Accessible versions of figures in Part 2

Table data presented with the Monetary Policy Report submitted to the Congress on March 1, 2011, pursuant to section 2B of the Federal Reserve Act

Figure 1. Change in Real Gross Domestic Product, 2004-10

Percent, annual rate

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Figure 2. Change in the Chain-Type Price Index for Personal Consumption Expenditures, 2004-11

Percent

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Figure 3. Real Personal Consumption Expenditures, 2004-11

Billions of chained (2005) dollars

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Figure 4. Personal Saving Rate, 1987-2010

Percent

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Figure 5. Change in Real Disposable Personal Income and in Real Wage and Salary Disbursements, 2004-10

Percent, annual rate

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Figure 6. Wealth-To-Income Ratio, 1987-2010

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Figure 7. Consumer Sentiment Indexes, 1997-2011

Data are plotted as two curves and are expressed as indexes (for the Conference Board data, 1985 = 100; for the Thomson Reuters/Michigan data, 1966 = 100). The Conference Board curve starts at about 120 in 1997, and the Thomson Reuters/Michigan curve starts slightly below 100. Both curves generally increase, with moderate fluctuations, until early 2000, when the Conference Board curve reaches about 145 and the Thomson Reuters/Michigan curve reaches about 110. In late 2000, both curves begin a sharp decline, which generally continues, with moderate fluctuations, until early 2003, when the Conference Board curve temporarily drops to about 60 and the Thomson Reuters/Michigan curve reaches about 80. From mid-2003 through mid-2007, the Conference Board curve generally trends up and reaches about 110 in mid-2007, while the Thomson Reuters/Michigan curve generally fluctuates within a range of about 85 to 95. From mid-2007 through early 2009, the curves decline sharply, on net, with Conference Board reaching near 20 and Thomson Reuters/Michigan a bit below 60. The curves then increase through mid-2009 and level out, with some moderate fluctuation, around 50 for Conference Board and 70 for Thomson Reuters/Michigan. Toward the end of 2010, both curves dip before shooting upward in the first two months of 2011. The end of the charted data for Conference Board is on the incline at about 70, and Thomson Reuters/Michigan jumps to almost 80.

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Figure 8. Household Debt Service, 1980-2010

Percent of disposable income

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Figure 9. Spreads of Asset-Backed Securities Yields Over Rates on Comparable-Maturity Interest Rate Swaps, 2007-11

Data are plotted as two curves and are expressed in basis points. One curve is the spread of automobile asset-backed securities (ABS), while the other shows the spread for credit card asset-backed securities. Both curves are near 0 basis points for the first six months of 2007 when the spreads begin their upward trend. By the end of 2007, credit card ABS spreads are hovering around 50, with auto ABS slightly higher. Both spreads continue higher until March 2008, when, after exceeding 100, both series decline approximately 30 basis points to a local trough in July 2008. From July 2008 through January 2009, both series have a dramatic run-up in spreads, peaking at over 500. In early 2009, the ABS spreads recede quickly and finish the year below 25. For 2010 and early 2011, spreads remain subdued, hovering below 25.

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Figure 10. Private Housing Starts, 1997-2011

Millions of units, annual rate

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Figure 11. Prices of Existing Single-Family Houses, 2001-10

Index value

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Figure 12. Mortgage Delinquency Rates, 2000-10

Percent

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Figure 13. Mortgage Interest Rates, 1995-2011

Percent

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Figure 14. Change in Real Business Fixed Investment, 2004-10

Percent, annual rate

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Figure 15. Change in Real Business Inventories, 2004-10

Billions of chained (2005) dollars, annual rate

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Figure 16. Delinquency Rates on Commercial Real Estate Loans, 1991-2011

Data are plotted as two series in an upper graph and two series in a lower graph. All data are expressed as percentages. The data for the top panel are for construction and land development loans and nonfarm nonresidential loans, while the bottom panel contains a series on commercial mortgage-backed securities (CMBS) and life insurance companies' delinquency rates.

