Accessible Version

Overview of financial system vulnerabilities

Asset valuations

  • Prices of risky assets generally fell amid a less favorable outlook and rising interest rates.
  • Risk premiums in equity and corporate bond markets were near the middle of their historical distributions.
  • Real estate valuations remained very elevated even though activity weakened and price increases slowed markedly.

Borrowing by businesses and households

  • Although debt of nonfinancial businesses and households grew in the first half of 2022, the ratio of debt to gross domestic product (GDP) was little changed and remained at a moderate level.
  • Interest coverage ratios for large businesses reached historically high levels, and debt issuance by the riskiest companies slowed. The business debt-to-GDP ratio remained high.
  • Household debt was at modest levels relative to GDP and concentrated among prime-rated borrowers.

Leverage in the financial sector

  • Banks’ risk-based capital ratios have remained in the middle of the range that has prevailed since 2010, and stress tests show the system remains resilient to a severe recession.
  • Leverage was somewhat elevated at hedge funds, and bank lending to the broader set of nonbank financial institutions continued to grow.
  • Monitoring some parts of the nonbank financial sector, where hidden pockets of leverage could amplify adverse shocks, could be enhanced with more comprehensive and timely data.

Funding risks

  • Domestic banks maintained high levels of liquid assets and stable funding.
  • Structural vulnerabilities persist at money market funds, some other mutual funds, and stablecoins.
  • Central counterparties maintain elevated margin requirements amid high market volatility, which clearing members have continued to meet.
Return to text
Survey of salient risks to the financial system

Survey respondents cited several emerging and existing events or conditions as presenting risks to the U.S. financial system and the broader global economy. For more information, see the box “Survey of Salient Risks to Financial Stability.”

  Persistent inflation; monetary tightening Russia’s invasion of Ukraine Market liquidity strains and volatility Higher energy prices China-Taiwan conflict
Nov-22 62% of contacts surveyed 62% of contacts surveyed 54% of contacts surveyed 54% of contacts surveyed 42% of contacts surveyed
May-22 68% of contacts surveyed 77% of contacts surveyed Not cited 41% of contacts surveyed 14% of contacts surveyed
Return to text
Figure 1.1 Nominal Treasury yields increased to levels seen before 2008

Percent, annual rate

Date 2-year 10-year
Jan 1997 6.01 6.58
Feb 1997 5.9 6.42
Mar 1997 6.22 6.69
Apr 1997 6.45 6.89
May 1997 6.28 6.71
Jun 1997 6.09 6.49
Jul 1997 5.89 6.22
Aug 1997 5.94 6.3
Sep 1997 5.88 6.21
Oct 1997 5.77 6.03
Nov 1997 5.71 5.88
Dec 1997 5.72 5.81
Jan 1998 5.36 5.54
Feb 1998 5.42 5.57
Mar 1998 5.56 5.65
Apr 1998 5.56 5.64
May 1998 5.59 5.65
Jun 1998 5.52 5.5
Jul 1998 5.46 5.46
Aug 1998 5.27 5.34
Sep 1998 4.67 4.81
Oct 1998 4.09 4.53
Nov 1998 4.54 4.83
Dec 1998 4.51 4.65
Jan 1999 4.62 4.72
Feb 1999 4.88 5
Mar 1999 5.05 5.23
Apr 1999 4.98 5.18
May 1999 5.25 5.54
Jun 1999 5.62 5.9
Jul 1999 5.55 5.79
Aug 1999 5.68 5.94
Sep 1999 5.66 5.92
Oct 1999 5.86 6.11
Nov 1999 5.86 6.03
Dec 1999 6.1 6.28
Jan 2000 6.44 6.66
Feb 2000 6.61 6.52
Mar 2000 6.53 6.26
Apr 2000 6.4 5.99
May 2000 6.81 6.44
Jun 2000 6.48 6.1
Jul 2000 6.34 6.05
Aug 2000 6.23 5.83
Sep 2000 6.08 5.8
Oct 2000 5.91 5.74
Nov 2000 5.88 5.72
Dec 2000 5.35 5.24
Jan 2001 4.76 5.16
Feb 2001 4.66 5.1
Mar 2001 4.34 4.89
Apr 2001 4.23 5.14
May 2001 4.26 5.39
Jun 2001 4.08 5.28
Jul 2001 4.04 5.24
Aug 2001 3.76 4.97
Sep 2001 3.12 4.73
Oct 2001 2.73 4.57
Nov 2001 2.78 4.65
Dec 2001 3.11 5.09
Jan 2002 3.03 5.04
Feb 2002 3.02 4.91
Mar 2002 3.56 5.28
Apr 2002 3.42 5.21
May 2002 3.26 5.16
Jun 2002 2.99 4.93
Jul 2002 2.56 4.65
Aug 2002 2.13 4.26
Sep 2002 2 3.87
Oct 2002 1.91 3.94
Nov 2002 1.92 4.05
Dec 2002 1.84 4.03
Jan 2003 1.74 4.05
Feb 2003 1.63 3.9
Mar 2003 1.57 3.81
Apr 2003 1.62 3.96
May 2003 1.42 3.57
Jun 2003 1.23 3.33
Jul 2003 1.47 3.98
Aug 2003 1.86 4.45
Sep 2003 1.71 4.27
Oct 2003 1.75 4.29
Nov 2003 1.93 4.3
Dec 2003 1.91 4.27
Jan 2004 1.76 4.15
Feb 2004 1.74 4.08
Mar 2004 1.58 3.83
Apr 2004 2.07 4.35
May 2004 2.53 4.72
Jun 2004 2.76 4.73
Jul 2004 2.64 4.5
Aug 2004 2.51 4.28
Sep 2004 2.53 4.13
Oct 2004 2.58 4.1
Nov 2004 2.85 4.19
Dec 2004 3.01 4.23
Jan 2005 3.22 4.22
Feb 2005 3.38 4.17
Mar 2005 3.73 4.5
Apr 2005 3.65 4.34
May 2005 3.64 4.14
Jun 2005 3.64 4
Jul 2005 3.87 4.18
Aug 2005 4.04 4.26
Sep 2005 3.95 4.2
Oct 2005 4.27 4.46
Nov 2005 4.42 4.54
Dec 2005 4.4 4.47
Jan 2006 4.4 4.42
Feb 2006 4.67 4.57
Mar 2006 4.73 4.72
Apr 2006 4.89 4.99
May 2006 4.97 5.11
Jun 2006 5.12 5.11
Jul 2006 5.12 5.09
Aug 2006 4.9 4.88
Sep 2006 4.77 4.72
Oct 2006 4.8 4.73
Nov 2006 4.74 4.6
Dec 2006 4.67 4.56
Jan 2007 4.88 4.76
Feb 2007 4.85 4.72
Mar 2007 4.57 4.56
Apr 2007 4.67 4.69
May 2007 4.77 4.75
Jun 2007 4.98 5.1
Jul 2007 4.82 5
Aug 2007 4.31 4.67
Sep 2007 4.01 4.52
Oct 2007 3.97 4.53
Nov 2007 3.34 4.15
Dec 2007 3.12 4.1
Jan 2008 2.48 3.74
Feb 2008 1.97 3.74
Mar 2008 1.62 3.51
Apr 2008 2.05 3.68
May 2008 2.45 3.88
Jun 2008 2.77 4.1
Jul 2008 2.57 4.01
Aug 2008 2.42 3.89
Sep 2008 2.08 3.69
Oct 2008 1.61 3.81
Nov 2008 1.21 3.53
Dec 2008 0.82 2.42
Jan 2009 0.81 2.52
Feb 2009 0.98 2.87
Mar 2009 0.93 2.82
Apr 2009 0.93 2.93
May 2009 0.93 3.29
Jun 2009 1.18 3.72
Jul 2009 1.02 3.56
Aug 2009 1.12 3.59
Sep 2009 0.96 3.4
Oct 2009 0.95 3.39
Nov 2009 0.8 3.4
Dec 2009 0.87 3.59
Jan 2010 0.93 3.73
Feb 2010 0.86 3.69
Mar 2010 0.96 3.73
Apr 2010 1.06 3.85
May 2010 0.83 3.42
Jun 2010 0.72 3.2
Jul 2010 0.62 3.01
Aug 2010 0.52 2.7
Sep 2010 0.48 2.65
Oct 2010 0.38 2.54
Nov 2010 0.45 2.76
Dec 2010 0.62 3.29
Jan 2011 0.61 3.39
Feb 2011 0.77 3.58
Mar 2011 0.7 3.41
Apr 2011 0.73 3.46
May 2011 0.56 3.17
Jun 2011 0.41 3
Jul 2011 0.41 3
Aug 2011 0.23 2.3
Sep 2011 0.21 1.98
Oct 2011 0.28 2.15
Nov 2011 0.25 2.01
Dec 2011 0.26 1.98
Jan 2012 0.24 1.97
Feb 2012 0.28 1.97
Mar 2012 0.34 2.17
Apr 2012 0.29 2.05
May 2012 0.29 1.8
Jun 2012 0.29 1.62
Jul 2012 0.25 1.53
Aug 2012 0.27 1.68
Sep 2012 0.26 1.72
Oct 2012 0.28 1.75
Nov 2012 0.27 1.65
Dec 2012 0.26 1.72
Jan 2013 0.27 1.91
Feb 2013 0.27 1.98
Mar 2013 0.26 1.96
Apr 2013 0.23 1.76
May 2013 0.25 1.93
Jun 2013 0.33 2.3
Jul 2013 0.34 2.58
Aug 2013 0.36 2.74
Sep 2013 0.4 2.81
Oct 2013 0.34 2.62
Nov 2013 0.3 2.72
Dec 2013 0.34 2.9
Jan 2014 0.39 2.86
Feb 2014 0.33 2.71
Mar 2014 0.4 2.72
Apr 2014 0.42 2.71
May 2014 0.39 2.56
Jun 2014 0.45 2.6
Jul 2014 0.51 2.54
Aug 2014 0.47 2.42
Sep 2014 0.57 2.53
Oct 2014 0.45 2.3
Nov 2014 0.53 2.33
Dec 2014 0.64 2.21
Jan 2015 0.55 1.88
Feb 2015 0.62 1.98
Mar 2015 0.64 2.04
Apr 2015 0.54 1.94
May 2015 0.61 2.2
Jun 2015 0.69 2.36
Jul 2015 0.67 2.32
Aug 2015 0.7 2.17
Sep 2015 0.71 2.17
Oct 2015 0.64 2.07
Nov 2015 0.88 2.26
Dec 2015 0.98 2.24
Jan 2016 0.9 2.09
Feb 2016 0.73 1.78
Mar 2016 0.88 1.89
Apr 2016 0.77 1.81
May 2016 0.82 1.81
Jun 2016 0.73 1.64
Jul 2016 0.67 1.5
Aug 2016 0.74 1.56
Sep 2016 0.77 1.63
Oct 2016 0.84 1.76
Nov 2016 0.98 2.14
Dec 2016 1.2 2.49
Jan 2017 1.21 2.43
Feb 2017 1.2 2.42
Mar 2017 1.31 2.48
Apr 2017 1.24 2.3
May 2017 1.3 2.3
Jun 2017 1.34 2.19
Jul 2017 1.37 2.32
Aug 2017 1.34 2.21
Sep 2017 1.38 2.2
Oct 2017 1.55 2.36
Nov 2017 1.7 2.35
Dec 2017 1.84 2.4
Jan 2018 2.03 2.58
Feb 2018 2.18 2.86
Mar 2018 2.28 2.84
Apr 2018 2.38 2.87
May 2018 2.51 2.98
Jun 2018 2.53 2.91
Jul 2018 2.61 2.89
Aug 2018 2.64 2.89
Sep 2018 2.77 3
Oct 2018 2.86 3.15
Nov 2018 2.86 3.12
Dec 2018 2.68 2.83
Jan 2019 2.54 2.71
Feb 2019 2.5 2.68
Mar 2019 2.41 2.57
Apr 2019 2.34 2.53
May 2019 2.21 2.4
Jun 2019 1.81 2.07
Jul 2019 1.84 2.06
Aug 2019 1.57 1.63
Sep 2019 1.65 1.7
Oct 2019 1.55 1.71
Nov 2019 1.61 1.81
Dec 2019 1.61 1.86
Jan 2020 1.52 1.76
Feb 2020 1.33 1.5
Mar 2020 0.45 0.87
Apr 2020 0.22 0.66
May 2020 0.17 0.67
Jun 2020 0.19 0.73
Jul 2020 0.15 0.62
Aug 2020 0.14 0.65
Sep 2020 0.13 0.68
Oct 2020 0.15 0.79
Nov 2020 0.17 0.87
Dec 2020 0.14 0.93
Jan 2021 0.13 1.08
Feb 2021 0.12 1.26
Mar 2021 0.15 1.61
Apr 2021 0.16 1.64
May 2021 0.16 1.62
Jun 2021 0.2 1.52
Jul 2021 0.22 1.32
Aug 2021 0.22 1.28
Sep 2021 0.24 1.37
Oct 2021 0.39 1.58
Nov 2021 0.51 1.56
Dec 2021 0.68 1.47
Jan 2022 0.98 1.76
Feb 2022 1.44 1.93
Mar 2022 1.91 2.13
Apr 2022 2.54 2.75
May 2022 2.62 2.9
Jun 2022 3 3.14
Jul 2022 3.04 2.9
Aug 2022 3.25 2.9
Sep 2022 3.86 3.52
Oct 2022 4.36 3.94

Note: The 2- and 10- year Treasury rates are the constant-maturity yields based on the most actively traded securities.

