Accessible Version
Simulating the Macroeconomic Effects of Unconventional Monetary Policies Accessible Data
Figure 1: Illustrating the effects of evolving information sets
A: Unemployment Rate
Percent
| Quarter | LSAP | Expected Path as of Qtr 5 | Expected Path as of Qtr 7 |
|---|---|---|---|
| 1 | 3.518458 | ||
| 2 | 3.424176 | ||
| 3 | 3.32658 | ||
| 4 | 3.231262 | ||
| 5 | 3.73792 | 3.73792 | |
| 6 | 4.605066 | 3.784116 | |
| 7 | 5.705616 | 3.937061 | 5.705616 |
| 8 | 6.630275 | 4.012129 | 5.990056 |
| 9 | 6.357775 | 4.054704 | 6.093441 |
| 10 | 5.811724 | 4.06776 | 6.101184 |
| 11 | 5.589137 | 4.090242 | 6.054193 |
| 12 | 5.572345 | 4.095755 | 5.939456 |
| 13 | 5.513195 | 4.090569 | 5.786085 |
| 14 | 4.875245 | 4.076929 | 5.606613 |
| 15 | 4.555066 | 4.065121 | 5.420521 |
| 16 | 4.181944 | 4.058722 | 5.23992 |
| 17 | 4.280719 | 4.060026 | 5.073603 |
| 18 | 4.117787 | 4.067771 | 4.923106 |
| 19 | 4.184134 | 4.080831 | 4.788394 |
| 20 | 4.11758 | 4.098202 | 4.669317 |
| 21 | 4.120703 | 4.118943 | 4.56555 |
| 22 | 4.135629 | 4.142212 | 4.476554 |
| 23 | 4.168432 | 4.167276 | 4.401728 |
| 24 | 4.208398 | 4.19349 | 4.340406 |
| 25 | 4.254965 | 4.220311 | 4.291801 |
| 26 | 4.304231 | 4.2473 | 4.255033 |
| 27 | 4.353938 | 4.274102 | 4.229129 |
| 28 | 4.403079 | 4.300436 | 4.213039 |
| 29 | 4.450539 | 4.326102 | 4.2057 |
| 30 | 4.495487 | 4.350949 | 4.206012 |
| 31 | 4.537462 | 4.374872 | 4.212904 |
| 32 | 4.576113 | 4.3978 | 4.225321 |
| 33 | 4.611204 | 4.419687 | 4.24226 |
| 34 | 4.642634 | 4.440514 | 4.262763 |
| 35 | 4.670401 | 4.460275 | 4.285962 |
| 36 | 4.694541 | 4.478965 | 4.311071 |
| 37 | 4.7152 | 4.496622 | 4.337431 |
| 38 | 4.73253 | 4.513272 | 4.364447 |
| 39 | 4.746722 | 4.528945 | 4.391633 |
| 40 | 4.757984 | 4.54368 | 4.41857 |
B: 4Q Core PCE Inflation
Percent (annual rate)
| Quarter | LSAP | Expected Path as of Qtr 5 | Expected Path as of Qtr 7 |
|---|---|---|---|
| 1 | 1.970626 | ||
| 2 | 1.91846 | ||
| 3 | 1.837271 | ||
| 4 | 1.765858 | ||
| 5 | 1.671307 | 1.671307 | |
| 6 | 1.291364 | 1.577073 | |
| 7 | 0.870756 | 1.469408 | 0.870756 |
| 8 | 0.833133 | 1.433219 | 0.623994 |
| 9 | 0.940987 | 1.466624 | 0.510509 |
| 10 | 1.157057 | 1.50513 | 0.726317 |
| 11 | 1.427454 | 1.512284 | 0.960749 |
| 12 | 1.487809 | 1.53544 | 1.121989 |
| 13 | 1.43914 | 1.585332 | 1.253725 |
| 14 | 1.519906 | 1.635978 | 1.351716 |
| 15 | 1.677498 | 1.677276 | 1.419512 |
| 16 | 1.737038 | 1.710793 | 1.466984 |
| 17 | 1.90959 | 1.737634 | 1.500226 |
| 18 | 2.136363 | 1.758588 | 1.523073 |
| 19 | 2.121398 | 1.779488 | 1.543272 |
| 20 | 2.047201 | 1.79935 | 1.561098 |
| 21 | 1.871321 | 1.817837 | 1.577076 |
| 22 | 1.662298 | 1.834967 | 1.591838 |
| 23 | 1.530941 | 1.84838 | 1.603457 |
| 24 | 1.450902 | 1.859193 | 1.613339 |
| 25 | 1.404859 | 1.868207 | 1.622458 |