In the top panel, delinquency rates for construction and land development loans begin in 1991 above 17 percent. They stay in the 15 to 17 percent range for the next two years before falling swiftly to between 0 and 5 in 1996. The nonfarm nonresidential rates take a similar path, but feature a much less severe drop in delinquency rates as they begin 1991 near 10. Both series remain between 0 and 3 until 2007. From 2007 through 2010, construction and land development delinquency rates skyrocket to their peak of 18. Nonfarm nonresidential delinquency rates also increase, but at a much slower pace and only peak at 5. Both series begin to decline slightly in the second half of 2010.

For the second graph, life insurance companies' delinquency rate moves upward from 5 in 1991 to nearly 8 in 1992 before sharply falling to approximately 0 in 1999, where it remains through 2010. The CMBS series, which begins in 1999 at less than 1, gradually increases until 2004, when it hits a local maximum of approximately 2. At that point, the CMBS series recedes to near 0 in 2008 before precipitously increasing to approximately 10 in January 2011.

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Figure 17. Selected Components of Net Financing for Nonfinancial Businesses, 2005-10

Billions of dollars, monthly rate

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Figure 18. Net Percentage of Domestic Banks Tightening Standards and Widening Spreads Over the Banks' Cost of Funds for Large and Medium-Sized Business Borrowers, 1998-2011

Percent

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Figure 19. Net Percentage of Small Businesses That Reported More Difficulty in Obtaining Credit, 1990-2011

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Figure 20. Components of Net Equity Issuance, 2005-10

Billions of dollars, monthly rate

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Figure 21. Federal Receipts and Expenditures, 1990-2010

Percent of nominal GDP

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Figure 22. Change in Real Government Expenditures on Consumption and Investment, 2004-10

Percent, annual rate

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Figure 23. Federal Government Debt Held By the Public, 1960-2010

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Figure 24. Change in Real Imports and Exports of Goods and Services, 2004-10

Percent, annual rate

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Figure 25. U.S. Trade and Current Account Balances, 2002-10

Percent of nominal GDP

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Figure 26. Prices of Oil and Nonfuel Commodities, 2006-11

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Figure 27. Net Saving, 1990-2010

Percent of nominal GDP

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Figure 28. Net Change in Private Payroll Employment, 2004-11

Thousands of jobs, 3-month moving average

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Figure 29. Civilian Unemployment Rate, 1977-2011

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Figure 30. Long-Term Unemployed, 1977-2011

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Figure 31. Labor Force Participation Rate, 1977-2011

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Figure 32. Change in Output per Hour, 1948-2010

Percent, annual rate

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Figure 33. Measures of Change in Hourly Compensation, 2000-10

Percent

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Figure 34. Alternative Measures of Underlying Price Changes in Personal Consumption Expenditures, 2005-11

Percent

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Figure 35. Interest Rates on Selected Treasury Securities, 2004-11

Percent

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Figure 36. Spreads of Corporate Bond Yields Over Comparable Off-The-Run Treasury Yields, by Securities Rating, 1997-2011

The data are plotted as three series expressed in percentage points: one for high-yield corporate bonds, one for BBB-rated corporate bonds, and the last for AA-rated corporate bonds.

The high-yield bond spread fluctuates between 2.6 and 16.5 percent. It begins around 3 in early 1997, rises to about 6 by late 1998, falls back in 1999, and then rises to a local peak near 8 three times: in 2000, 2001, and 2002. It generally falls to just under 4 by 2004, where it fluctuates within a relatively narrow range through mid-2007. It then rises at an accelerated pace peaking in late 2008 at a little more than 16, and subsequently decreases at a quick pace to slightly below 5 in early 2010, before increasing through mid-2010 to reach almost 6. It then slides for the remainder of 2010 and into 2011 before settling below 4.