Source: Federal Reserve Board, Statistical Release H.15, "Selected Interest Rates."

Return to text
1.2 An estimate of the nominal Treasury term premium was low relative to its long-run history

Percentage points

Date Term Premium
Jan 1997 1.493876196
Feb 1997 1.421938896
Mar 1997 1.563495004
Apr 1997 1.660568194
May 1997 1.563495256
Jun 1997 1.481428572
Jul 1997 1.302181818
Aug 1997 1.332780946
Sep 1997 1.326609532
Oct 1997 1.215713636
Nov 1997 1.06898888
Dec 1997 0.994054556
Jan 1998 0.882319999
Feb 1998 0.916031583
Mar 1998 0.974218176
Apr 1998 0.973090476
May 1998 0.975814998
Jun 1998 0.886295459
Jul 1998 0.864068183
Aug 1998 0.795357142
Sep 1998 0.572528568
Oct 1998 0.61351905
Nov 1998 0.688826313
Dec 1998 0.597131821
Jan 1999 0.698215792
Feb 1999 0.84375789
Mar 1999 0.995682602
Apr 1999 0.975800003
May 1999 1.139357906
Jun 1999 1.324677272
Jul 1999 1.289473684
Aug 1999 1.352236368
Sep 1999 1.348057134
Oct 1999 1.444464988
Nov 1999 1.27639001
Dec 1999 1.354277264
Jan 2000 1.509465003
Feb 2000 1.381150007
Mar 2000 1.213491305
Apr 2000 1.047136837
May 2000 1.237759075
Jun 2000 1.051345457
Jul 2000 0.963879997
Aug 2000 0.823352179
Sep 2000 0.836045003
Oct 2000 0.747542864
Nov 2000 0.701523809
Dec 2000 0.529730004
Jan 2001 0.694380959
Feb 2001 0.774110521
Mar 2001 0.783759093
Apr 2001 1.064204988
May 2001 1.293131823
Jun 2001 1.293233338
Jul 2001 1.255104757
Aug 2001 1.170073919
Sep 2001 1.216105875
Oct 2001 1.272068186
Nov 2001 1.410334992
Dec 2001 1.781614989
Jan 2002 1.753195235
Feb 2002 1.659857901
Mar 2002 1.849414998
Apr 2002 1.80147727
May 2002 1.749013641
Jun 2002 1.596649987
Jul 2002 1.445363625
Aug 2002 1.207190915
Sep 2002 0.934149995
Oct 2002 0.987090905
Nov 2002 1.145463159
Dec 2002 1.155738093
Jan 2003 1.161114267
Feb 2003 1.065831577
Mar 2003 0.992842859
Apr 2003 1.088242849
May 2003 0.818133331
Jun 2003 0.677409527
Jul 2003 1.103436364
Aug 2003 1.456257139
Sep 2003 1.334019054
Oct 2003 1.322854557
Nov 2003 1.331561108
Dec 2003 1.313122738
Jan 2004 1.231599993
Feb 2004 1.183631583
Mar 2004 1.000300006
Apr 2004 1.341547625
May 2004 1.561255014
Jun 2004 1.483523806
Jul 2004 1.292547618
Aug 2004 1.124654548
Sep 2004 0.957676203
Oct 2004 0.896695006
Nov 2004 0.869494992
Dec 2004 0.833740906
Jan 2005 0.78053
Feb 2005 0.68346842
Mar 2005 0.845963633
Apr 2005 0.720423815
May 2005 0.571966658
Jun 2005 0.449209089
Jul 2005 0.484030001
Aug 2005 0.479952172
Sep 2005 0.432985713
Oct 2005 0.527364999
Nov 2005 0.543864995
Dec 2005 0.481928574
Jan 2006 0.371660002
Feb 2006 0.424115788
Mar 2006 0.491604348
Apr 2006 0.613742101
May 2006 0.65898636
Jun 2006 0.618022729
Jul 2006 0.560589999
Aug 2006 0.443221735
Sep 2006 0.383484997
Oct 2006 0.369104763
Nov 2006 0.274742857
Dec 2006 0.27258
Jan 2007 0.375890475
Feb 2007 0.350757895
Mar 2007 0.26522727
Apr 2007 0.355285715
May 2007 0.407745455
Jun 2007 0.667999991
Jul 2007 0.578766667
Aug 2007 0.532921739
Sep 2007 0.511942104
Oct 2007 0.532390914
Nov 2007 0.477490002
Dec 2007 0.527690001
Jan 2008 0.397038099
Feb 2008 0.63179
Mar 2008 0.671790007
Apr 2008 0.776504546
May 2008 0.835947616
Jun 2008 0.921828576
Jul 2008 0.88442273
Aug 2008 0.79169048
Sep 2008 0.776576198
Oct 2008 1.108440903
Nov 2008 1.115638895
Dec 2008 0.506795447
Jan 2009 0.547700001
Feb 2009 0.74051053
Mar 2009 0.668354544
Apr 2009 0.679490481
May 2009 0.934760001
Jun 2009 1.278254563
Jul 2009 1.150040908
Aug 2009 1.179223799
Sep 2009 1.057228577
Oct 2009 1.027499999
Nov 2009 1.027905257
Dec 2009 1.1039182
Jan 2010 1.207278942
Feb 2010 1.157326316
Mar 2010 1.154182605
Apr 2010 1.221100005
May 2010 0.96019001
Jun 2010 0.825204543
Jul 2010 0.658290471
Aug 2010 0.424377272
Sep 2010 0.387247618
Oct 2010 0.278835002
Nov 2010 0.40001
Dec 2010 0.808072727
Jan 2011 0.873700002
Feb 2011 1.019305264
Mar 2011 0.920582608
Apr 2011 0.967025
May 2011 0.762685713
Jun 2011 0.606786362
Jul 2011 0.612414996
Aug 2011 0.150026087
Sep 2011 -0.043119048
Oct 2011 0.06628
Nov 2011 -0.03269
Dec 2011 -0.062114285
Jan 2012 -0.0897
Feb 2012 -0.119230001
Mar 2012 0.023895455
Apr 2012 -0.057485715
May 2012 -0.221072724
Jun 2012 -0.331609524
Jul 2012 -0.399980947
Aug 2012 -0.297308694
Sep 2012 -0.294257893
Oct 2012 -0.282638094
Nov 2012 -0.330520001
Dec 2012 -0.292379997
Jan 2013 -0.166971428
Feb 2013 -0.116231578
Mar 2013 -0.134965
Apr 2013 -0.258204544
May 2013 -0.146790909
Jun 2013 0.13667
Jul 2013 0.346813642
Aug 2013 0.462968176
Sep 2013 0.524625005
Oct 2013 0.363963635
Nov 2013 0.410194736
Dec 2013 0.55254286
Jan 2014 0.563266662
Feb 2014 0.45349474
Mar 2014 0.484333335
Apr 2014 0.501880952
May 2014 0.400666668
Jun 2014 0.43160476
Jul 2014 0.407331818
Aug 2014 0.342380951
Sep 2014 0.425128568
Oct 2014 0.272081818
Nov 2014 0.293038888
Dec 2014 0.214790911
Jan 2015 0.0056
Feb 2015 0.068021054
Mar 2015 0.102645455
Apr 2015 0.012104546
May 2015 0.190974999
Jun 2015 0.297054545
Jul 2015 0.259263634
Aug 2015 0.134219047
Sep 2015 0.135995237
Oct 2015 0.071428571
Nov 2015 0.18211579
Dec 2015 0.124581818
Jan 2016 0.011715789
Feb 2016 -0.197440001
Mar 2016 -0.123422728
Apr 2016 -0.175476191
May 2016 -0.174190475
Jun 2016 -0.281345458
Jul 2016 -0.378130002
Aug 2016 -0.346008693
Sep 2016 -0.303919047
Oct 2016 -0.233139999
Nov 2016 -0.000429998
Dec 2016 0.239971428
Jan 2017 0.19488
Feb 2017 0.182310528
Mar 2017 0.161569566
Apr 2017 0.008163158
May 2017 -0.016390909
Jun 2017 -0.128790909
Jul 2017 -0.05972
Aug 2017 -0.121347826
Sep 2017 -0.140994999
Oct 2017 -0.056833334
Nov 2017 -0.092714286
Dec 2017 -0.082375001
Jan 2018 -0.002228572
Feb 2018 0.139010527
Mar 2018 0.093342856
Apr 2018 0.083419047
May 2018 0.132377273
Jun 2018 0.077390476
Jul 2018 0.040933333
Aug 2018 0.014413043
Sep 2018 0.053968421
Oct 2018 0.11275
Nov 2018 0.065265
Dec 2018 -0.130531578
Jan 2019 -0.213571428
Feb 2019 -0.234726318
Mar 2019 -0.299690477
Apr 2019 -0.315585714
May 2019 -0.386936364
Jun 2019 -0.537979998
Jul 2019 -0.528490909
Aug 2019 -0.743495456
Sep 2019 -0.692489997
Oct 2019 -0.629077269
Nov 2019 -0.521136849
Dec 2019 -0.485528574
Jan 2020 -0.54832381
Feb 2020 -0.708584205
Mar 2020 -0.747604549
Apr 2020 -0.836404761
May 2020 -0.848649997
Jun 2020 -0.838395449
Jul 2020 -0.896695451
Aug 2020 -0.888223807
Sep 2020 -0.873147621
Oct 2020 -0.808919049
Nov 2020 -0.748068417
Dec 2020 -0.717913633
Jan 2021 -0.634089467
Feb 2021 -0.512842108
Mar 2021 -0.243360868
Apr 2021 -0.211431818
May 2021 -0.227900001
Jun 2021 -0.27697727
Jul 2021 -0.403057141
Aug 2021 -0.427063633
Sep 2021 -0.365047622
Oct 2021 -0.207384999
Nov 2021 -0.198465001
Dec 2021 -0.262281819
Jan 2022 -0.104759999
Feb 2022 -0.071331579
Mar 2022 -0.007091304
Apr 2022 0.283249997
May 2022 0.321052379
Jun 2022 0.321319049
Jul 2022 -0.056315
Aug 2022 -0.170813045
Sep 2022 0.081928571
Oct 2022 0.217364286

Note: The data extend through October 21, 2022. Term premiums are estimated from a 3-factor term structure model using Treasury yields and Blue Chip interest rate forecasts.

Source: Department of the Treasury; Wolters Kluwer, Blue Chip Financial Forecasts; Federal Reserve Bank of New York; Federal Reserve Board staff estimates.

Return to text
Figure 1.3. Interest rate volatility increased amid heightened uncertainty

