at the end of this document.⁵ Historical data for the domestic and the international variables are reported in table 1.A and table 1.B, respectively.

Baseline Scenario

The baseline scenario for U.S. real activity, inflation, and interest rates (see table 2.A) is similar to the consensus projections from 2022 Blue Chip Financial Forecasts and 2022 Blue Chip Economic Indicators.⁶ The near-term component of the baseline scenario is similar to the January 2022 release, while the long-term component of the baseline scenario is similar to the October 2021 release. It is important to emphasize that this scenario is not a forecast of the Federal Reserve.

The baseline scenario for the United States is an economic expansion over the 13-quarter scenario period. The unemployment rate declines gradually from close to 4-1/4 percent at the end of 2021 to about 3-1/2 percent by the end of the scenario. Real GDP growth declines from about 6 percent at the end of 2021 to around 2 percent at the end of the scenario. CPI inflation also declines from around 8-1/4 percent at the end of 2021 to about 2-1/4 percent by the end of the scenario. The scenario includes increases in interest rates. The 3-month Treasury rate increases from around 0 percent to about 1-1/2 percent at the end of the scenario. Ten-year Treasury yields increase from around 1-1/2 percent to around 2-1/2 percent at the end of the scenario. The prime rate increases in line with short-term interest rates, whereas yields on BBB-rated corporate bonds and mortgage rates increase in line with long-term interest rates.

Equity prices remain steady throughout the scenario. Equity market volatility, as measured by the VIX, declines in 2022 by about 6-1/2 points by early 2023, before gradually increasing to reach nearly 28 at the end of the scenario, which is slightly below its level at the start of the scenario. Nominal house prices increase gradually by about 3 percent per year throughout the scenario. Nominal commercial real estate prices also increase gradually by about 3 percent per year.

The baseline paths for the international variables (see table 2.B) are similar to the trajectories reported in the January 2022 Blue Chip Economic Indicators and the International Monetary Fund's October 2021 World Economic Outlook.⁷ In the baseline scenario, real GDP growth in developing Asia rises from about 4 percent at the end of 2021 to more than 6-1/2 percent in the third quarter of 2022; thereafter, the growth rate declines and remains relatively stable at about 5 percent for the remainder of the scenario. Real GDP growth in the euro area declines from about 4-1/2 percent at the end of 2021 to about 1-1/2 percent by the end of the scenario. Real GDP growth in the United Kingdom follows a very similar path to that of the euro area. Japan also experiences a decline in GDP growth from around 3-3/4 percent to below 1/2 percent by the end of the scenario.

Consumer price inflation in the euro area rapidly declines from about 7-1/2 percent at the end of 2021 to 1-1/2 percent by the end of 2022 and averages about 2 percent for the remainder of the scenario. Consumer price inflation gradually declines in the United Kingdom from about 4-1/4 percent at the end of 2021 to about 2 percent by the third quarter of 2023 and then gradually increases to 2-3/4 percent by the end of the scenario. Inflation rates are relatively stable in Japan and in developing Asia throughout the scenario, averaging around 1 and 2-1/2 percent, respectively.

Severely Adverse Scenario

The severely adverse scenario follows the Board's Policy Statement on the Scenario Design Framework for Stress Testing ("Scenario Design Framework")⁸ and is characterized by a severe global recession accompanied by a period of heightened stress in commercial real estate and corporate debt markets. In this scenario, the economic downturn is amplified by the prolonged continuation of remote work, which leads to larger commercial real estate price declines that, in turn, spill over to the corporate sector and affect investor sentiment. The developments in foreign economies reflect greater stress in emerging market economies, partly driven by building risks in the Chinese economy. This is a hypothetical scenario designed to assess the strength and resilience of banking organizations and does not represent a forecast of the Federal Reserve.

Consistent with the Scenario Design Framework, under the severely adverse scenario the U.S. unemployment rate climbs to a peak of 10 percent in the third quarter of 2023 (see table 3.A), a 5-3/4 percentage point increase relative to its fourth-quarter 2021 level. This year's scenario features a sharp decline in real GDP in 2022 followed by a robust recovery. Real GDP declines more than 3-1/2 percent from the fourth quarter of 2021 to its trough in the first quarter of 2023. The rising unemployment and the rapid decline in aggregate demand for goods and services lead to significantly reduced inflationary pressures. CPI inflation falls from an annual rate of 8-1/4 percent at the end of 2021 to an annual rate of about 1-1/4 percent in the third quarter of 2022 and then gradually increases above 1-1/2 percent by the end of the scenario.