The BBB and AA spreads exhibit similar patterns but fluctuate within narrower and lower ranges: the BBB between 0.7 and 6.6 and the AA between 0.4 and 4.1. They begin increasing in mid-2007 and peak in late 2008, the BBB at almost 7 and the AA around 4. In early 2010, the BBB and AA spreads start to tick slightly up, reaching levels of about 2.25 and 1.5, respectively, in mid-2010, where they remain for the next eight months.

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Figure 37. Secondary-Market Bid Pricing For Syndicated Loans, 2007-11

Data are plotted as a curve and are expressed as a percent of par value. The bid price begins at about 98 percent of par value in January 2007 and remains about level until about July 2007, when it drops to about 94 percent of par value. The bid price remains about level throughout 2007, and in January 2008, it begins a decline that dips to about 85 in mid-February 2008. The bid price remains level until late September 2008, when it begins to decline drastically bottoming out at about 60 in mid-December 2008. The bid price then begins a gradual rise and reaches about 96 in February 2011.

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Figure 38. Stock Price Index, 1995-2011

January 3, 2005 = 100

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Figure 39. Implied S&P 500 Volatility, 1995-2011

Percent

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Figure 40. Net Flows Into Mutual Funds, 2006-10

Billions of dollars, monthly rate

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Figure 41. Libor Minus Overnight Index Swap Rate, 2007-11

Data are plotted as two curves and are expressed in basis points. The curves for the one-month and the three-month Libor start at under 25 basis points in January 2007 and remain at about that level until early August 2007, at which point they begin a sharp increase that reaches about 90 in early September. The curves then vacillate between 25 and 125, with the one-month being more volatile, until May 2008. In late April 2008, the one-month spread begins to narrow to about 50, whereas the three-month spread stays about constant around 80. Then, in late September 2008, both the one-month and three-month spreads sharply spike, reaching approximately 350 in the second week of October. From mid-October to December 2008, the one-month spread dramatically narrows to around 25, while the three-month spread narrows to around 100. After January 2009, the one-month spread rises slightly above 25, peaking above 35 in mid-March, before gradually narrowing to around 10 in May, where it remains until the end of the year. The three-month spread continues to tighten in early 2009, reaching a bit below 100 in mid-January 2009. It then slightly increases back above 100 through the end of March, before narrowing very gradually to meet the one-month spread around 10 in mid-September 2009. The two spreads then remain about consistent near 10 through the end of April 2010. At this point, both spreads increase; the one-month increases slightly to around 15 in early May, where it remains through mid-July, whereas the three-month increases a bit more to reach above 30 at the end of May, where it remains through mid-July before declining to under 10 in September. Both curves remain flat thereafter for the following five months.

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Figure 42. Commercial Paper Spreads, 2007-11

Basis points

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Figure 43. Commercial Bank Profitability, 1988-2010

Percent, annual rate

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Figure 44. Spreads on Credit Default Swaps for Selected U.S. Banks, 2007-11

Data are plotted as two curves and are expressed in basis points. Spreads for large bank holding companies are about 15 basis points in January 2007. They remain level until mid-July 2007, after which they rise quickly and reach above 55 in mid-August before quickly declining to around 30 in mid-October. This decline is followed by an increase to around 75 that is reached by early November. Spreads fluctuate between 60 and 80 until early January 2008, when they begin a steep increase that peaks at about 210 in mid-March. After this peak, spreads decline quickly and dip to around 70 in mid-May. Spreads then begin another steep increase and reach about 150 in early September 2008. Spreads then begin a series of drastic fluctuations between 120 and 275 that continue through the end of February 2009. In early March, spreads shoot up and peak at almost 370. Spreads then fluctuate between 260 and 360 through April. They then begin a steep decline that reaches a trough of around 140 in early June. Spreads then increase in mid-July to about 180, and quickly drop to about 120 in early August before quickly increasing again to 160 in mid-August. Spreads then drop to about 100 in early September, and fluctuate between 100 and 120 before dropping to about 80 in December. Spreads then start a slow increase to reach almost 150 in mid-February 2010. Spreads then decrease until mid-April, reaching about 90, before beginning a steep increase to reach more than 200 at the beginning of May. Spreads then fluctuate greatly between about 140 and 200 through the middle of October 2010 before easing to approximately 125 in mid-February.