Basis points

Date Implied Volatility of 10-Year Swap Rate
Apr 2005 92.39090909
May 2005 89.66818182
Jun 2005 89.18181818
Jul 2005 90.42857143
Aug 2005 88.08695652
Sep 2005 89.64090909
Oct 2005 90.35238095
Nov 2005 94.69545455
Dec 2005 89.15454545
Jan 2006 84.27727273
Feb 2006 80.314
Mar 2006 77.2826087
Apr 2006 78.74
May 2006 79.27391304
Jun 2006 76.99090909
Jul 2006 74.78095238
Aug 2006 70.97727273
Sep 2006 70.98421053
Oct 2006 69.85454545
Nov 2006 70.23181818
Dec 2006 71.13333333
Jan 2007 68.48695652
Feb 2007 67.665
Mar 2007 71.33181818
Apr 2007 66.97142857
May 2007 62.48695652
Jun 2007 72.8047619
Jul 2007 79.95454545
Aug 2007 85.25652174
Sep 2007 91.83
Oct 2007 88.14782609
Nov 2007 94.3047619
Dec 2007 107.2142857
Jan 2008 116.4086957
Feb 2008 133.1142857
Mar 2008 145.0380952
Apr 2008 127.4590909
May 2008 119.5636364
Jun 2008 127.065
Jul 2008 115.5173913
Aug 2008 108.8761905
Sep 2008 123.4
Oct 2008 154.047619
Nov 2008 174.0235294
Dec 2008 173.2388889
Jan 2009 138.7666667
Feb 2009 154.6352941
Mar 2009 140.68
Apr 2009 124.0181818
May 2009 142.9444444
Jun 2009 178.9454545
Jul 2009 172.3565217
Aug 2009 169.1571429
Sep 2009 148.2181818
Oct 2009 142.3727273
Nov 2009 129.647619
Dec 2009 130.0043478
Jan 2010 125.6571429
Feb 2010 113.985
Mar 2010 102.0391304
Apr 2010 105.2136364
May 2010 114.6047619
Jun 2010 112
Jul 2010 99.62727273
Aug 2010 97.48181818
Sep 2010 107.1863636
Oct 2010 97.2952381
Nov 2010 103.2227273
Dec 2010 118.9608696
Jan 2011 113.3333333
Feb 2011 113.37
Mar 2011 110.7391304
Apr 2011 104.5619048
May 2011 100.4681818
Jun 2011 103.25
Jul 2011 107.0333333
Aug 2011 106.4086957
Sep 2011 108.1136364
Oct 2011 112.8142857
Nov 2011 116.1863636
Dec 2011 105.1454545
Jan 2012 95.63181818
Feb 2012 94.59047619
Mar 2012 97.95909091
Apr 2012 92.83333333
May 2012 84.46086957
Jun 2012 89.14285714
Jul 2012 80.3
Aug 2012 83.57826087
Sep 2012 81.325
Oct 2012 78.49565217
Nov 2012 74.85454545
Dec 2012 72.13809524
Jan 2013 74.53043478
Feb 2013 76.48
Mar 2013 75.4047619
Apr 2013 69.15909091
May 2013 74.2
Jun 2013 95.535
Jul 2013 102.6608696
Aug 2013 101.9409091
Sep 2013 102.3190476
Oct 2013 89.44782609
Nov 2013 87.28823529
Dec 2013  
Jan 2014  
Feb 2014  
Mar 2014 73.08
Apr 2014 69.23181818
May 2014 69.85909091
Jun 2014 69.34285714
Jul 2014 67.2173913
Aug 2014 70.92857143
Sep 2014 72.00454545
Oct 2014 78.8826087
Nov 2014 74.76
Dec 2014 76.72173913
Jan 2015 83.66818182
Feb 2015 87.06
Mar 2015 87.44545455
Apr 2015 83.6
May 2015 86.4
Jun 2015 87.13636364
Jul 2015 84.03043478
Aug 2015 83.85714286
Sep 2015 83.84545455
Oct 2015 81.00454545
Nov 2015 79.2
Dec 2015 77.56363636
Jan 2016 79.14
Feb 2016 87.20952381
Mar 2016 82.53913043
Apr 2016 80.42857143
May 2016 79.55909091
Jun 2016 78.82727273
Jul 2016 77.38571429
Aug 2016 73.93478261
Sep 2016 73.19090909
Oct 2016 71.81904762
Nov 2016 81.72272727
Dec 2016 88.39090909
Jan 2017 84.42272727
Feb 2017 82.875
Mar 2017 76.7826087
Apr 2017 74.625
May 2017 70.06086957
Jun 2017 67.19090909
Jul 2017 65.95238095
Aug 2017 65.02608696
Sep 2017 64.03809524
Oct 2017 64.24545455
Nov 2017 59.79545455
Dec 2017 57.33333333
Jan 2018 59.6826087
Feb 2018 70.735
Mar 2018 67.12727273
Apr 2018 62.92857143
May 2018 62.66956522
Jun 2018 64.35238095
Jul 2018 61.83636364
Aug 2018 61.51304348
Sep 2018 60.28
Oct 2018 62.91304348
Nov 2018 63.61363636
Dec 2018 64.04761905
Jan 2019 61.68695652
Feb 2019 56.195
Mar 2019 54.97142857
Apr 2019 54.45909091
May 2019 58.98695652
Jun 2019 65.475
Jul 2019 61.84347826
Aug 2019 71.64545455
Sep 2019 72.58095238
Oct 2019 71.07391304
Nov 2019 66.5047619
Dec 2019 65.36363636
Jan 2020 64.33913043
Feb 2020 68.125
Mar 2020 94.55
Apr 2020 72.11363636
May 2020 65.72857143
Jun 2020 67.49090909
Jul 2020 62.60869565
Aug 2020 61.06666667
Sep 2020 62.4
Oct 2020 61.20454545
Nov 2020 57.33333333
Dec 2020 59.05652174
Jan 2021 60.78571429
Feb 2021 68.975
Mar 2021 79.44545455
Apr 2021 78.88636364
May 2021 75.32857143
Jun 2021 70.79090909
Jul 2021 71.81363636
Aug 2021 73.54090909
Sep 2021 70.50454545
Oct 2021 74.14761905
Nov 2021 79.46818182
Dec 2021 79.36521739
Jan 2022 80.11904762
Feb 2022 87.97777778
Mar 2022 98.0826087
Apr 2022 111.1809524
May 2022 110.54
Jun 2022 114.7318182
Jul 2022 115.0952381
Aug 2022 111.6782609
Sep 2022 127.0818182
Oct 2022 137.7142857

Note: The data extend through October 20, 2022. Implied volatility on the 10-year swap rate, 1 month ahead, is derived from swaptions. The median value is 80.37 basis points.

Source: ICAP, Swaptions and Interest Rate Caps and Floors Data.

Return to text
Figure 1.4. Treasury market depth suggests liquidity remained below historical norms

This is a line chart titled “Treasury market depth suggests liquidity remained below historical norms.” The x-axis measures from January 2019 to October 2022. The left y-axis measures the blue line labeled “30-year” and ranges from 0 to 35. The right y-axis measures the black line labeled “5-year” and the red line labeled “10-year” ranging from 0 to 350. Both axes are measured in millions of dollars. The black line begins around 150. It increases to roughly 250 in February 2019. It then declines to 150 by August 2019. It then drops sharply to around 100 and stays roughly around that value until the start of 2020. By February it reaches almost 175 and then drops sharply to around 25 in March 2020. It then increases steadily to around 200 in October 2020. The series oscillates between 200 and 250 from October 2020 through the end of 2020 before stabilizing around 225 in January 2021. There is a sharp decrease to around 100 in March 2021, a rebound to 150, and a decrease to 100 in April. The series then steadily increases to about 180 by June 2021, then decreases to about 150 in July. The series remains around 150 until October 2021 and then hovers between 100 and 150 until February 2022. The series then falls to around 50 in February 2022 where it remains until rising to 70 in May 2022, then falls and stays around 50 until the end of the series in October 2022. The red line begins in January 2019 around 100 and in the same month sees an increase to 225. In March, it rises to around 250, briefly drops to 200, before rising back to around 225 by early April. From April to July 2019, the series slowly declines to 180 and falls sharply to about 80. The series then rises to 130 in September 2019, falls to around 75 in October 2019, increases to 125 in November, and falls to 80 by year-end 2019. From January 2020 through February, the series rises to around 140 before falling sharply in March to around 10. It then increases to right above 150 by October 2020. The series generally oscillates between 100 and 150 from October 2020 to February 2022, except for a sharp drop to around 50 in late-February 2020. Starting in February 2022, the series falls from around 120 to 60 where it hovers until May 2022 when begins rising to 100 by June 2022. Then this line declines sharply to 50 and varies between around 50 and 75 until the end of the series in October 2022. The blue line begins around 15 in January 2019. From February to July, it stays between roughly 23 and 28. It then drops sharply to around 7 in August 2019 and remains there through October 2019. The series then rises to around 15 by February 2020 before falling sharply to below 5 in March 2020. The curve rises to around 7 by July 2020, before spiking to about 15 in late July. It then decreases to right below 10 in October 2020, where it remains until January 2021. The series spikes to about 15 in February 2021, falls to around 7, before rising steadily to about 20 by June 2021. The series then sharply decreases to about 10 by July 2021, rises back to 20 in October 2021, and then falls to around 12 by December 2021. The series falls from around 12 in February 2022 to around 8 in March 2022, before rising again to 11 in April 2022 and fluctuating around 10 until the series ends at 11 on October 20, 2022.

Note: Market depth is defined as the average top 3 bid and ask quote sizes for on-the-run Treasury securities.

Source: Inter Dealer Broker Community.

Return to text
Figure A. Top-of-book average market depth for 2- and 10-year on-the-run Treasury notes

This is a line chart titled “Top-of-book average market depth for 2- and 10-year on-the-run Treasury notes.” The x-axis measures time, ranging from September 2019 to October 2022, with labels for January, April, July, and October each year. The y-axis is measured in millions of dollars with a range of 0 to 300 for the right y-axis and 0 to 60 for the left y-axis. The data are daily.

The black line denotes 2-year OTR depth and is plotted against the right scale. The series starts at 47 million rising upwards until February 2021 where it peaks at around 280 million before sharply dropping to 110 million in March 2021. There is a rebound and the series reaches just under 280 million in June 2021 before a sharp decrease and steady decline. The series has stayed constant around 10 million since March 2022. The second series is denoted by the blue line and measures 10-year OTR depth on the left scale. The series has a few sharp declines and peaks. The first value is just under 40 million but increases to nearly 50 million in January 2020 before a sharp decline to just under 10 million in March 2020. The series increases steadily until October 2020 at a value of nearly 60 million. There is some volatility and the series dips to 35 million in January 2021, but spikes back to 55 million in June of 2021. There is a steady decline to a final value of about 15 million on October 19, 2022.

Note: The data show the 5-day moving average of time-weighted average market depth at the best quoted prices to buy and sell, for 2- and 10-year Treasury notes. OTR is the on-the-run; FSR is Financial Stability Report.

Source: BrokerTec; Federal Reserve Board staff calculations.

Return to text
Figure B. Average bid-ask spreads for 2- and 10-year on-the-run Treasury notes

This is a line chart titled “Average bid-ask spreads for 2- and 10-year on-the-run Treasury notes.” The x-axis measures time, ranging from September 2019 to October 2022, with labels for January, April, July, and October each year. The y-axis is measured in Cents per $100 notional value with a range of 0.3-0.7 for the right y-axis and 1.5-3.0 for the left y-axis. The data are daily.

The black line denotes 2-year OTR bid-ask spreads and is plotted against the right scale. The series starts just over 0.4 and remains steady until March 2020 where it peaks at nearly 0.6 before sharply dropping to 0.40 in April 2020. The series remains around this value until October 2021 where it begins to slowly increase through the next year and hovers around 0.45. The second series is denoted by the blue line and measures 10-year OTR bid-ask spreads on the left scale. The series follows the same pattern as the black line. The first value is around 1.7, increases to just under 3 in March 2020, then sharply declines to 1.65 in April 2020. The series slowly increases through October 2022 and stays between 1.6 and 1.8. There is a final value of 1.8 on October 19, 2022.

Note: The data show the 5-day moving average of time-weighted average bid ask spreads, for 2- and 10-year Treasury notes. OTR is the on-the-run; FSR is Financial Stability Report.

Source: BrokerTec; Federal Reserve Board staff calculations.

Return to text
Figure C. Bid-ask spreads for E-mini S&P 500, crude oil, and wheat futures

This is a line chart titled “Bid-ask spreads for E-mini S&P 500, crude oil, and wheat futures.” The x-axis measures time, ranging from September 2019 to October 2022, with labels for January, April, July, and October each year. The y-axes measure Dollar spread (ticks) with a range of 0.9-1.5 for the right y-axis and 0.5-5.0 for the left y-axis. The data are daily. There are three series plotted on the chart.

The black line denotes Equity and is plotted against the right scale. The series starts around 1 and remains steady until March 2020 where it peaks at around 1.4 before sharply dropping back to 1 in April 2020. The series remains around this value until March 2022 where it increases to around 1.2. It slowly decreases through October 2022 to end around 1. The second series is denoted by the blue line and plots Oil on the left scale. The series starts around 1 and stays between 1.0 and 1.5 until March 2022 where it spikes sharply to 3.5 before decreasing back down to around 1.5 and eventually ends around there. The last series is denoted by the red line and plots Wheat on the left scale. The wheat series follows a very similar pattern to the Oil series. The series starts just over 1 and remains between 1.0 and 1.3 until March 2022. There is sharp increase to a peak of just over 4 before a slower decline back to an ending value of around 1.5.

Note: The 5-day moving average of bid-ask spreads is defined as (best ask price – best bid price)/minimum tick size. Days with limit hits are excluded. FSR is Financial Stability Report.

Source: Refinitiv, DataScope Tick History; Federal Reserve Board staff calculations.

Return to text
Figure 1.5. Corporate bond yields rose to their highest levels in more than a decade

This is a line chart titled "Corporate bond yields rose to their highest levels in more than a decade." The x-axis measures time and ranges from years 1997 to 2022. The y-axis ranges from 0 to 24 percent. The data are monthly and there are two variables plotted on the chart. The first line is labeled "High-yield" and is designated by a black line. It begins at around 9 percent in 1997 and rises gradually to around 13 percent in 2002. It falls to around 7 percent in 2003 and remains there until 2007. The curve rises to 11 in 2008, before spiking to about 22 percent in late 2008. The series falls sharply in 2009 before decreasing more slowly to 7 percent in 2011. The series generally remains around 6 percent through 2020, with local spikes to around 9 in late 2011, early 2016, and early 2020. There series stays around 4 percent in 2021 before rising gradually to about 9 percent by October 2022 when the series ends. The second line is labeled "Triple-B" and is designated by a blue line. It begins at around 8 percent in 1997, fluctuates between 7 and 9 percent until 2002, and rises to 10 percent in late 2008. The series falls sharply to around 5 percent in late 2009. It remains between 3 and 5 percent from 2010 to 2019. It has a spike in early 2020 then decreases to around 2 percent in October 2020. It hovers at the level through 2021 before rising gradually to about 6 percent in October 2022.

Note: The data extend through October 20, 2022. The triple-B series reflects the effective yield of the ICE Bank of America Merrill Lynch (BoAML) triple-B U.S. Corporate Index (C0A4), and the high-yield series reflects the effective yield of the ICE BofAML U.S. High Yield Index (H0A0).

Source: ICE Data Indices, LLC, used with permission.