Short-term interest rates as measured by the 3-month Treasury rate remain near zero throughout the scenario. Long-term interest rates as measured by the 10-year Treasury yield drop to 3/4 percent during the first quarter of 2022 and remain unchanged in the second and third quarters of 2022, after which they gradually rise to 1-1/2 percent by the end of the scenario. Because short-term interest rates remain near zero, the path of the yield curve slope, as defined by the difference between the 10-year Treasury yield and the 3-month Treasury rate, follows that of long-term interest rates.

Conditions in corporate bond markets deteriorate markedly. The spread between yields on investment-grade corporate bonds and yields on 10-year Treasury securities widens to 5-3/4 percentage points by mid–2022, an increase of close to 4-3/4 percentage points relative to the fourth quarter of 2021. Corporate bond spreads then gradually decline to 2-1/4 percentage points by the end of the scenario. The spread between mortgage rates and 10-year Treasury yields widens to 3 percentage points by mid–2022 before declining to slightly above 1-1/2 percentage points at the end of the scenario.

Asset prices drop sharply in the severely adverse scenario. Equity prices fall 55 percent from the fourth quarter of 2021 through the fourth quarter of 2022, accompanied by a rise in the VIX, which reaches a peak value of 75 in the second quarter of 2022. House prices and commercial real estate prices also experience large declines. At their trough at the end of 2023, house prices are 28-1/2 percent below their level at the end of 2021. Commercial real estate prices experience larger declines, reaching a level in the fourth quarter of 2023 that is nearly 40 percent below the level at the end of 2021.

The international component of the severely adverse scenario includes rapid declines in GDP across all four countries or country blocs at the start of the scenario followed by recoveries of various speeds relative to the baseline scenario. The recoveries in the euro area, the United Kingdom, and Japan are faster than those in developing Asia given the greater stresses in that country bloc.

Inflation declines significantly in all four countries or country blocs. Japan and developing Asia experience a prolonged period of deflation. The euro area also experiences a period of deflation. The U.S. dollar appreciates against the euro, the pound sterling, and the currencies of developing Asia, while it depreciates against the yen.

Additional Key Features of the Severely Adverse Scenario

Stress on corporate borrower balance sheets and resulting credit losses on corporate loans should be assumed to be higher for lower-rated nonfinancial corporate borrowers. Declines in aggregate U.S. house prices should be assumed to be concentrated in regions that have experienced rapid price gains over the past two years. The fall in commercial real estate prices should be assumed to be concentrated in properties most at risk of a sustained drop in income and asset values: offices, hotels in urban locations or that cater to business travelers, shopping malls, and strip malls. Declines in U.S. house prices and U.S. commercial real estate prices should also be assumed to be representative of the risks to house prices and commercial real estate prices in foreign regions and economies that experienced rapid price gains before the pandemic and were significantly affected by the event.

Moreover, although the weakness in euro area economic conditions reflects a broad-based contraction in euro area demand, this contraction should be assumed to be more protracted in countries with less ability to use fiscal policy to lean against the slowdown in economic activity. The growth slowdown in developing Asia, which is greater than in advanced foreign economies, should be assumed to be representative of conditions across many emerging market economies outside of Latin America. Conditions across Latin American economies should be assumed to be comparable to the sharp slowdown in the global economy on aggregate.

Comparison of the Current Severely Adverse Scenario and 2021 Severely Adverse Scenario

Consistent with improving economic conditions, the current severely adverse scenario features a greater increase in the unemployment rate in the United States but a lower peak unemployment rate as compared to the 2021 severely adverse scenario. This difference reflects the Scenario Design Framework, which calls for a more pronounced economic downturn when current conditions are stronger.^* The paths of interest rates in the current scenario imply a larger decline in long-term interest rates relative to the 2021 severely adverse scenario.

The continued heightened uncertainty from the pandemic increases asset-price vulnerabilities, particularly for residential properties and commercial real estate. The current scenario features larger declines in house prices and similarly large declines in commercial real estate prices as compared to the previous year's scenario. The potential for spillover effects in asset markets and sharp revisions in investor sentiment are captured by higher increases in market volatility and corporate bond spreads relative to last year's scenario. The decline in equity prices is the same.