| 26 | 1.381374 | 1.876001 | 1.631474 |
| 27 | 1.372856 | 1.882986 | 1.640806 |
| 28 | 1.374274 | 1.889495 | 1.650738 |
| 29 | 1.382193 | 1.895694 | 1.661348 |
| 30 | 1.394292 | 1.901688 | 1.672628 |
| 31 | 1.408968 | 1.907535 | 1.684506 |
| 32 | 1.425048 | 1.913213 | 1.696823 |
| 33 | 1.441756 | 1.918746 | 1.709466 |
| 34 | 1.458525 | 1.924129 | 1.722298 |
| 35 | 1.474941 | 1.929343 | 1.735173 |
| 36 | 1.490707 | 1.934363 | 1.747949 |
| 37 | 1.50562 | 1.939162 | 1.760492 |
| 38 | 1.519555 | 1.943718 | 1.772683 |
| 39 | 1.532449 | 1.948011 | 1.784419 |
| 40 | 1.544292 | 1.95203 | 1.795614 |
C: Federal Funds Rate
Percent (annual rate)
| Quarter | LSAP | Expected Path as of Qtr 5 | Expected Path as of Qtr 7 |
|---|---|---|---|
| 1 | 2.180566 | ||
| 2 | 2.552799 | ||
| 3 | 2.729709 | ||
| 4 | 2.906091 | ||
| 5 | 2.905649 | 2.905649 | |
| 6 | 1.284572 | 2.870829 | |
| 7 | 0.125057 | 2.786909 | 0.125057 |
| 8 | 0.125036 | 2.705591 | 0.12774 |
| 9 | 0.124982 | 2.640623 | 0.121269 |
| 10 | 0.124949 | 2.598329 | 0.116899 |
| 11 | 0.165964 | 2.568632 | 0.128202 |
| 12 | 0.253665 | 2.561591 | 0.142303 |
| 13 | 0.491894 | 2.581275 | 0.143734 |
| 14 | 0.857726 | 2.624959 | 0.115001 |
| 15 | 1.291785 | 2.683404 | 0.156358 |
| 16 | 1.73518 | 2.749321 | 0.272241 |
| 17 | 2.185068 | 2.81698 | 0.437089 |
| 18 | 2.666711 | 2.882017 | 0.634545 |
| 19 | 3.059235 | 2.942291 | 0.85226 |
| 20 | 3.384263 | 2.996137 | 1.079019 |
| 21 | 3.598539 | 3.042434 | 1.306028 |
| 22 | 3.707543 | 3.080588 | 1.526603 |
| 23 | 3.738275 | 3.109935 | 1.735312 |
| 24 | 3.713388 | 3.130439 | 1.928449 |
| 25 | 3.648673 | 3.142498 | 2.103669 |
| 26 | 3.556515 | 3.146793 | 2.259695 |
| 27 | 3.446462 | 3.144179 | 2.396085 |
| 28 | 3.325792 | 3.135602 | 2.513057 |
| 29 | 3.200078 | 3.122019 | 2.611297 |
| 30 | 3.073575 | 3.104354 | 2.691845 |
| 31 | 2.949471 | 3.083472 | 2.755981 |
| 32 | 2.830097 | 3.060146 | 2.805134 |
| 33 | 2.717118 | 3.035066 | 2.840823 |
| 34 | 2.611658 | 3.008831 | 2.864604 |
| 35 | 2.514408 | 2.981948 | 2.878017 |
| 36 | 2.425712 | 2.954835 | 2.882541 |
| 37 | 2.345642 | 2.927828 | 2.87957 |
| 38 | 2.274067 | 2.901193 | 2.87039 |
| 39 | 2.210701 | 2.875129 | 2.856168 |
| 40 | 2.155153 | 2.849785 | 2.837945 |
D: 10-year Treasury Yield
Percent (annual rate)
| Quarter | LSAP | Expected Path as of Qtr 5 | Expected Path as of Qtr 7 |
|---|---|---|---|
| 1 | 3.155918 | ||
| 2 | 3.242916 | ||
| 3 | 3.119012 | ||
| 4 | 3.598203 | ||
| 5 | 3.617702 | 3.617702 | |
| 6 | 3.366037 | 3.686673 | |
| 7 | 2.417799 | 3.729087 | 2.417799 |
| 8 | 2.465421 | 3.755238 | 2.421997 |
| 9 | 1.859993 | 3.773736 | 2.431949 |
| 10 | 1.932219 | 3.803013 | 2.466 |
| 11 | 1.55916 | 3.800175 | 2.481319 |
| 12 | 2.141368 | 3.798575 | 2.509397 |
| 13 | 2.063291 | 3.797566 | 2.549829 |