Return to text
Figure 1.6. As risk appetite declined, spreads to similar-maturity Treasury securities widened

This is a line chart titled “As risk appetite declined, spreads to similar-maturity Treasury securities widened." The x-axis measures time and ranges from 1997 to 2022. The data are monthly, and there are two variables plotted on the chart. The first line is labeled "High-yield" and is designated by a black line. This line corresponds to the values on the right y-axis, which ranges from 0 to 24 percentage points. It begins at around 3 percentage points in 1997 and rises steadily to around 10 percentage points by 2002. The series falls to 4 percentage points by the end of 2003 and then declines slowly to around 2 percent until 2007. The series then rises rapidly to its peak in late 2008 of around 20 percentage points. It then falls steeply in 2009 to around 6 percentage points before falls gradually to 4 percentage points in 2011. In late 2011, the series spikes to 8 percentage points, before falling steadily to around 4 percentage points in 2014. The series rises gradually from 2014 to 2016 to 8 percentage points, then falls to around 4 percentage points again in 2017, remaining there through 2019. In mid-2020, it jumps to almost 10 percent then drops to about 5 percent in October. It then steadily decreases to about 3 percentage points in April 2021 to just below 3 percentage points and remains there until April 2022. The series then begins rising gradually again to around 5 percentage points in October 2022. The second line is labeled "Triple B" and is designated by a blue line. This line corresponds to the values on the left y-axis, which ranges from 0 to 12 percentage points. It begins at just under 1 percentage point in 1997, rises to around 3.5 percentage by the end of 2002. It declines to around 1 percentage by the start of 2004 and remains there until mid-2007. From there, it rapidly rises to its peak in late 2008 of around 7.5 percentage points. It then falls steeply in 2009 to around 3 percentage points and declines further to 2 percentage points in 2011. The series jumps to 3 percentage points in mid-2011 before declining slowly to 1.5 percentage points in 2014. It then rises gradually to around 3 percentage points in early 2016, then declines to around 1 percentage point by early 2018. The series remains around 1.5 percentage points from 2018 through early 2020 before jumping to almost 4 percentage points. It then decreases to 1 percent by April 2021 and remains there through 2021. It slightly increases at the very end of 2021 into 2022 to around 2 percentage points, and it continues increasing into October 2022 where it ends around 4 percentage points.

Note: The data extend through October 20, 2022. The triple-B series reflects the option-adjusted spread of the ICE Bank of America Merrill Lynch (BofAML) triple-B U.S. Corporate Index (C0A4), and the high-yield series reflects the option-adjusted spread of the ICE BofAML U.S. High Yield Index (H0A0).

Source: ICE Data Indices, LLC, used with permission.

Return to text
Figure 1.7. The excess bond premium returned to a level consistent with its historical norm

Percentage points

Date Excess Bond Premium
Jan 1997 -0.327992941
Feb 1997 -0.475763076
Mar 1997 -0.504097248
Apr 1997 -0.459695265
May 1997 -0.455762847
Jun 1997 -0.561988194
Jul 1997 -0.534422589
Aug 1997 -0.491040975
Sep 1997 -0.580930338
Oct 1997 -0.43261272
Nov 1997 -0.350114589
Dec 1997 -0.396013732
Jan 1998 -0.353142947
Feb 1998 -0.351486586
Mar 1998 -0.403412859
Apr 1998 -0.431560718
May 1998 -0.390626453
Jun 1998 -0.356765367
Jul 1998 -0.316894849
Aug 1998 0.090934245
Sep 1998 0.058212961
Oct 1998 0.197834539
Nov 1998 0.173722923
Dec 1998 0.044750663
Jan 1999 0.051466236
Feb 1999 -0.194704662
Mar 1999 -0.179898699
Apr 1999 -0.221327255
May 1999 -0.216693489
Jun 1999 -0.15691761
Jul 1999 -0.106899708
Aug 1999 -0.041169215
Sep 1999 0.078913507
Oct 1999 0.101888311
Nov 1999 0.058883451
Dec 1999 -0.16601502
Jan 2000 0.026406011
Feb 2000 0.101024005
Mar 2000 0.365114874
Apr 2000 0.522772977
May 2000 0.704621449
Jun 2000 0.745130072
Jul 2000 0.826274755
Aug 2000 1.005998704
Sep 2000 1.099384601
Oct 2000 1.510274245
Nov 2000 1.571377727
Dec 2000 1.572343835
Jan 2001 1.150511536
Feb 2001 1.137152004
Mar 2001 1.069702927
Apr 2001 0.885576968
May 2001 0.748009346
Jun 2001 0.985818173
Jul 2001 0.747499218
Aug 2001 0.754313705
Sep 2001 1.191464808
Oct 2001 1.022858957
Nov 2001 -0.129194373
Dec 2001 0.386374244
Jan 2002 0.574152737
Feb 2002 0.745621775
Mar 2002 0.253935356
Apr 2002 0.376861978
May 2002 0.474257548
Jun 2002 0.914865566
Jul 2002 1.511463567
Aug 2002 1.426524754
Sep 2002 1.584625134
Oct 2002 1.399510172
Nov 2002 0.999313116
Dec 2002 0.865112848
Jan 2003 0.836592335
Feb 2003 0.609894603
Mar 2003 0.101785664
Apr 2003 0.016313537
May 2003 -0.534010637
Jun 2003 -0.424875218
Jul 2003 -1.096237597
Aug 2003 -0.219047372
Sep 2003 -0.582142068
Oct 2003 -0.540584914
Nov 2003 -0.576315527
Dec 2003 -0.5448267
Jan 2004 -0.723418646
Feb 2004 -0.359574462
Mar 2004 -0.548026746
Apr 2004 -0.769624912
May 2004 -0.385002098
Jun 2004 -0.398712721
Jul 2004 -0.334005025
Aug 2004 -0.418464299
Sep 2004 -0.563958092
Oct 2004 -0.531905209
Nov 2004 -0.686846146
Dec 2004 -0.735148341
Jan 2005 -0.700000301
Feb 2005 -0.955258137
Mar 2005 -0.661207668
Apr 2005 -0.409659425
May 2005 -0.330329282
Jun 2005 -0.479127979
Jul 2005 -0.580328329
Aug 2005 -0.554932318
Sep 2005 -0.488215163
Oct 2005 -0.331205425
Nov 2005 -0.335729777
Dec 2005 -0.296368976
Jan 2006 -0.357078045
Feb 2006 -0.338615755
Mar 2006 -0.424136748
Apr 2006 -0.465874366
May 2006 -0.367521241
Jun 2006 -0.384282009
Jul 2006 -0.289731548
Aug 2006 -0.299610399
Sep 2006 -0.374057926
Oct 2006 -0.390962194
Nov 2006 -0.37653777
Dec 2006 -0.499043149
Jan 2007 -0.55087239
Feb 2007 -0.566742684
Mar 2007 -0.381309576
Apr 2007 -0.383349056
May 2007 -0.604642145
Jun 2007 -0.389277321
Jul 2007 0.012032826
Aug 2007 0.142715071
Sep 2007 0.061936736
Oct 2007 -0.012379773
Nov 2007 0.320752966
Dec 2007 0.475512221
Jan 2008 0.70933391
Feb 2008 0.91221374
Mar 2008 1.130332686
Apr 2008 0.649152426
May 2008 0.660573704
Jun 2008 0.798007467
Jul 2008 1.057765151
Aug 2008 1.237752755
Sep 2008 1.776073854
Oct 2008 3.460633279
Nov 2008 3.171590929
Dec 2008 3.334728416
Jan 2009 2.806084548
Feb 2009 3.179989931
Mar 2009 2.722809696
Apr 2009 2.22647539
May 2009 1.355134054
Jun 2009 0.922492209
Jul 2009 0.31858734
Aug 2009 0.08013283
Sep 2009 0.038279793
Oct 2009 -0.143575673
Nov 2009 -0.03542551
Dec 2009 -0.492511504
Jan 2010 -0.205461384
Feb 2010 -0.018913418
Mar 2010 -0.178442479
Apr 2010 -0.294703254
May 2010 -0.152712066
Jun 2010 0.01602464
Jul 2010 0.145238874
Aug 2010 -0.307986862
Sep 2010 -0.039371499
Oct 2010 -0.029884736
Nov 2010 -0.169190866
Dec 2010 -0.435524457
Jan 2011 -0.033761399
Feb 2011 -0.295221998
Mar 2011 -0.335913516
Apr 2011 -0.288343292
May 2011 -0.165229602
Jun 2011 -0.039675881
Jul 2011 -0.089126308
Aug 2011 -0.123862407
Sep 2011 0.408443336
Oct 2011 -0.12172689
Nov 2011 0.474060576
Dec 2011 0.247509021
Jan 2012 0.150729242
Feb 2012 0.024326767
Mar 2012 -0.376740237
Apr 2012 -0.202788573
May 2012 -0.119327022
Jun 2012 0.12963211
Jul 2012 -0.042944594
Aug 2012 -0.227203832
Sep 2012 -0.18166527
Oct 2012 -0.202836206
Nov 2012 -0.076475077
Dec 2012 -0.190251438
Jan 2013 -0.114354855
Feb 2013 -0.058553333
Mar 2013 -0.125967219
Apr 2013 -0.153905752
May 2013 -0.522714673
Jun 2013 -0.376657849
Jul 2013 -0.030735412
Aug 2013 -0.123766968
Sep 2013 -0.153898343
Oct 2013 -0.046136535
Nov 2013 -0.017841437
Dec 2013 -0.164457924
Jan 2014 -0.321352998
Feb 2014 -0.227163472
Mar 2014 -0.29386588
Apr 2014 -0.375165704
May 2014 -0.389395502
Jun 2014 -0.321701868
Jul 2014 -0.329410004
Aug 2014 -0.312508821
Sep 2014 -0.224771991
Oct 2014 -0.216508647
Nov 2014 0.049405503
Dec 2014 0.080737524
Jan 2015 -0.045919893
Feb 2015 -0.297190763
Mar 2015 -0.139029027
Apr 2015 -0.002856504
May 2015 0.045754382
Jun 2015 0.144001938
Jul 2015 0.20475728
Aug 2015 0.402901389
Sep 2015 0.532871365
Oct 2015 0.424845269
Nov 2015 0.506418023
Dec 2015 0.686355356
Jan 2016 0.919317391
Feb 2016 0.94362989
Mar 2016 0.569282401
Apr 2016 0.224026848
May 2016 0.237197541
Jun 2016 0.042668328
Jul 2016 -0.008820895
Aug 2016 -0.01722513
Sep 2016 -0.083474279
Oct 2016 -0.073156328
Nov 2016 -0.739939876
Dec 2016 -0.244822167
Jan 2017 -0.191469971
Feb 2017 -0.188309944
Mar 2017 -0.178494029
Apr 2017 -0.129164772
May 2017 -0.178951337
Jun 2017 -0.136252193
Jul 2017 -0.162326711
Aug 2017 -0.072778713
Sep 2017 -0.268307137
Oct 2017 -0.21530882
Nov 2017 -0.144799608
Dec 2017 -0.203865964
Jan 2018 -0.400515387
Feb 2018 -0.249082054
Mar 2018 -0.11171031
Apr 2018 -0.290735129
May 2018 -0.202958589
Jun 2018 0.019786342
Jul 2018 -0.135740735
Aug 2018 -0.089446674
Sep 2018 -0.182158372
Oct 2018 -0.000167935
Nov 2018 0.13745419
Dec 2018 0.335877969
Jan 2019 0.169436423
Feb 2019 0.054696921
Mar 2019 -0.13703146
Apr 2019 -0.019079685
May 2019 -0.033638411
Jun 2019 -0.008070087
Jul 2019 -0.059107912
Aug 2019 -0.170332088
Sep 2019 -0.257374267
Oct 2019 -0.243892387
Nov 2019 -0.196588959
Dec 2019 -0.305524818
Jan 2020 -0.267531676
Feb 2020 -0.176504663
Mar 2020 1.202579855
Apr 2020 0.651888109
May 2020 0.394496307
Jun 2020 0.041178791
Jul 2020 -0.173051217
Aug 2020 -0.281344159
Sep 2020 -0.006220671
Oct 2020 -0.206155626
Nov 2020 -0.474510076
Dec 2020 -0.507801617
Jan 2021 -0.656572098
Feb 2021 -0.94814665
Mar 2021 -0.745943831
Apr 2021 -0.490937304
May 2021 -0.427263831
Jun 2021 -0.584897353
Jul 2021 -0.555996167
Aug 2021 -0.463732536
Sep 2021 -0.642591186
Oct 2021 -0.510097189
Nov 2021 -0.441213781
Dec 2021 -0.435229765
Jan 2022 -0.332521221
Feb 2022 -0.202410439
Mar 2022 -0.813220775
Apr 2022 -0.284350527
May 2022 -0.10526066
Jun 2022 0.092361639
Jul 2022 0.014065653
Aug 2022 -0.019293627
Sep 2022 0.038739147

Note: The excess bond premium (EBP) is a measure of bond market investors' risk sentiment. It is derived as the residual of a regression that models corporate bond spreads after controlling for expected default losses. By construction, its historical mean is zero. Positive (negative) EBP values indicate that investors' risk appetite is below (above) its historical mean.

Source: Federal Reserve Board staff calculations based on Lehman Brothers Fixed Income Database (Warga); Intercontinental Exchange, Inc., ICE Data Services; Center for Research in Security Prices, CRSP/Compustat Merged Database, Wharton Research Data Services; S&P Global, Compustat.