The spreads for other banks are about 15 in January 2007. They remain level until mid-July 2007, after which they begin to rise gradually and reach approximately 50 by January 2008. Spreads then begin to rise more sharply and reach around 110 by mid-April 2008. Spreads then decline to about 90 by the end of May, after which they increase sharply and peak at 170 in mid-July. Spreads decline quickly to about 150 and remain level until mid-September, when they shoot up to above 225 in early October. Spreads quickly decline at the end of October to about 160 and hover between about 160 and 200 until early January 2009, when they climb to about 220. Shortly thereafter, spreads return to around 160 and again hover between around 160 and 200 until late May 2009, after which they fall to below 140. Spreads quickly climb in June 2009 to about 180 and remain level through July before dropping sharply in the fall of 2009 to approximately 75. Spreads remain around 75 in most of December and January 2010 before increasing to about 125 in mid-February. Spreads then decline pretty consistently until they reach a trough of about 50 in mid-April. Spreads increase until the beginning of June to reach slightly above 100. They remain around that level until decreasing to 75 in mid-July, after which they slowly rise to reach approximately 100 in mid-February 2011.

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Figure 45. Equity Price Index for Banks, 2009-11

Data are plotted as one curve and are indexed to equal 100 on January 2, 2009. The equity index for banks begins at 100 in January 2009 and immediately and sharply declines to 54 before the end of the month. The index remains in that range for about six weeks before declining to 35 in early March 2009. The index then rebounds strongly to close the year near 100. In the beginning of 2010, the index dips slightly, followed by another torrid increase that places the index at approximately 120 in June 2010. Shortly thereafter, the index swiftly falls to the mid-80s in August 2010, where it slowly recovers until the beginning of 2011. In early 2011, the recovery gains more momentum and lifts the index above 110 in mid-February.

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Figure 46. Change in Total Bank Loans, 1990-2010

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Figure 47. M2 Growth Rate, 2005-10

Percent, annual rate

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Figure 48. U.S. Dollar Nominal Exchange Rate, Broad Index, 2006-11

December 31, 2007 = 100

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Figure 49. Yields on Benchmark Government Bonds in Selected Advanced Foreign Economies, 2008-11

Data are daily and are plotted as four curves. Each series is plotted as a percent, referencing the yield specific to 10-year government bonds. Data are shown for Canada, the United Kingdom, Germany, and Japan.

The yield on benchmark government bonds for Canada begins at 3.74 percent on July 1, 2008. The yield hovers near this value until mid-November 2008, when it drops abruptly to a low of 2.56 by the middle of January 2009. From here, the yield on government bonds for Canada exhibits a gradual rise until reaching a value of 3.72 in mid-April 2010. The yield declines modestly until reaching 2.69 in early October, then increases to a final value of 3.36 on February 22, 2011.

The yield on 10-year benchmark government bonds for the United Kingdom declines gradually from an initial value of 5.15 on July 1, 2008, to 3.02 at the beginning of January 2009. The yield briefly bounces up, decreases to 2.95 by the middle of March 2009, then increases to 4.02 by early June 2009. It remains there until mid-April 2010, when it begins a decline to a low of 2.85 on October 12, 2010, before rising to a final value of 3.63 by February 22, 2011.

The trend in yield for benchmark government bonds for Germany is comparable with that for the United Kingdom. The yield on government bonds for Germany declines from an initial value of 4.61 on July 8, 2008, to a low of 2.89 by the middle of January 2009. The series hovers at this level briefly before increasing to 3.70 by mid-June 2009. From here, the yield declines slowly to reach a low of 2.22 in early October 2010 before increasing steadily to its final value of 3.15 on February 22, 2011.