| 14 | 2.258568 | 3.796339 | 2.602441 |
| 15 | 2.61375 | 3.79412 | 2.66131 |
| 16 | 3.018253 | 3.790428 | 2.724574 |
| 17 | 3.393631 | 3.784991 | 2.789591 |
| 18 | 3.316546 | 3.777705 | 2.854475 |
| 19 | 3.317498 | 3.768598 | 2.916884 |
| 20 | 3.306152 | 3.757793 | 2.9744 |
| 21 | 3.283566 | 3.745438 | 3.025964 |
| 22 | 3.252849 | 3.731714 | 3.071149 |
| 23 | 3.217311 | 3.71682 | 3.110197 |
| 24 | 3.179244 | 3.700977 | 3.143207 |
| 25 | 3.140441 | 3.684421 | 3.170589 |
| 26 | 3.102093 | 3.667379 | 3.192679 |
| 27 | 3.065144 | 3.650061 | 3.209976 |
| 28 | 3.030355 | 3.632661 | 3.223137 |
| 29 | 2.997939 | 3.615347 | 3.23248 |
| 30 | 2.968216 | 3.59826 | 3.238642 |
| 31 | 2.941168 | 3.581515 | 3.241955 |
| 32 | 2.916746 | 3.565206 | 3.242796 |
| 33 | 2.894688 | 3.549405 | 3.241357 |
| 34 | 2.875038 | 3.534166 | 3.238114 |
| 35 | 2.857557 | 3.519522 | 3.233524 |
| 36 | 2.842147 | 3.505497 | 3.227883 |
| 37 | 2.828498 | 3.492099 | 3.221385 |
| 38 | 2.816559 | 3.479329 | 3.214417 |
| 39 | 2.806079 | 3.467181 | 3.207034 |
| 40 | 2.796687 | 3.455645 | 3.199376 |
E: Term Premium Effect
Percentage points (annual rate)
| Quarter | LSAP | Expected Path as of Qtr 5 | Expected Path as of Qtr 7 |
|---|---|---|---|
| 1 | -0.80696 | ||
| 2 | -0.76922 | ||
| 3 | -0.73999 | ||
| 4 | -0.7237 | ||
| 5 | -0.71296 | -0.71296 | |
| 6 | -0.72058 | -0.68849 | -0.72058 |
| 7 | -1.54698 | -0.6652 | -1.54698 |
| 8 | -1.44123 | -0.64373 | -1.54344 |
| 9 | -1.20232 | -0.62361 | -1.53108 |
| 10 | -1.17006 | -0.60468 | -1.51023 |
| 11 | -1.12931 | -0.5868 | -1.48099 |
| 12 | -1.1067 | -0.57079 | -1.44567 |
| 13 | -1.06867 | -0.55599 | -1.40371 |
| 14 | -1.0292 | -0.54193 | -1.35501 |
| 15 | -0.98864 | -0.52945 | -1.30716 |
| 16 | -0.96923 | -0.51854 | -1.25968 |
| 17 | -0.94701 | -0.50883 | -1.21235 |
| 18 | -0.90497 | -0.50054 | -1.1655 |
| 19 | -0.87127 | -0.49345 | -1.11999 |
| 20 | -0.83912 | -0.48659 | -1.07638 |
| 21 | -0.80822 | -0.47905 | -1.03426 |
| 22 | -0.77854 | -0.47086 | -0.99377 |
| 23 | -0.74996 | -0.4622 | -0.95475 |
| 24 | -0.72318 | -0.45384 | -0.91794 |
| 25 | -0.69764 | -0.4454 | -0.88274 |
| 26 | -0.67349 | -0.43705 | -0.8493 |
| 27 | -0.65103 | -0.42922 | -0.8179 |
| 28 | -0.63009 | -0.42196 | -0.78831 |
| 29 | -0.61021 | -0.41466 | -0.76003 |
| 30 | -0.59147 | -0.40754 | -0.73302 |
| 31 | -0.57399 | -0.40066 | -0.70741 |
| 32 | -0.55791 | -0.39413 | -0.68329 |
| 33 | -0.54291 | -0.38746 | -0.66034 |
| 34 | -0.5289 | -0.38077 | -0.6385 |
| 35 | -0.51623 | -0.37437 | -0.6179 |
| 36 | -0.50498 | -0.36846 | -0.59868 |
| 37 | -0.49487 | -0.36266 | -0.58047 |
| 38 | -0.48596 | -0.35723 | -0.56333 |
| 39 | -0.47822 | -0.35212 | -0.54728 |
| 40 | -0.47169 | -0.34722 | -0.53221 |
F: Assets
Billions of dollars
| Quarter | LSAP | Expected Path as of Qtr 5 | Expected Path as of Qtr 7 |