Return to text
Figure 1.8. Spreads in the leveraged loan market also increased

Percentage points

Date B BB
1/31/1997   2.09188813
2/28/1997   2.081784102
3/31/1997   2.082131354
4/30/1997   2.13128051
5/31/1997   2.156636783
6/30/1997   2.167234706
7/31/1997 2.278659303 1.912117954
8/31/1997 2.255190912 1.847993503
9/30/1997 2.282264366 1.890312257
10/31/1997 2.548701941 1.95239139
11/30/1997 2.552277198 1.911238578
12/31/1997 2.577663079 1.885312108
1/31/1998 2.583286704 2.039621189
2/28/1998 2.577240454 2.076864347
3/31/1998 2.614346931 2.014244209
4/30/1998 2.604711257 2.019649061
5/31/1998 2.64727726 2.174256136
6/30/1998 2.638384911 2.280400402
7/31/1998 2.652981144 2.254612142
8/31/1998 2.751058603 2.330406251
9/30/1998 2.94176293 2.503683338
10/31/1998 3.063245772 2.630212144
11/30/1998 3.346695816 2.686889488
12/31/1998 3.23167825 2.557427806
1/31/1999 3.200453504 2.622222163
2/28/1999 3.21252047 2.549691079
3/31/1999 3.570720313 2.484316634
4/30/1999 3.933362083 2.651588876
5/31/1999 3.797347759 2.842941804
6/30/1999 3.856619932 2.843767035
7/31/1999 4.096399146 2.948887085
8/31/1999 4.456923697 2.994047716
9/30/1999 4.745677304 3.962524585
10/31/1999 4.961565057 4.085427379
11/30/1999 4.741948663 3.908859837
12/31/1999 6.075945806 4.015088945
1/31/2000 6.242112668 4.073318477
2/29/2000 6.074316532 4.114062447
3/31/2000 6.054808031 3.434830755
4/30/2000 5.439305951 3.511192693
5/31/2000 5.24555979 3.259028298
6/30/2000 5.671585599 3.116330778
7/31/2000 6.033401004 3.00189609
8/31/2000 5.729202064 3.020411462
9/30/2000 6.652208066 3.19167802
10/31/2000 6.909706813 3.255724041
11/30/2000 7.309964117 3.070969307
12/31/2000 6.688836596 3.046207166
1/31/2001 6.262165593 2.950594704
2/28/2001 5.950374107 2.910251425
3/31/2001 6.8348555 2.94681492
4/30/2001 6.708736768 2.955077536
5/31/2001 6.4951938 2.947355151
6/30/2001 6.623167835 2.989296771
7/31/2001 6.710761767 3.030494639
8/31/2001 6.509984259 2.997834632
9/30/2001 7.418618009 3.34538512
10/31/2001 8.706155231 3.508112025
11/30/2001 6.817658163 3.114308784
12/31/2001 6.210143683 3.089209747
1/31/2002 5.892862309 3.05192671
2/28/2002 5.502441683 3.091428669
3/31/2002 5.223070043 3.06572117
4/30/2002 4.919820916 2.939460183
5/31/2002 5.62215769 2.952333944
6/30/2002 5.903710317 2.993291727
7/31/2002 6.631473548 3.37911052
8/31/2002 6.52683651 3.715267406
9/30/2002 6.638053 3.750186118
10/31/2002 7.374960799 4.639273938
11/30/2002 6.718488029 4.137358247
12/31/2002 6.581381678 3.51504978
1/31/2003 6.104288712 3.600831789
2/28/2003 6.296625981 3.55664379
3/31/2003 6.031704463 3.56692318
4/30/2003 5.107015923 3.580657336
5/31/2003 4.659263532 3.351620841
6/30/2003 4.475665852 3.242489052
7/31/2003 4.512590154 3.032349549
8/31/2003 4.724970075 3.006269321
9/30/2003 4.979679712 2.980814917
10/31/2003 4.823216865 2.937558894
11/30/2003 4.776087956 2.853108173
12/31/2003 4.514679285 2.609684261
1/31/2004 4.030295882 2.505848458
2/29/2004 4.20273622 2.450504955
3/31/2004 3.917407114 2.381952191
4/30/2004 3.919637007 2.333858047
5/28/2004 4.062617639 2.40125276
6/25/2004 3.770043862 2.34405188
7/30/2004 3.843627933 2.255141151
8/31/2004 3.690023757 2.201748435
9/30/2004 3.613219159 2.136299164
10/29/2004 3.423142673 2.101811115
11/30/2004 3.258223484 2.072763693
12/31/2004 3.205977599 2.014210966
1/31/2005 3.252577924 1.980077793
2/25/2005 3.142369917 1.937545734
3/31/2005 3.047039139 1.850718315
4/29/2005 3.295215816 1.826328866
5/31/2005 3.124605675 1.860770294
6/30/2005 3.098929284 1.840825021
7/29/2005 3.038934267 1.765225638
8/30/2005 2.977012124 1.684525925
9/30/2005 2.959684756 1.725819089
10/28/2005 3.004611488 1.771756347
11/30/2005 2.893254531 1.783893172
12/30/2005 2.812631245 1.808442761
1/31/2006 2.823837991 1.745092629
2/28/2006 2.78175102 1.681539632
3/31/2006 2.739771964 1.68006846
4/28/2006 2.737436009 1.660514413
5/31/2006 2.673117132 1.727872182
6/30/2006 2.674438506 1.835263297
7/28/2006 2.698809064 1.875504449
8/31/2006 2.740115341 1.86821573
9/29/2006 2.738626971 1.86028665
10/31/2006 2.697930732 1.827817963
11/30/2006 2.702841826 1.966498489
12/29/2006 2.725997941 1.94127587
1/31/2007 2.600943861 1.913990437
2/28/2007 2.527216925 1.740932619
3/30/2007 2.492788553 1.770728531
4/27/2007 2.464456807 1.79786483
5/31/2007 2.411012615 1.785477596
6/29/2007 2.698014075 2.010311422
7/31/2007 3.478625362 2.824087826
8/31/2007 3.593701588 2.997391968
9/28/2007 3.341144765 2.711721162
10/26/2007 3.285028147 2.637905571
11/30/2007 3.85693643 3.062700596
12/28/2007 4.158829705 2.929114293
1/31/2008 4.975806018 3.743547176
2/29/2008 6.073212249 4.376096615
3/28/2008 7.208623221 4.324824068
4/30/2008 6.348011313 3.682164953
5/30/2008 6.379506401 3.587716478
6/27/2008 6.39477656 3.862890484
7/31/2008 7.173169589 4.179169073
8/29/2008 7.65469665 4.233284712
9/30/2008 10.60797989 5.941421106
10/31/2008 17.04969574 9.274483593
11/28/2008 20.89103789 11.0334419
12/31/2008 24.76122466 11.47030365
1/30/2009 20.69854071 8.744575104
2/27/2009 20.75494273 7.85357321
3/31/2009 20.31940445 7.791746152
4/30/2009 15.78603819 5.76799071
5/29/2009 12.39966035 5.560701626
6/30/2009 10.23361646 4.856091479
7/31/2009 8.497799368 4.186032619
8/31/2009 7.807965623 4.133706674
9/30/2009 6.96202797 4.006873408
10/30/2009 6.36999189 4.195248107
11/30/2009 6.704091026 4.526671541
12/31/2009 6.020436669 3.882098136
1/29/2010 5.673790358 3.699848283
2/26/2010 5.782266113 3.813460697
3/31/2010 5.27419835 3.499254325
4/30/2010 5.046092783 3.42850474
5/28/2010 6.10543623 3.988692698
6/30/2010 6.427051577 4.166631782
7/30/2010 5.980864621 4.014011967
8/31/2010 5.981197026 4.006990999
9/30/2010 5.619694567 3.88035424
10/29/2010 5.220238996 3.658196956
11/30/2010 5.614760701 3.709545132
12/31/2010 5.289997081 3.68691684
1/31/2011 4.800970166 3.506045183
2/28/2011 4.819888371 3.521926073
3/31/2011 4.854444575 3.436375211
4/29/2011 4.89480425 3.41062736
5/31/2011 5.041155125 3.571798755
6/30/2011 5.350327752 3.812068758
7/29/2011 5.424969659 3.820199304
8/31/2011 6.751228372 5.110951751
9/30/2011 6.846344185 4.688318525
10/31/2011 6.055158395 4.018786804
11/30/2011 6.539957601 4.244311218
12/30/2011 6.334345527 4.155591121
1/31/2012 5.709288282 3.854599736
2/29/2012 5.334908472 3.801143705
3/30/2012 5.374036092 3.757435533
4/30/2012 5.381195508 3.914070372
5/31/2012 5.861093971 4.262568286
6/29/2012 5.792673471 4.248600792
7/31/2012 5.877940539 4.100262473
8/31/2012 5.694161908 4.167612129
9/28/2012 5.547691177 3.962440438
10/31/2012 5.490887841 3.833106587
11/30/2012 5.604074257 3.83601469
12/31/2012 5.492338231 3.840471158
1/31/2013 5.28405064 3.719379441
2/28/2013 5.320350623 3.861849518
3/28/2013 5.135984135 3.72611154
4/30/2013 5.038359816 3.786623846
5/31/2013 4.869384084 3.62152864
6/28/2013 4.976929952 3.587007172
7/31/2013 4.821365022 3.333400388
8/30/2013 4.921733386 3.409726628
9/30/2013 4.993291222 3.456238912
10/31/2013 4.901852852 3.430421305
11/22/2013 4.916377784 3.499955765
11/29/2013 4.914891458 3.518233972
12/6/2013 4.898171004 3.524592769
12/13/2013 4.876331321 3.519265469
12/20/2013 4.862503347 3.460523049
12/27/2013 4.839803606 3.398370805
1/3/2014 4.839262079 3.369628791
1/10/2014 4.774945019 3.341352033
1/17/2014 4.739750726 3.352491454
1/24/2014 4.736467988 3.338112667
1/31/2014 4.770168272 3.373253137
2/7/2014 4.76437119 3.366453535
2/14/2014 4.738729262 3.423159641
2/21/2014 4.715267423 3.437046942
2/28/2014 4.709790526 3.323524114
3/7/2014 4.704533429 3.318906023
3/14/2014 4.681325461 3.320472077
3/21/2014 4.648603975 3.306092109
3/28/2014 4.652339321 3.318788066
4/4/2014 4.718304465 3.375574896
4/11/2014 4.696981957 3.409174123
4/17/2014 4.718402054 3.402645006
4/25/2014 4.755950876 3.453507459
5/2/2014 4.738825046 3.407384974
5/9/2014 4.732969317 3.372525312
5/16/2014 4.698471116 3.380386391
5/23/2014 4.706252087 3.389482277
5/30/2014 4.717653505 3.389951511
6/6/2014 4.699577443 3.400249916
6/13/2014 4.685820569 3.402507859
6/20/2014 4.690118843 3.389094774
6/27/2014 4.680845234 3.371392398
7/3/2014 4.666334523 3.383072886
7/11/2014 4.658575971 3.417841231
7/18/2014 4.665917099 3.415667513
7/25/2014 4.671093117 3.425566587
8/1/2014 4.74805781 3.498796139
8/8/2014 4.762578882 3.558336507
8/15/2014 4.802610647 3.631927077
8/22/2014 4.794545458 3.60877406
8/29/2014 4.758376975 3.575706016
9/5/2014 4.767268309 3.575215511
9/12/2014 4.819516024 3.628959008
9/19/2014 4.821836488 3.632569381
9/26/2014 4.901986285 3.712759185
10/3/2014 4.973162228 3.755308292
10/10/2014 4.986114632 3.782397376
10/17/2014 5.140122532 3.921464774
10/24/2014 5.085148349 3.837086684
10/31/2014 4.999332346 3.737800657
11/7/2014 5.011006849 3.706677336
11/14/2014 4.995262482 3.694548608
11/21/2014 5.005295081 3.676991038
11/28/2014 5.032323702 3.669957261
12/5/2014 5.139745754 3.690461408
12/12/2014 5.405282994 3.914272538
12/19/2014 5.519807965 3.949508522
12/26/2014 5.448301608 3.89882721
1/2/2015 5.443144343 3.88988542
1/9/2015 5.440880506 3.915570376
1/16/2015 5.451260026 3.893411429
1/23/2015 5.443209503 3.879602844
1/30/2015 5.471747275 3.925043577
2/6/2015 5.413791147 3.856426966
2/13/2015 5.334950359 3.794522836
2/20/2015 5.27347492 3.748249472
2/27/2015 5.22462584 3.728373996
3/6/2015 5.188786002 3.677835
3/13/2015 5.160951961 3.68595866
3/20/2015 5.212122718 3.703929496
3/27/2015 5.21040577 3.669109811
4/2/2015 5.176891929 3.661889197
4/10/2015 5.122567945 3.581800596
4/17/2015 5.136221039 3.563280056
4/24/2015 5.113677401 3.560362804
5/1/2015 5.11800049 3.548952597
5/8/2015 5.094962992 3.567037959
5/15/2015 5.111735564 3.595207081
5/22/2015 5.129718477 3.567322428
5/29/2015 5.138548929 3.56770722
6/5/2015 5.223016717 3.581797787
6/12/2015 5.276865047 3.607936474
6/19/2015 5.308696533 3.640718819
6/26/2015 5.309534447 3.624999743
7/2/2015 5.354256657 3.62705514
7/10/2015 5.340924057 3.593556675
7/17/2015 5.296042792 3.54833725
7/24/2015 5.312473852 3.552946258
7/31/2015 5.362804633 3.582230706
8/7/2015 5.3838736 3.624674017
8/14/2015 5.412196953 3.682274495
8/21/2015 5.483047648 3.708981882
8/28/2015 5.560346207 3.735472023
9/4/2015 5.41201616 3.719743088
9/11/2015 5.423930137 3.694121119
9/18/2015 5.445589999 3.675781383
9/25/2015 5.521814767 3.702046847
10/2/2015 5.747364413 3.781452424
10/9/2015 5.754071527 3.77081726
10/16/2015 5.78555008 3.780684027
10/23/2015 5.76314917 3.781348985
10/30/2015 5.768075991 3.848737724
11/6/2015 5.771258001 3.811053802
11/13/2015 5.899560083 3.899866721
11/20/2015 6.075623026 3.947751217
11/27/2015 6.114545324 3.916660319
12/4/2015 6.207904349 3.874484344
12/11/2015 6.660786963 3.95863275
12/18/2015 7.004504876 4.023014983
12/24/2015 7.076315778 4.049996674
12/31/2015 7.078051368 4.032757065
1/8/2016 7.116764079 4.006440014
1/15/2016 7.22109756 4.033594782
1/22/2016 7.463377685 4.140913827
1/29/2016 7.426786701 4.143736858
2/5/2016 7.459994834 4.112145558
2/12/2016 7.710244428 4.262792756
2/19/2016 7.524063928 4.267073355
2/26/2016 7.507702418 4.240147461
3/4/2016 7.245200099 4.113030235
3/11/2016 6.950796478 3.97372928
3/18/2016 6.563393002 3.763428872
3/24/2016 6.504210223 3.781129591
4/1/2016 6.280890574 3.805153009
4/8/2016 6.202166372 3.730850057
4/15/2016 5.807877417 3.690519535
4/22/2016 5.599083232 3.616925643
4/29/2016 5.521393475 3.603262417
5/6/2016 5.49952765 3.642831502
5/13/2016 5.463222133 3.650158304