Global Market Shock Component for Supervisory Severely Adverse Scenario

The global market shock is a set of hypothetical shocks to a large set of risk factors reflecting general market distress and heightened uncertainty. Banking organizations with significant trading activity must consider the global market shock as part of their supervisory severely adverse scenario.⁹ Even though the losses associated with the global market shock could occur at any point in the scenario, those losses must be recognized in the first quarter of the projection horizon. In addition, certain large and highly interconnected firms must apply the same global market shock to project losses under the counterparty default scenario component. The global market shock is applied to positions held by the banks on a given as-of date, October 8, 2021 for the 2022 supervisory stress test.¹⁰ These shocks do not represent a forecast of the Federal Reserve.

The design and specification of the global market shock differ from those of the macroeconomic scenarios for several reasons. First, profits and losses from trading and counterparty credit are measured in mark-to-market terms, while revenues and losses from traditional banking are generally measured using the accrual method. Another key difference is the timing of loss recognition. The global market shock affects the mark-to-market value of trading positions and counterparty credit losses in the first quarter of the projection horizon. This timing is based on an observation that market dislocations can happen rapidly and unpredictably at any time under stressed conditions. Applying the global market shock in the first quarter ensures that potential losses from trading and counterparty exposures are incorporated into trading companies' capital ratios at all points over the projection horizon.

The global market shock is specified by a large set of risk factors that include, but are not limited to:

• Equity prices of key developed economies and developing and emerging market economies along with selected points along term structures of option-implied volatilities;
• Foreign exchange rates of most major and some minor currencies, along with selected points along term structures of option-implied volatilities;
• Selected-maturity government yields (e.g., for 10-year U.S. Treasuries), swap rates, and other important interest rates for key developed economies and developing and emerging market economies;
• Selected maturities and expiries of implied volatilities that are key inputs to the pricing of interest rate derivatives;
• Selected expiries of futures prices for energy products including crude oil (differentiated by country of origin), natural gas, and power;
• Selected expiries of futures prices for metals and agricultural commodities; and
• Credit spreads or prices for selected credit-sensitive products, including corporate bonds, credit default swaps (CDS), and loans; non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities; sovereign debt; and municipal bonds.

The Board considers emerging and ongoing areas of financial market vulnerability in the development of the global market shock. This assessment of potential vulnerabilities is informed by financial stability reports, supervisory information, and internal and external assessments of potential sources of distress such as geopolitical, economic, and financial market events.

The global market shock includes a standardized set of risk factor shocks to financial market variables that apply to all banks with significant trading activity. Depending on the type of financial market vulnerability that the global market shock is intended to assess, the market shocks could be based on a single historical episode, multiple historical periods, hypothetical events that are based on salient risks, or a hybrid approach comprising some combination of historical episodes and hypothetical events. A market shock based on hypothetical events may result in changes in risk factors that were not previously observed.¹¹

Risk factor shocks are calibrated based on assumed time horizons. The calibration horizons reflect a number of considerations related to the scenario being modeled. One important consideration is the liquidity characteristics of different risk factors. These characteristics may vary depending on the specified market shock narrative. More specifically, the calibration horizons reflect the variation in the speed at which trading companies could reasonably close out, or effectively hedge, risk exposures in the event of market stress. The calibration horizons are generally longer than the typical times needed to liquidate exposures under normal conditions because they are designed to capture the unpredictable liquidity conditions that prevail in times of stress.¹² In addition, shocks to risk factors in more-liquid markets, such as those for government securities, foreign exchange, or public equities, are calibrated to shorter horizons (such as three months), while shocks to risk factors in less-liquid markets, such as those for non-agency securitized products or private equities, have longer calibration horizons (such as 12 months).

2022 Severely Adverse Scenario

The 2022 global market shock component for the severely adverse scenario is characterized by a sharp curtailment in global economic activity, a tightening of financial conditions, and a worsening of existing supply-chain disruptions. An increase in term risk premia drives an increase in Treasury rates and a steepening of the yield curve. Benchmark bank lending rates rise sharply, reflecting tighter financial conditions.

The drop in economic activity and additional supply-chain disruptions lead to lower corporate profits, resulting in substantial public equity price declines and increases in public equity volatility across global markets. The U.S. dollar appreciates against the currencies of emerging market economies due to substantial flight-to-safety flows and appreciates more modestly against the currencies of most developed economies, while the yen appreciates against the U.S. dollar due to the unwinding of positions. The strains on supply chains more than offset the impact of weaker economic activity and lead to price increases across commodities.

Higher longer-term Treasury rates drive up mortgage rates; valuations of assets related to residential and commercial real estate fall sharply in line with the decline in economic activity. Private equity asset values experience sizable declines, particularly holdings related to real estate.