|---|---|---|---|
| 1 | 4287.939 | ||
| 2 | 4183.286 | ||
| 3 | 4067.452 | ||
| 4 | 3959.451 | ||
| 5 | 3836.727 | 3836.727 | |
| 6 | 3724.181 | 3725.927 | |
| 7 | 3857.659 | 3631.54 | 3857.659 |
| 8 | 4122.739 | 3537.646 | 4128.085 |
| 9 | 4395.033 | 3444.448 | 4399.555 |
| 10 | 4676.933 | 3346.122 | 4672.246 |
| 11 | 4768.57 | 3275.528 | 4940.284 |
| 12 | 4767.061 | 3194.651 | 5196.597 |
| 13 | 4765.582 | 3104.86 | 5446.99 |
| 14 | 4763.135 | 3083.083 | 5530.407 |
| 15 | 4765.764 | 3100.715 | 5531.702 |
| 16 | 4768.412 | 3118.31 | 5531.876 |
| 17 | 4765.649 | 3135.607 | 5528.258 |
| 18 | 4724.405 | 3152.992 | 5486.955 |
| 19 | 4648.787 | 3170.216 | 5408.919 |
| 20 | 4564.144 | 3188.027 | 5322.062 |
| 21 | 4469.174 | 3205.976 | 5225.181 |
| 22 | 4386.239 | 3224.522 | 5140.99 |
| 23 | 4311.086 | 3243.682 | 5065.441 |
| 24 | 4229.696 | 3263.356 | 4984.182 |
| 25 | 4141.506 | 3283.141 | 4896.49 |
| 26 | 4054.139 | 3303.616 | 4810.112 |
| 27 | 3964.884 | 3324.708 | 4721.267 |
| 28 | 3868.877 | 3346.256 | 4623.031 |
| 29 | 3778.537 | 3367.727 | 4523.948 |
| 30 | 3687.024 | 3389.867 | 4419.688 |
| 31 | 3607.889 | 3412.471 | 4329.769 |
| 32 | 3519.637 | 3435.456 | 4232.093 |
| 33 | 3465.244 | 3458.283 | 4142.741 |
| 34 | 3481.747 | 3481.747 | 4054.236 |
| 35 | 3505.487 | 3505.487 | 3961.658 |
| 36 | 3529.815 | 3529.815 | 3866.809 |
| 37 | 3554.083 | 3554.083 | 3780.403 |
| 38 | 3578.981 | 3578.981 | 3697.247 |
| 39 | 3604.598 | 3604.598 | 3630.588 |
| 40 | 3630.462 | 3630.462 | 3630.462 |
Note: The solid black line is the ex-post path, the dash-dotted green line is the projected path conditional on information as of the quarter before the ELB binds, and the dashed red line is the projected path conditional on information as of the quarter when the ELB first binds.
Figure 2: Illustrating convergence
A: Assets
Billions of dollars
| Quarter | First Iteration | Second Iteration | Final Iteration (Forecast as of Qtr 7) |
|---|---|---|---|
| 1 | 4287.939 | 4287.939 | 4287.939 |
| 2 | 4183.286 | 4183.286 | 4183.286 |
| 3 | 4067.452 | 4067.452 | 4067.452 |
| 4 | 3959.451 | 3959.451 | 3959.451 |
| 5 | 3836.727 | 3836.727 | 3836.727 |
| 6 | 3724.181 | 3724.181 | 3724.181 |
| 7 | 3851.784 | 3858.154 | 3857.659 |
| 8 | 4113.708 | 4129.242 | 4128.085 |
| 9 | 4375.328 | 4402.012 | 4399.555 |
| 10 | 4637.664 | 4676.401 | 4672.246 |
| 11 | 4896.014 | 4946.315 | 4940.284 |
| 12 | 5144.576 | 5204.382 | 5196.597 |
| 13 | 5388.996 | 5456.299 | 5446.99 |
| 14 | 5634.447 | 5540.449 | 5530.407 |
| 15 | 5880.965 | 5541.826 | 5531.702 |
| 16 | 5963.427 | 5542.216 | 5531.876 |
| 17 | 5961.081 | 5538.506 | 5528.258 |
| 18 | 5960.079 | 5497.627 | 5486.955 |
| 19 | 5960.675 | 5417.879 | 5408.919 |
| 20 | 5920.52 | 5329.476 | 5322.062 |
| 21 | 5827.956 | 5231.153 | 5225.181 |