5/20/2016 5.416815879 3.621082734
5/27/2016 5.332033623 3.579699503
6/3/2016 5.336304568 3.570474948
6/10/2016 5.289366572 3.608965167
6/17/2016 5.294908361 3.64507633
6/24/2016 5.3449611 3.641041079
7/1/2016 5.379635994 3.651662015
7/8/2016 5.33862199 3.622247218
7/15/2016 5.234737724 3.54090099
7/22/2016 5.147036813 3.483750552
7/29/2016 5.121639252 3.448759909
8/5/2016 5.098302719 3.469556608
8/12/2016 5.072111009 3.439328269
8/19/2016 5.132338019 3.444039376
8/26/2016 5.097572653 3.454411856
9/2/2016 5.042716598 3.426115971
9/9/2016 5.001575128 3.385679649
9/16/2016 5.000550277 3.366985965
9/23/2016 4.885045624 3.349084715
9/30/2016 4.883068377 3.341118431
10/7/2016 4.840306451 3.274930981
10/14/2016 4.860983165 3.27357159
10/21/2016 4.80530747 3.202489596
10/28/2016 4.779817803 3.193053394
11/4/2016 4.797016739 3.2485184
11/10/2016 4.799874378 3.272098817
11/18/2016 4.767751003 3.218538427
11/25/2016 4.74923311 3.20983697
12/2/2016 4.681702351 3.20028216
12/9/2016 4.593162295 3.094430078
12/16/2016 4.543337261 3.06594441
12/23/2016 4.59501723 3.071597498
12/30/2016 4.643367528 3.035776307
1/6/2017 4.567639132 3.019919741
1/13/2017 4.536574233 3.030115858
1/20/2017 4.556134591 3.056400182
1/27/2017 4.535020889 3.086673602
2/3/2017 4.50386572 3.060619592
2/10/2017 4.508648423 3.007438418
2/17/2017 4.448177485 2.951559206
2/24/2017 4.388560878 2.932189279
3/3/2017 4.342299593 2.884096232
3/10/2017 4.344391973 2.869587671
3/17/2017 4.321808281 2.85235147
3/24/2017 4.316396112 2.936968178
3/31/2017 4.250673997 2.909729816
4/7/2017 4.154828147 2.878882118
4/13/2017 4.115613652 2.850450981
4/21/2017 4.129010795 2.832789761
4/28/2017 4.126584476 2.81799605
5/5/2017 4.157895866 2.881186836
5/12/2017 4.130287386 2.882424329
5/19/2017 4.111150613 2.888773689
5/26/2017 4.038568302 2.885903683
6/2/2017 4.054623194 2.865969376
6/9/2017 4.034217058 2.869238168
6/16/2017 4.036661586 2.880127448
6/23/2017 4.070468801 2.864037435
6/30/2017 4.07836583 2.8391982
7/7/2017 4.069280898 2.833183299
7/14/2017 4.09480047 2.832880559
7/21/2017 4.090062724 2.804314364
7/28/2017 4.030225752 2.780963817
8/4/2017 4.032379197 2.752044259
8/11/2017 4.056409571 2.799437965
8/18/2017 4.066051766 2.778864261
8/25/2017 4.071799224 2.820702451
9/1/2017 4.059344133 2.852210068
9/8/2017 4.021957791 2.872634763
9/15/2017 4.017126073 2.890653771
9/22/2017 4.022401819 2.824808444
9/29/2017 4.01261109 2.715818027
10/6/2017 3.980137602 2.668259166
10/13/2017 3.945235935 2.666213575
10/20/2017 3.925018654 2.650542487
10/27/2017 3.944708872 2.651767964
11/3/2017 3.965874722 2.626799792
11/10/2017 3.982528913 2.62230663
11/17/2017 3.961012651 2.646345535
11/24/2017 3.954865118 2.637152497
12/1/2017 3.948242077 2.628638214
12/8/2017 3.943982507 2.607844296
12/15/2017 3.999049602 2.622258174
12/22/2017 3.911517766 2.62741151
12/29/2017 3.886199593 2.59495622
1/5/2018 3.873321913 2.552850627
1/12/2018 3.80788949 2.543632317
1/19/2018 3.77164134 2.524089106
1/26/2018 3.733860015 2.495947616
2/2/2018 3.702337911 2.43815613
2/9/2018 3.741603294 2.481185358
2/16/2018 3.730653859 2.486374253
2/23/2018 3.727767465 2.502382641
3/2/2018 3.722636118 2.513098554
3/9/2018 3.721717182 2.509580728
3/16/2018 3.704618344 2.49426911
3/23/2018 3.72231577 2.490181212
3/30/2018 3.723025195 2.492851524
4/6/2018 3.716121272 2.494986203
4/13/2018 3.683437381 2.488722757
4/20/2018 3.660879698 2.456453005
4/27/2018 3.668937741 2.438894246
5/4/2018 3.684271493 2.439840055
5/11/2018 3.679308511 2.44477163
5/18/2018 3.67525846 2.469683352
5/25/2018 3.691765262 2.49195051
6/1/2018 3.723323407 2.484480391
6/8/2018 3.713825007 2.486143205
6/15/2018 3.725509472 2.49076378
6/22/2018 3.745688643 2.516636858
6/29/2018 3.763646519 2.552103429
7/6/2018 3.750008316 2.531111257
7/13/2018 3.756437166 2.541174862
7/20/2018 3.748096173 2.53204466
7/27/2018 3.757417146 2.51411306
8/3/2018 3.752837791 2.498162198
8/10/2018 3.767166224 2.516157236
8/17/2018 3.774359182 2.533004231
8/24/2018 3.807141695 2.482888336
8/31/2018 3.827432743 2.492706273
9/7/2018 3.819108104 2.494551946
9/14/2018 3.806416089 2.499302742
9/21/2018 3.778142713 2.481231531
9/28/2018 3.734823781 2.480723289
10/5/2018 3.726562452 2.476299857
10/12/2018 3.747295956 2.486551972
10/19/2018 3.748605058 2.489240379
10/26/2018 3.789716385 2.537106073
11/2/2018 3.842712856 2.580854793
11/9/2018 3.855036727 2.614676859
11/16/2018 3.951011524 2.681425685
11/23/2018 4.073746606 2.759605448
11/30/2018 4.179859583 2.884428855
12/7/2018 4.334347961 3.009078764
12/14/2018 4.509545853 3.150633514
12/21/2018 4.832573323 3.373170305
12/28/2018 4.941223292 3.462860074
1/4/2019 4.733754374 3.180905956
1/11/2019 4.48670142 2.911212159
1/18/2019 4.475686724 2.838416032
1/25/2019 4.527344409 2.881502704
2/1/2019 4.542935453 2.887671369
2/8/2019 4.492502678 2.862814776
2/15/2019 4.440734662 2.830785831
2/22/2019 4.331918316 2.760269645
3/1/2019 4.236528326 2.685405228
3/8/2019 4.322832003 2.746646671
3/15/2019 4.314548779 2.7348961
3/22/2019 4.397419899 2.786648998
3/29/2019 4.45584151 2.877071041
4/5/2019 4.315945126 2.792921972
4/12/2019 4.257487168 2.741876114
4/18/2019 4.214028918 2.727858907
4/26/2019 4.180719023 2.69829144
5/3/2019 4.127505294 2.683151973
5/10/2019 4.20079036 2.680938891
5/17/2019 4.163569598 2.681971716
5/24/2019 4.219001725 2.68168054
5/31/2019 4.299644758 2.675874467
6/7/2019 4.304943133 2.66533403
6/14/2019 4.313318409 2.653670331
6/21/2019 4.313879279 2.663369166
6/28/2019 4.364151511 2.699296928
7/5/2019 4.355108589 2.691348572
7/12/2019 4.319070747 2.672797309
7/19/2019 4.302483067 2.654044174
7/26/2019 4.303035446 2.647092077
8/2/2019 4.304487151 2.729913326
8/9/2019 4.409349307 2.770048632
8/16/2019 4.503012079 2.801496638
8/23/2019 4.509996898 2.780838119
8/30/2019 4.464821469 2.8023573
9/6/2019 4.419717035 2.741597679
9/13/2019 4.346780885 2.669649229
9/20/2019 4.340224125 2.680274819
9/27/2019 4.325561512 2.674852563
10/4/2019 4.43294389 2.704410323
10/11/2019 4.586544952 2.74495029
10/18/2019 4.618781189 2.721442143
10/25/2019 4.634629528 2.713635755
11/1/2019 4.683168089 2.745953798
11/8/2019 4.677179004 2.751943743
11/15/2019 4.615034062 2.745132176
11/22/2019 4.669846596 2.753986356
11/29/2019 4.658184116 2.742636745
12/6/2019 4.547712738 2.710778218
12/13/2019 4.363787126 2.656414426
12/20/2019 4.242401827 2.64070995
12/27/2019 4.241301411 2.63801446
1/3/2020 4.23049445 2.621672479
1/10/2020 4.140296269 2.579319377
1/17/2020 4.10710221 2.57207486
1/24/2020 4.11279807 2.601422401
1/31/2020 4.191917713 2.627873805
2/7/2020 4.218113466 2.678684624
2/14/2020 4.21048703 2.69448074
2/21/2020 4.189811382 2.710893395
2/28/2020 4.581385576 3.038800808
3/6/2020 4.854775847 3.243091693
3/13/2020 6.393152114 4.750300126
3/20/2020 9.687392601 7.880604267
3/27/2020 9.030652923 6.14613463
4/3/2020 8.152598017 5.048295921
4/9/2020 7.306575883 4.264384758
4/17/2020 6.736097605 3.9406949
4/24/2020 6.913745649 4.121014051
5/1/2020 6.882484943 4.139171101
5/8/2020 6.558610116 4.051761747
5/15/2020 6.511861575 4.03392646
5/22/2020 6.159296181 3.705107904
5/29/2020 5.770013779 3.434488915
6/5/2020 5.419879122 3.211286026
6/12/2020 5.371023165 3.264167139
6/19/2020 5.216089404 3.138677392
6/26/2020 5.509749313 3.381529098
7/3/2020 5.398062822 3.357940019
7/10/2020 5.374377314 3.300913584
7/17/2020 5.200236801 3.191921366
7/24/2020 5.06954331 3.094751379
7/31/2020 5.092788093 3.129945665
8/7/2020 4.960052904 3.049278952
8/14/2020 4.861085065 3.017505498
8/21/2020 4.881261902 3.088271454
8/28/2020 4.831046734 3.07060158
9/4/2020 4.653959376 2.900115285
9/11/2020 4.578625866 2.866778157
9/18/2020 4.556192958 2.881774653
9/25/2020 4.741110976 3.058410064
10/2/2020 4.749737294 3.097629051
10/9/2020 4.632160271 3.005367616
10/16/2020 4.666338215 3.036300748
10/23/2020 4.825568477 3.066052261
10/30/2020 5.004104862 3.217636768
11/6/2020 4.808465024 3.057059694
11/13/2020 4.673767528 2.987008296
11/20/2020 4.669435701 3.020837829
11/27/2020 4.607305087 2.984896174
12/4/2020 4.499880242 2.899996322
12/11/2020 4.461261695 2.86494858
12/18/2020 4.393624919 2.80638031
12/24/2020 4.409350144 2.812745995
12/31/2020 4.389562553 2.795128995
1/8/2021 4.233295434 2.633972204
1/15/2021 4.155066443 2.646288395
1/22/2021 4.160384095 2.632714117
1/29/2021 4.223160977 2.693175607
2/5/2021 4.202910967 2.683015084
2/12/2021 4.130036486 2.704471062
2/19/2021 4.11652962 2.708917555
2/26/2021 4.133478535 2.692784752
3/5/2021 4.140896663 2.753765878
3/12/2021 4.15029676 2.770494246
3/19/2021 4.207701663 2.814910654
3/26/2021 4.233783652 2.840583716
4/2/2021 4.242169768 2.842340603
4/9/2021 4.166703584 2.791289321
4/16/2021 4.159516434 2.809300991
4/23/2021 4.188169454 2.771439806
4/30/2021 4.182422238 2.803546376
5/7/2021 4.186015167 2.813823733
5/14/2021 4.189507423 2.839720377
5/21/2021 4.162665279 2.815530351
5/28/2021 4.151023931 2.789107922
6/4/2021 4.13752527 2.818051684
6/11/2021 4.118869664 2.801147259
6/18/2021 4.147247387 2.857268469
6/25/2021 4.167449714 2.884636112
7/2/2021 4.16808501 2.895677266
7/9/2021 4.162528117 2.910820624
7/16/2021 4.152421941 2.858111782
7/23/2021 4.165367422 2.895482153
7/30/2021 4.214504276 2.920575298
8/6/2021 4.229902602 2.926476014
8/13/2021 4.2282632 3.088344559
8/20/2021 4.252212643 3.142292087
8/27/2021 4.235844894 3.117211558
9/3/2021 4.214371648 3.094625117
9/10/2021 4.184917606 3.071907489
9/17/2021 4.176513462 3.065419697
9/24/2021 4.178544949 3.060116647
10/1/2021 4.169831729 3.048551965
10/8/2021 4.183369366 3.046718806
10/15/2021 4.196000152 3.046699697
10/22/2021 4.189198809 3.054536077
10/29/2021 4.196742642 3.058988632
11/5/2021 4.179190915 3.053364043
11/12/2021 4.165704061 3.00451615
11/19/2021 4.168709723 3.008438757
11/26/2021 4.210727949 3.038421654
12/3/2021 4.285602253 3.083825581
12/10/2021 4.239507783 3.030513594
12/17/2021 4.226753013 3.071087529
12/24/2021 4.219803493 3.060229853
12/31/2021 4.280376332 3.080799937
1/7/2022 4.206427635 3.024832103
1/14/2022 4.175881376 2.992310027
1/21/2022 4.1572083 2.985139631
1/28/2022 4.236650264 3.031279612
2/4/2022 4.244349761 3.027858635
2/11/2022 4.295861193 3.059315004
2/18/2022 4.384179186 3.159829792
2/25/2022 4.461715199 3.229838462
3/4/2022 4.453774687 3.24193604
3/11/2022 4.773297859 3.500537716
3/18/2022 4.721740898 3.453609815
3/25/2022 4.58234696 3.338562161
4/1/2022 4.433104838 3.175361271
4/8/2022 4.198682806 3.010871779
4/15/2022 4.199813108 3.048717945
4/22/2022 4.214554676 3.019629533
4/29/2022 4.32392627 3.102746585
5/6/2022 4.453704988 3.235162249
5/13/2022 4.942924014 3.633495242
5/20/2022 5.094648654 3.724783819
5/27/2022 5.16713692 3.718416761
6/3/2022 4.961909022 3.485450364
6/10/2022 4.990382554 3.505355674
6/17/2022 5.389730781 3.833247969
6/24/2022 5.499729194 3.889322357
7/1/2022 5.870248436 4.166976213
7/8/2022 5.911972359 4.193191706
7/15/2022 5.843413006 4.138839423
7/22/2022 5.413868166 3.72025581
7/29/2022 5.365784892 3.683711044
8/5/2022 5.184972588 3.495140185
8/12/2022 4.898934992 3.297494714
8/19/2022 4.988872418 3.330274625
8/26/2022 5.076946736 3.415900909
9/2/2022 5.230128908 3.477416436
9/9/2022 5.208139161 3.457064767
9/16/2022 5.292604144 3.495188283
9/23/2022 5.580698957 3.595145832
9/30/2022 5.954246277 3.804468941
10/7/2022 5.74787332 3.642476257
10/14/2022 5.919739928 3.663220418