The yield on benchmark government bonds for Japan is markedly lower than the other three yields and displays much less volatility. This series takes an initial value of 1.68 on July 1, 2008. From here, the yield declines slowly to 1.18 by the beginning of January 2009. The series increases slightly to 1.42 by early April 2009, but experiences a very modest steady decline before reaching a low of 0.85 in early October 2010. It then increases modestly and steadily to its final value of 1.24 on February 22, 2011.

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Figure 50. Equity Indexes in Selected Advanced Foreign Economies, 2008-11

Data are daily and are plotted as four curves. Data are shown for Canada, the United Kingdom, the euro area, and Japan. Each series is indexed to equal 100 on June 30, 2008. The equity index for all initially drops steeply to below 70 by September 2008. Canada oscillates between 50 and 70 until the middle of 2009 when it begins a gradual increase to a final value of 96.52 on February 22, 2011. After its initial fall, the euro area oscillates between 50 and 70 until the middle of 2009, when it increases and begins to oscillate between 70 and 90 until reaching a final value of 90.15 on February 22, 2011. After its initial decline, Japan reaches a low of near 50 in March 2009 before increasing to almost 80 in July of 2009; it then begins to oscillate between 60 and 80 until reaching a final value of 72.47 on February 22, 2011. After the initial drop, the United Kingdom's index oscillates between 65 and 80 until July 2009, when it begins a gradual climb up passing 100 in March 2010; the index then falls slightly before continuing its upward trend to a final value of 108.84 on February 22, 2011.

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Figure 51. Aggregate Equity Indexes For Emerging Market Economies, 2008-11

Data are daily and are plotted as two curves. Data are shown for Latin America and emerging Asia. Each series is indexed to equal 100 on June 30, 2008. The Latin America equity index initially drops sharply to below 40 by early October 2008 and stays about that value until May 2009, when it begins to steadily increase to a final value of 95.48 on February 22, 2011. The emerging Asia equity index initially drops sharply to below 60 by early October 2008 and stays about that value until May 2009, when it begins to steadily increase to a final value of 114.15 on February 22, 2011.

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Figure 52. U.S. Dollar Exchange Rate Against Selected Major Currencies, 2009-11

December 31, 2008 = 100

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Figure 53. Net Foreign Purchases of U.S. Securities, 2006-10

Billions of dollars

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Figure 54. Net U.S. Purchases of Foreign Securities, 2006-10

Billions of dollars

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Figure 55. U.S. Net Financial Inflows, 2006-10

Billions of dollars

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Figure A. Government Debt Spreads For Peripheral European Economies, 2009-11

Data are weekly and are plotted as five curves. Each series is plotted as a percent. Data are shown for Greece, Ireland, Portugal, Italy, and Spain.

Greece begins in January 2009 at around 2.5 percent before dipping to a low of 1.13 in August 2009, but quickly climbs to 7.5 in May 2010. Greece then dips steeply but climbs again to 9.36 by September 2010; it dips steeply again, rises to a high of 9.69 the first week of January 2011, falls through the end of January, and increases again to 8.73 by February 25.

Ireland begins in January 2009 at 1.4 but quickly jumps to 2, where it remains relatively constant until April 2010 when it begins to increase. It eventually reaches 6 in November 2010 and stays near that value through February 25, 2011.

The remaining countries all start in January 2009 near 1 and remain relatively constant until April 2010, when they begin to increase. Portugal reaches 4 in November 2010 and stays near that value through February 25, 2011; Spain climbs to 2.1 in July 2010, falls, then rises again to 2.51 in December 2010 before decreasing slightly in 2011; and Italy levels out at around 1.5.

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Figure 56. Change in Consumer Prices for Major Foreign Economies, 2007-11

Percent

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Figure 57. Official or Targeted Interest Rates in Selected Advanced Foreign Economies, 2007-11

Percent

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