| 22 | 5744.701 | 5145.306 | 5140.99 |
| 23 | 5669.443 | 5068.097 | 5065.441 |
| 24 | 5588.308 | 4985.62 | 4984.182 |
| 25 | 5500.455 | 4896.927 | 4896.49 |
| 26 | 5409.595 | 4809.495 | 4810.112 |
| 27 | 5316.13 | 4719.52 | 4721.267 |
| 28 | 5215.26 | 4620.456 | 4623.031 |
| 29 | 5115.21 | 4520.658 | 4523.948 |
| 30 | 5007.961 | 4415.632 | 4419.688 |
| 31 | 4910.588 | 4324.887 | 4329.769 |
| 32 | 4803.731 | 4226.61 | 4232.093 |
| 33 | 4705.282 | 4136.753 | 4142.741 |
| 34 | 4607.085 | 4047.701 | 4054.236 |
| 35 | 4505.557 | 3954.526 | 3961.658 |
| 36 | 4403.995 | 3859.255 | 3866.809 |
| 37 | 4310.923 | 3772.509 | 3780.403 |
| 38 | 4216.191 | 3688.975 | 3697.247 |
| 39 | 4135.424 | 3624.83 | 3630.588 |
| 40 | 4058.11 | 3630.462 | 3630.462 |
B: Term Premium Effect
Percentage points (annual rate)
| Quarter | First Iteration | Second Iteration | Final Iteration (Forecast as of Qtr 7) |
|---|---|---|---|
| 1 | -0.76922 | -0.76922 | -0.76922 |
| 2 | -0.73999 | -0.73999 | -0.73999 |
| 3 | -0.7237 | -0.7237 | -0.7237 |
| 4 | -0.71296 | -0.71296 | -0.71296 |
| 5 | -0.72058 | -0.72058 | -0.72058 |
| 6 | -1.7423 | -1.53104 | -1.54368 |
| 7 | -1.7555 | -1.53383 | -1.54698 |
| 8 | -1.76079 | -1.53005 | -1.54344 |
| 9 | -1.75701 | -1.51754 | -1.53108 |
| 10 | -1.74448 | -1.49661 | -1.51023 |
| 11 | -1.72329 | -1.46737 | -1.48099 |
| 12 | -1.69574 | -1.43212 | -1.44567 |
| 13 | -1.66123 | -1.39029 | -1.40371 |
| 14 | -1.61967 | -1.34179 | -1.35501 |
| 15 | -1.5722 | -1.29413 | -1.30716 |
| 16 | -1.5186 | -1.24687 | -1.25968 |
| 17 | -1.46528 | -1.19974 | -1.21235 |
| 18 | -1.4126 | -1.1531 | -1.1655 |
| 19 | -1.36026 | -1.10777 | -1.11999 |
| 20 | -1.30863 | -1.06437 | -1.07638 |
| 21 | -1.25838 | -1.02246 | -1.03426 |
| 22 | -1.20995 | -0.98219 | -0.99377 |
| 23 | -1.1632 | -0.9434 | -0.95475 |
| 24 | -1.11887 | -0.90682 | -0.91794 |
| 25 | -1.07637 | -0.87185 | -0.88274 |
| 26 | -1.03586 | -0.83865 | -0.8493 |
| 27 | -0.99759 | -0.80748 | -0.8179 |
| 28 | -0.96136 | -0.77813 | -0.78831 |
| 29 | -0.92665 | -0.75007 | -0.76003 |
| 30 | -0.89344 | -0.7233 | -0.73302 |
| 31 | -0.86159 | -0.69792 | -0.70741 |
| 32 | -0.83118 | -0.67403 | -0.68329 |
| 33 | -0.80203 | -0.65131 | -0.66034 |
| 34 | -0.7741 | -0.6297 | -0.6385 |
| 35 | -0.7475 | -0.60934 | -0.6179 |
| 36 | -0.72235 | -0.59034 | -0.59868 |
| 37 | -0.69832 | -0.57237 | -0.58047 |
| 38 | -0.67544 | -0.55546 | -0.56333 |
| 39 | -0.65367 | -0.53964 | -0.54728 |
| 40 | -0.63291 | -0.52479 | -0.53221 |
Note: The solid blue lines indicate the projected paths for the Federal Reserve’s balance sheet (top panel) and the TPE (bottom panel) in the first iteration. The dotted blue lines show the paths for the second iteration. The dashed red lines show the outcomes after the final iteration.
Last Update:
July 20, 2018