Note: The data show secondary-market discounted spreads to maturity. Spreads are the constant spread used to equate discounted loan cash flows to the current market price. B-rated spreads begin in July 1997. The line break represents the data transitioning from monthly to weekly in November 2013.

Source: PitchBook Data, Leveraged Commentary & Data.

Return to text
Figure 1.9. The price-to-earnings ratio of S&P 500 firms declined but remained a bit above its historical median

Ratio

Date Forward Price-to-Earnings Ratio
Jan 1989 10.06709088
Feb 1989 10.143673
Mar 1989 10.11429624
Apr 1989 10.42333374
May 1989 10.725459
Jun 1989 10.85288276
Jul 1989 11.24236278
Aug 1989 11.55572783
Sep 1989 11.50748845
Oct 1989 11.4717804
Nov 1989 11.51416832
Dec 1989 11.88428766
Jan 1990 11.52843818
Feb 1990 11.300534
Mar 1990 11.4950284
Apr 1990 11.65034766
May 1990 12.07302489
Jun 1990 12.38078597
Jul 1990 12.39023081
Aug 1990 11.50905526
Sep 1990 10.78640449
Oct 1990 10.30250127
Nov 1990 11.18200835
Dec 1990 11.66210852
Jan 1991 11.25522372
Feb 1991 13.42893119
Mar 1991 13.76877955
Apr 1991 14.44536247
May 1991 13.64196686
Jun 1991 13.9017819
Jul 1991 14.15817963
Aug 1991 14.39596254
Sep 1991 14.20689734
Oct 1991 14.31433557
Nov 1991 14.45360766
Dec 1991 14.01007254
Jan 1992 15.3685185
Feb 1992 15.00812274
Mar 1992 14.86387772
Apr 1992 14.80732681
May 1992 14.69676509
Jun 1992 14.0098778
Jul 1992 14.42960812
Aug 1992 14.44944392
Sep 1992 14.40767047
Oct 1992 14.00242189
Nov 1992 14.51585548
Dec 1992 14.70605176
Jan 1993 14.61192743
Feb 1993 14.66202691
Mar 1993 15.01077273
Apr 1993 15.03047236
May 1993 14.71713587
Jun 1993 14.63428692
Jul 1993 14.63173352
Aug 1993 14.76176047
Sep 1993 14.80341396
Oct 1993 14.64191167
Nov 1993 14.66711224
Dec 1993 14.47854822
Jan 1994 14.748407
Feb 1994 14.60406317
Mar 1994 14.33516404
Apr 1994 13.45612656
May 1994 13.4173224
Jun 1994 13.46841903
Jul 1994 13.00211033
Aug 1994 13.20649727
Sep 1994 13.10901086
Oct 1994 12.91869951
Nov 1994 12.55679012
Dec 1994 12.08882416
Jan 1995 12.31485274
Feb 1995 12.4849468
Mar 1995 12.50471617
Apr 1995 12.65909925
May 1995 12.90747481
Jun 1995 13.0559034
Jul 1995 13.30261262
Aug 1995 13.35276288
Sep 1995 13.67402829
Oct 1995 13.77202999
Nov 1995 13.80278321
Dec 1995 14.31963821
Jan 1996 14.01309936
Feb 1996 15.22947465
Mar 1996 14.80619111
Apr 1996 14.78724221
May 1996 15.19210446
Jun 1996 14.71462437
Jul 1996 14.40598006
Aug 1996 14.91997631
Sep 1996 15.24481493
Oct 1996 15.61184106
Nov 1996 16.07231372
Dec 1996 15.84823331
Jan 1997 16.46009693
Feb 1997 17.36130836
Mar 1997 16.64638145
Apr 1997 16.02641439
May 1997 17.38398008
Jun 1997 18.39342836
Jul 1997 19.22896861
Aug 1997 18.67936823
Sep 1997 18.91938512
Oct 1997 19.19964505
Nov 1997 18.60048708
Dec 1997 18.8676892
Jan 1998 18.66164417
Feb 1998 20.36174252
Mar 1998 21.42338829
Apr 1998 21.90451991
May 1998 21.68891796
Jun 1998 21.41908226
Jul 1998 22.77206227
Aug 1998 21.16606074
Sep 1998 20.01409785
Oct 1998 19.27678274
Nov 1998 22.01840534
Dec 1998 22.29805745
Jan 1999 23.70342692
Feb 1999 23.52876936
Mar 1999 24.72428693
Apr 1999 24.95255062
May 1999 24.73656027
Jun 1999 24.29611565
Jul 1999 25.43777533
Aug 1999 23.90353963
Sep 1999 23.46554264
Oct 1999 22.54821452
Nov 1999 24.49696384
Dec 1999 24.41890558
Jan 2000 24.84932884
Feb 2000 24.02429658
Mar 2000 23.72742568
Apr 2000 23.91082447
May 2000 23.88344896
Jun 2000 24.0989235
Jul 2000 24.09585758
Aug 2000 23.85644682
Sep 2000 23.85858198
Oct 2000 21.44152733
Nov 2000 22.24521764
Dec 2000 22.09809673
Jan 2001 21.97938465
Feb 2001 22.09726369
Mar 2001 19.72076982
Apr 2001 21.40893891
May 2001 22.23469953
Jun 2001 21.67270025
Jul 2001 21.60645216
Aug 2001 21.16530394
Sep 2001 18.41803364
Oct 2001 20.37422275
Nov 2001 21.49178681
Dec 2001 21.57109894
Jan 2002 20.99974285
Feb 2002 20.46782586
Mar 2002 20.75004619
Apr 2002 20.17031923
May 2002 19.39751348
Jun 2002 18.11067843
Jul 2002 16.14410849
Aug 2002 16.60030641
Sep 2002 15.71781177
Oct 2002 15.77665015
Nov 2002 16.01959295
Dec 2002 16.11953117
Jan 2003 16.48200999
Feb 2003 15.33925384
Mar 2003 15.70552956
Apr 2003 15.678244
May 2003 16.56229452
Jun 2003 17.69004568
Jul 2003 17.27413955
Aug 2003 16.9367983
Sep 2003 17.41366158
Oct 2003 17.50462992
Nov 2003 17.10010146
Dec 2003 17.42860189
Jan 2004 18.09523432
Feb 2004 18.0923363
Mar 2004 17.39728415
Apr 2004 17.10514935
May 2004 15.97565203
Jun 2004 16.4111658
Jul 2004 15.92438026
Aug 2004 15.51322333
Sep 2004 15.7695566
Oct 2004 15.48480259
Nov 2004 16.16844269
Dec 2004 16.32133626
Jan 2005 15.95178552
Feb 2005 16.16705854
Mar 2005 15.64285123
Apr 2005 15.30338068
May 2005 15.27812043
Jun 2005 15.41411081
Jul 2005 15.40761287
Aug 2005 15.13798397
Sep 2005 14.95302409
Oct 2005 14.33452742
Nov 2005 14.60965941
Dec 2005 14.97918569
Jan 2006 14.90273513
Feb 2006 14.93142241
Mar 2006 15.0614473
Apr 2006 14.99151703
May 2006 14.29586444
Jun 2006 13.69230041
Jul 2006 13.90222199
Aug 2006 14.1250321
Sep 2006 14.26082798
Oct 2006 14.65403243
Nov 2006 14.80715891
Dec 2006 14.82477122
Jan 2007 15.0144358
Feb 2007 15.3899578
Mar 2007 14.55646024
Apr 2007 15.31425479
May 2007 15.50726653
Jun 2007 15.29753496
Jul 2007 15.40942836
Aug 2007 13.87195689
Sep 2007 15.00750333
Oct 2007 15.01419035
Nov 2007 14.32239463
Dec 2007 14.19746957
Jan 2008 13.49129279
Feb 2008 13.67643017
Mar 2008 13.08902263
Apr 2008 13.80484493
May 2008 14.30343197
Jun 2008 13.50732029
Jul 2008 12.59652694
Aug 2008 13.28956056
Sep 2008 12.00989332
Oct 2008 9.931910326
Nov 2008 9.736767463
Dec 2008 11.87298025
Jan 2009 11.47940143
Feb 2009 12.45719029
Mar 2009 12.42339157
Apr 2009 13.51185735
May 2009 14.65648716
Jun 2009 14.7267628
Jul 2009 14.79715882
Aug 2009 15.20087004
Sep 2009 15.910136
Oct 2009 15.85259127
Nov 2009 15.12129522
Dec 2009 14.88902711
Jan 2010 14.80322798
Feb 2010 13.80982783
Mar 2010 14.4374496
Apr 2010 14.8237115
May 2010 12.98681741
Jun 2010 12.81743088
Jul 2010 12.49464218
Aug 2010 12.10028247
Sep 2010 12.3542234
Oct 2010 12.83725731
Nov 2010 12.56782911
Dec 2010 13.0308911
Jan 2011 13.2144376
Feb 2011 13.70539613
Mar 2011 12.60728357
Apr 2011 12.97030297
May 2011 12.89552662
Jun 2011 12.06708684
Jul 2011 12.63807176
Aug 2011 11.28186774
Sep 2011 11.24223292
Oct 2011 11.49825835
Nov 2011 11.67443465
Dec 2011 11.40433673
Jan 2012 12.32810605
Feb 2012 12.63346676
Mar 2012 12.96370164
Apr 2012 12.65673402
May 2012 12.01156364
Jun 2012 11.89114475
Jul 2012 12.59189574
Aug 2012 12.91751976
Sep 2012 13.33687895
Oct 2012 13.20832039
Nov 2012 12.18689269
Dec 2012 12.85504987
Jan 2013 13.11895879
Feb 2013 13.53002135
Mar 2013 13.71715523
Apr 2013 13.5910625
May 2013 14.47746857
Jun 2013 14.10194565
Jul 2013 14.50800558
Aug 2013 14.57961558
Sep 2013 14.83663623
Oct 2013 14.71092112
Nov 2013 15.0320939
Dec 2013 15.19881183
Jan 2014 15.42526766
Feb 2014 15.43424659
Mar 2014 15.60270751
Apr 2014 15.49603979
May 2014 15.44991513
Jun 2014 15.8288091
Jul 2014 15.96593089
Aug 2014 15.54739051
Sep 2014 15.89243418
Oct 2014 14.75947245
Nov 2014 16.18985707
Dec 2014 16.11352235
Jan 2015 16.22869564
Feb 2015 17.35100457
Mar 2015 17.27190737
Apr 2015 17.28553187
May 2015 17.08897634
Jun 2015 16.9588868
Jul 2015 16.97721534
Aug 2015 16.75303245
Sep 2015 16.09312219
Oct 2015 16.14015716
Nov 2015 16.79618812
Dec 2015 16.68713376
Jan 2016 15.29581626
Feb 2016 15.9113714
Mar 2016 16.70905207
Apr 2016 17.09151203
May 2016 16.67402083
Jun 2016 16.74548191
Jul 2016 17.39772884
Aug 2016 17.51888784
Sep 2016 16.91767003
Oct 2016 16.8895158
Nov 2016 16.94676957
Dec 2016 17.32840809
Jan 2017 17.27524861
Feb 2017 17.90983408
Mar 2017 18.03651147
Apr 2017 17.54112016
May 2017 17.4951355
Jun 2017 17.90955706
Jul 2017 18.22838104
Aug 2017 18.09492322
Sep 2017 18.18156541
Oct 2017 18.44334592
Nov 2017 18.14549905
Dec 2017 18.63769558
Jan 2018 18.72578119
Feb 2018 17.28039406
Mar 2018 17.37463761
Apr 2018 16.92126095
May 2018 16.68267288
Jun 2018 16.84096724
Jul 2018 17.02948532
Aug 2018 16.82072933
Sep 2018 17.20918836
Oct 2018 16.49212991
Nov 2018 15.71849746
Dec 2018 14.6494384
Jan 2019 15.45449678
Feb 2019 16.34263844
Mar 2019 16.60170059
Apr 2019 17.07803981
May 2019 16.66159723
Jun 2019 17.02827163
Jul 2019 17.44939237
Aug 2019 16.54229367
Sep 2019 17.40297937
Oct 2019 17.31264534
Nov 2019 17.83237778
Dec 2019 18.2515205
Jan 2020 18.73188317
Feb 2020 19.27112893
Mar 2020 14.12575935
Apr 2020 18.93008699
May 2020 20.51814296
Jun 2020 22.39985811
Jul 2020 23.09630608
Aug 2020 23.09758652
Sep 2020 22.6402806
Oct 2020 22.81034818
Nov 2020 22.2421563
Dec 2020 22.55844043
Jan 2021 23.04731508
Feb 2021 22.75771151
Mar 2021 22.45310442
Apr 2021 22.64594098
May 2021 21.33063695
Jun 2021 21.59642933
Jul 2021 22.1794698
Aug 2021 21.43756209
Sep 2021 21.63058365
Oct 2021 20.80671921
Nov 2021 21.84139712
Dec 2021 21.6020455
Jan 2022 20.55074576
Feb 2022 19.96059971
Mar 2022 19.12869315
Apr 2022 19.32456373
May 2022 16.86483819
Jun 2022 16.16207811
Jul 2022 16.33673651
Aug 2022 18.60774907
Sep 2022 17.12946741