The combination of a weakened economic environment, further supply-chain disruptions, high levels of debt, and mutual fund redemptions leads to widespread bankruptcies and drives asset sales. As a result, corporate bond spreads widen sharply and leveraged loans experience large price declines. Non-investment-grade debt, which experiences especially high default rates and record low recovery rates, sees a particularly large widening of spreads.

For U.S. state and local governments, revenue declines due to the slowdown in economic activity are combined with significant spending increases and lead to a widening in municipal bond spreads and increased risk of defaults. Mutual funds holding municipal debt face redemptions and outflows that exceed historical experience.

Comparison of the Current Severely Adverse Scenario and the 2021 Severely Adverse Scenario

The global market shock for the current severely adverse scenario differs from the 2021 severely adverse scenario, particularly in the behavior of interest rates and commodities prices. Treasury rates rise in the current severely adverse scenario with larger increases specified for longer tenors, resulting in a steeper yield curve. In the 2021 severely adverse scenario, Treasury rates declined progressively along the term structure, resulting in a flattening of the yield curve. Furthermore, most interest rate volatility shocks are larger in the current scenario, with near-term volatility shocks for the U.S. significantly larger than in the 2021 scenario.

Benchmark bank lending rates generally see larger increases for shorter-term rates, while longer-term rates rise instead of fall. Similarly, inflation breakeven rates increase in the current scenario, while they dropped in the 2021 scenario.

Non-precious metals and other commodities such as oil and natural gas face price appreciation in the current scenario, whereas price declines were applied in last year's scenario. Commodities volatility shocks tend to be smaller in this year's scenario. U.S. public equity and agency RMBS markets experience greater stress in the current scenario, while most asset-backed securities suffer lower market value declines compared to the earlier scenario.

Counterparty Default Component for Supervisory Severely Adverse Scenario

Large banks with substantial trading or custodial operations are required to incorporate a counterparty default scenario component into their supervisory severely adverse scenario for 2022 and recognize associated losses in the first quarter of the projection horizon.¹³ This component involves the unexpected default of the firm's largest counterparty.¹⁴

In connection with the counterparty default scenario component, these banks are required to estimate and report the potential losses and related effects on capital associated with the unexpected default of the counterparty that would generate the largest losses across their derivatives and securities financing transactions, including securities lending or borrowing and repurchase or reverse repurchase agreement activities. The counterparty default scenario component is an add-on to the Federal Reserve's severely adverse scenario.

The largest counterparty of each firm will be determined by net stressed losses. Net stressed losses are estimated by applying the global market shock to revalue securities financing transactions and derivatives, including collateral posted or received. The as-of date for the counterparty default scenario component is October 8, 2021—the same as-of date for the global market shock.¹⁵

Variables for the Supervisory Scenarios

 

Table 1.A. Historical data: Domestic variables, Q1:2000–Q4:2021

 

Table 1.B. Historical data: International variables, Q1:2000–Q4:2021

Table 2.A. Supervisory baseline scenario: Domestic variables, Q1:2022–Q1:2025

 

Table 2.B. Supervisory baseline scenario: International variables, Q1:2022–Q1:2025

Table 3.A. Supervisory severely adverse scenario: Domestic variables, Q1:2022–Q1:2025

 

Table 3.B. Supervisory severely adverse scenario: International variables, Q1:2022–Q1:2025

Notes Regarding Scenario Variables

The following are descriptions of data through 2021:Q4 (as released through January 15, 2022). The 2021:Q4 values of variables marked with an asterisk (*) are estimates.

*U.S. real GDP growth: Quarterly percent change in real gross domestic product (chained 2012 dollars), expressed at an annualized rate, Bureau of Economic Analysis (NIPA table 1.1.6, line 1).

*U.S. nominal GDP growth: Quarterly percent change in gross domestic product (current dollars), expressed at an annualized rate, Bureau of Economic Analysis (NIPA table 1.1.5, line 1).

*U.S. real disposable income growth: Quarterly percent change in real disposable personal income (current-dollar values divided by the price index for personal consumption expenditures), expressed at an annualized rate, Bureau of Economic Analysis (NIPA table 2.1, line 27, and NIPA table 1.1.4, line 2).

*U.S. nominal disposable income growth: Quarterly percent change in disposable personal income (current dollars), expressed at an annualized rate, Bureau of Economic Analysis (NIPA table 2.1, line 27).

U.S. unemployment rate: Quarterly average of seasonally adjusted monthly unemployment rates for the civilian, non-institutional population aged 16 years and older, Bureau of Labor Statistics (series LNS14000000).

