Accessible Version
Model-Based Measures of ELB Risk Accessible Data
Figure 1: Stochastic simulations around the SPD-consistent projection: 2017:Q2
The solid black line shows the history of the federal funds rate from 2016:Q1 to 2017:Q1 and the baseline projection of the federal funds rate from 2017:Q2 to 2020:Q2 that are consistent with the Survey of Primary Dealers (SPD). The dark and light shaded areas show the 70-percent and the 90-percent confidence intervals around the SPD-consistent baseline projection, respectively.
Figure 2: ELB Risk: Past and Future
The left panel shows the evolution of three ELB risk measures from 2016:Q1 to 2017:Q2, whereas the right panel shows the projected path of these ELB risk measures up to 20219:Q4. In each panel, solid black, dashed red, dot-dashed blue lines are for the ELB risk measures associated with projections consistent with SPD, Survey of Professional Forecasters (SPF), and Summary of Economic Projections (SEP), respectively.
Figure 3: Comparing projections of the federal funds rate (16:Q2 versus 16:Q3)
The top-left, the top-right, and the bottom-left panel show the projections of the federal funds rate consistent with SPD, SPF, and SEP, respectively, for the first twelve quarters in 2016:Q2 and 2016:Q3. In each panel, the solid black line and the dashed red line show the projections from 2016:Q2 and 2016:Q3, respectively.
Figure 4: Sensitivity Analysis
Top-left and top-right panels show the evolution and the projection of ELB risk measures, respectively, when FRB/US stochastic simulations are conducted using the historical residuals from 1990:q1 to 2015:Q4. Bottom-left and bottom-right panels show the evolution and the projection of ELB risk measures, respectively, when FRB/US stochastic simulations are conducted using an inertial interest-rate feedback rule. In each panel, solid black, dashed red, and dot-dashed blue lines are for the ELB risk measures associated with SPD-consistent, SPF-consistent, and SEP-consistent projections, respectively.
Figure 5: Answer to the SPD question
Dot-dashed red line shows the evolution of the model-based ELB risk measure associated with the SPD-consistent projection from 2016:Q1 to 2017:Q2. The solid black line shows the evolution of the median response in the SPD to the question asking the respondent's subjective assessment that the federal funds rate will return to the ELB in next three years. Two dashed black lines show the evolution of 25th- and 75th-percentile responses to the same question.