U.S. CPI inflation: Percent change in the quarterly average of seasonally adjusted monthly levels of the all-items CPI for all urban consumers (CPI-U), expressed at an annualized rate, Bureau of Labor Statistics (series CUSR0000SA0).

U.S. 3-month Treasury rate: Quarterly average of 3-month Treasury bill secondary market rate on a discount basis, H.15 Release, Selected Interest Rates, Federal Reserve Board (series RIFSGFSM03_N.B).

U.S. 5-year Treasury yield: Quarterly average of the yield on 5-year U.S. Treasury notes, constructed for the FRB/US model by Federal Reserve staff based on the Svensson smoothed term structure model (see Lars E. O. Svensson, 1995, "Estimating Forward Interest Rates with the Extended Nelson–Siegel Method," Quarterly Review, no. 3, Sveriges Riksbank, pp. 13–26).

U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury notes, constructed for the FRB/U.S. model by Federal Reserve staff based on the Svensson smoothed term structure model; (see Svensson, "Estimating Forward Interest Rates").

U.S. BBB corporate yield: Quarterly average of ICE BofAML U.S. Corporate 7-10 Year Yield-to-Maturity Index, ICE Data Indices, LLC, used with permission. (C4A4 series.)

U.S. mortgage rate: Quarterly average of weekly series for the interest rate of a conventional, conforming, 30-year fixed-rate mortgage, obtained from the Primary Mortgage Market Survey of the Federal Home Loan Mortgage Corporation.

U.S. prime rate: Quarterly average of monthly series, H.15 Release (Selected Interest Rates), Federal Reserve Board (series RIFSPBLP_N.M).

U.S. Dow Jones Total Stock Market (Float Cap) Index: End-of-quarter value via Bloomberg Finance L.P.

*U.S. House Price Index: Price Index for Owner-Occupied Real Estate, Z.1 Release (Financial Accounts of the United States), Federal Reserve Board (series FL075035243.Q divided by 1000).

*U.S. Commercial Real Estate Price Index: Commercial Real Estate Price Index, Z.1 Release (Financial Accounts of the United States), Federal Reserve Board (series FL075035503.Q divided by 1000).

U.S. Market Volatility Index (VIX): VIX converted to quarterly frequency using the maximum close-of-day value in any quarter, Chicago Board Options Exchange via Bloomberg Finance LP.

*Euro area real GDP growth: Quarterly percent change in real gross domestic product at an annualized rate, staff calculations based on Statistical Office of the European Communities via Haver, extended back using ECB Area Wide Model dataset (ECB Working Paper series no. 42).

Euro area inflation: Percent change in the quarterly average of the harmonized index of consumer prices at an annualized rate, staff calculations based on Statistical Office of the European Communities via Haver.

*Developing Asia real GDP growth: Quarterly percent change in real gross domestic product at an annualized rate, staff calculations based on data from Bank of Korea via Haver; National Bureau of Statistics of China via Haver; Indian Central Statistics Office via Haver; Census and Statistics Department of Hong Kong via Haver; and Taiwan Directorate-General of Budget, Accounting and Statistics via Haver.

*Developing Asia inflation: Percent change in the quarterly average of the consumer price index, or local equivalent, at an annualized rate, staff calculations based on data from National Bureau of Statistics of China via Haver; Indian Ministry of Statistics and Programme Implementation via Haver; Labour Bureau of India via Haver; Statistics Korea (KOSTAT) via Haver; Census and Statistics Department of Hong Kong via Haver; and Taiwan Directorate-General of Budget, Accounting and Statistics via Haver.

*Japan real GDP growth: Quarterly percent change in gross domestic product at an annualized rate from 1980 to present and percent change in gross domestic expenditure at an annualized rate prior to 1980, Cabinet Office of Japan via Haver.

*Japan inflation: Percent change in the quarterly average of the consumer price index at an annualized rate, based on data from the Ministry of Internal Affairs and Communications via Haver.

*U.K. real GDP growth: Quarterly percent change in gross domestic product at an annualized rate, U.K. Office for National Statistics via Haver.

*U.K. inflation: Percent change in the quarterly average of the consumer price index at an annualized rate from 1988 to present and percent change in the quarterly average of the retail prices index prior to 1988, staff calculations based on data from the U.K. Office for National Statistics via Haver.

Exchange rates: End-of-quarter exchange rates, H.10 Release (Foreign Exchange Rates), Federal Reserve Board.

Footnotes