Note: The figure shows the aggregate forward price-to-earnings ratio of S&P 500 firms, based on expected earnings for 12 months ahead. The median value is 15.45.

Source: Federal Reserve Board staff calculations using Refinitiv, Institutional Brokers' Estimate System estimates.

Return to text
Figure 1.10. An estimate of the equity premium declined to about its historical median

Percentage points

Date Spread
Oct 1991 3.314376993
Nov 1991 3.29908601
Dec 1991 3.807710702
Jan 1992 2.882909562
Feb 1992 2.798774557
Mar 1992 2.735434442
Apr 1992 3.004546581
May 1992 3.14481383
Jun 1992 3.594862402
Jul 1992 3.574070391
Aug 1992 3.783143224
Sep 1992 3.928004494
Oct 1992 3.837524918
Nov 1992 3.382837585
Dec 1992 3.384470277
Jan 1993 3.487974205
Feb 1993 3.804506992
Mar 1993 3.873439812
Apr 1993 4.092763394
May 1993 4.226900576
Jun 1993 4.409581114
Jul 1993 4.33185278
Aug 1993 4.355174684
Sep 1993 4.648213958
Oct 1993 4.767125537
Nov 1993 4.384519709
Dec 1993 4.444582614
Jan 1994 4.356184211
Feb 1994 4.179362382
Mar 1994 3.79483378
Apr 1994 3.82857971
May 1994 3.678104151
Jun 1994 3.737914233
Jul 1994 3.801016457
Aug 1994 3.751371765
Sep 1994 3.583077295
Oct 1994 3.437699174
Nov 1994 3.465888898
Dec 1994 3.886622165
Jan 1995 3.540595743
Feb 1995 3.760545666
Mar 1995 3.986641024
Apr 1995 4.091754878
May 1995 4.381678633
Jun 1995 4.721949162
Jul 1995 4.32180091
Aug 1995 4.083644379
Sep 1995 4.179374872
Oct 1995 4.116727049
Nov 1995 4.219121447
Dec 1995 4.158338091
Jan 1996 4.36820933
Feb 1996 3.646571413
Mar 1996 3.344365013
Apr 1996 3.095221869
May 1996 2.743698337
Jun 1996 2.811865886
Jul 1996 3.033216971
Aug 1996 3.030394134
Sep 1996 2.654801719
Oct 1996 2.803658464
Nov 1996 2.943443523
Dec 1996 2.95156224
Jan 1997 2.455219797
Feb 1997 2.279989534
Mar 1997 2.221524429
Apr 1997 2.112786283
May 1997 1.815217269
Jun 1997 1.69463204
Jul 1997 1.879043246
Aug 1997 1.931737104
Sep 1997 1.937911472
Oct 1997 1.68109306
Nov 1997 2.029968115
Dec 1997 2.045806335
Jan 1998 2.294950136
Feb 1998 1.780034751
Mar 1998 1.460674599
Apr 1998 1.267694876
May 1998 1.288887235
Jun 1998 1.502935334
Jul 1998 1.278984934
Aug 1998 1.757708151
Sep 1998 2.481341548
Oct 1998 2.858744847
Nov 1998 1.961767101
Dec 1998 2.043194153
Jan 1999 1.441601155
Feb 1999 1.201789583
Mar 1999 0.757592545
Apr 1999 1.007158009
May 1999 0.71502919
Jun 1999 0.43058399
Jul 1999 0.329187242
Aug 1999 0.396979679
Sep 1999 0.456273289
Oct 1999 0.426476033
Nov 1999 0.243934552
Dec 1999 0.02682876
Jan 2000 -0.303154891
Feb 2000 -0.042670702
Mar 2000 0.210794628
Apr 2000 0.420375252
May 2000 0.015530045
Jun 2000 0.319156735
Jul 2000 0.412846223
Aug 2000 0.634148027
Sep 2000 0.631430386
Oct 2000 1.21183042
Nov 2000 1.102530385
Dec 2000 1.570161451
Jan 2001 1.666423344
Feb 2001 1.674487753
Mar 2001 2.392578401
Apr 2001 1.776069055
May 2001 1.399711188
Jun 2001 1.606979455
Jul 2001 1.684360509
Aug 2001 1.9842208
Sep 2001 2.881061251
Oct 2001 2.601362693
Nov 2001 2.262235256
Dec 2001 1.782497429
Jan 2002 1.937910692
Feb 2002 2.148774662
Mar 2002 1.719776381
Apr 2002 1.968652466
May 2002 2.256109026
Jun 2002 2.862854305
Jul 2002 3.79269647
Aug 2002 3.988962465
Sep 2002 4.698103775
Oct 2002 4.536062996
Nov 2002 4.367240077
Dec 2002 4.344378182
Jan 2003 4.266664032
Feb 2003 4.881332455
Mar 2003 4.829260413
Apr 2003 4.714612942
May 2003 4.794301234
Jun 2003 4.646429986
Jul 2003 4.153450355
Aug 2003 3.761446504
Sep 2003 3.796808107
Oct 2003 3.766965213
Nov 2003 3.896051852
Dec 2003 3.826049436
Jan 2004 3.746186943
Feb 2004 3.80814425
Mar 2004 4.286219261
Apr 2004 3.849597503
May 2004 3.884165421
Jun 2004 3.709464708
Jul 2004 4.138926853
Aug 2004 4.512595425
Sep 2004 4.577432388
Oct 2004 4.720674775
Nov 2004 4.363027555
Dec 2004 4.285285679
Jan 2005 4.403735707
Feb 2005 4.389090764
Mar 2005 4.255782845
Apr 2005 4.611889568
May 2005 4.823355365
Jun 2005 4.916780211
Jul 2005 4.744813064
Aug 2005 4.770447279
Sep 2005 4.906848536
Oct 2005 4.919388015
Nov 2005 4.684741534
Dec 2005 4.60436842
Jan 2006 4.707597636
Feb 2006 4.538132948
Mar 2006 4.316150784
Apr 2006 4.097181114
May 2006 4.308539048
Jun 2006 4.621801944
Jul 2006 4.543434749
Aug 2006 4.636482102
Sep 2006 4.714150572
Oct 2006 4.524664997
Nov 2006 4.592151932
Dec 2006 4.611506661
Jan 2007 4.180585496
Feb 2007 4.048706772
Mar 2007 4.570497477
Apr 2007 4.155463934
May 2007 4.032976114
Jun 2007 3.762386629
Jul 2007 3.806314352
Aug 2007 4.811075218
Sep 2007 4.434365099
Oct 2007 4.428088535
Nov 2007 5.08216266
Dec 2007 5.170253671
Jan 2008 5.992364301
Feb 2008 5.865374567
Mar 2008 6.406624845
Apr 2008 5.85858364
May 2008 5.401505253
Jun 2008 5.596202455
Jul 2008 6.250809743
Aug 2008 5.962684218
Sep 2008 6.931968648
Oct 2008 8.311224636
Nov 2008 8.736921207
Dec 2008 7.987985152
Jan 2009 8.050815595
Feb 2009 7.04018712
Mar 2009 7.203495365
Apr 2009 6.646811791
May 2009 5.701242313
Jun 2009 5.235622238
Jul 2009 5.385695022
Aug 2009 5.197989844
Sep 2009 5.105339476
Oct 2009 4.936759821
Nov 2009 5.236095388
Dec 2009 5.197973757
Jan 2010 5.250972861
Feb 2010 5.781867242
Mar 2010 5.461213709
Apr 2010 5.209517085
May 2010 6.544510967
Jun 2010 6.847657349
Jul 2010 7.159901912
Aug 2010 7.770892581
Sep 2010 7.635755047
Oct 2010 7.353865912
Nov 2010 7.327778638
Dec 2010 6.483045009
Jan 2011 6.397360585
Feb 2011 5.95790672
Mar 2011 6.743388039
Apr 2011 6.576245143
May 2011 6.910498528
Jun 2011 7.6140088
Jul 2011 7.232009478
Aug 2011 8.896202317
Sep 2011 9.252796738
Oct 2011 8.978719307
Nov 2011 9.010825283
Dec 2011 9.255946506
Jan 2012 8.419481074
Feb 2012 8.232738683
Mar 2012 7.812968898
Apr 2012 8.314094335
May 2012 9.007883488
Jun 2012 9.274357355
Jul 2012 8.774744503
Aug 2012 8.401041585
Sep 2012 8.134795593
Oct 2012 8.142113918
Nov 2012 8.869842091
Dec 2012 8.378204112
Jan 2013 8.018718049
Feb 2013 7.70941346
Mar 2013 7.634646308
Apr 2013 7.920103743
May 2013 7.28371672
Jun 2013 7.064230084
Jul 2013 6.485800737
Aug 2013 6.279064124
Sep 2013 6.104257239
Oct 2013 6.446234502
Nov 2013 6.191164725
Dec 2013 5.930556916
Jan 2014 5.887050626
Feb 2014 6.028661399
Mar 2014 5.950244041
Apr 2014 5.961995034
May 2014 6.139708424
Jun 2014 5.936213726
Jul 2014 5.891668476
Aug 2014 6.174628497
Sep 2014 5.918245168
Oct 2014 6.627459946
Nov 2014 6.002345655
Dec 2014 6.162845005
Jan 2015 6.338994667
Feb 2015 5.825660325
Mar 2015 5.794343959
Apr 2015 5.931571374
May 2015 5.721160562
Jun 2015 5.604722551
Jul 2015 5.680638391
Aug 2015 5.916201935
Sep 2015 6.148087014
Oct 2015 6.239026522
Nov 2015 5.779126576
Dec 2015 5.840068177
Jan 2016 6.519256511
Feb 2016 6.565753379
Mar 2016 6.156179973
Apr 2016 6.210738367
May 2016 6.348344138
Jun 2016 6.495287331
Jul 2016 6.373651683
Aug 2016 6.272707507
Sep 2016 6.396869931
Oct 2016 6.348692852
Nov 2016 5.928429628
Dec 2016 5.432937212
Jan 2017 5.613333639
Feb 2017 5.419240441
Mar 2017 5.320800691
Apr 2017 5.669032317
May 2017 5.672979123
Jun 2017 5.673310987
Jul 2017 5.393900711
Aug 2017 5.54205977
Sep 2017 5.530406456
Oct 2017 5.254519224
Nov 2017 5.343184722
Dec 2017 5.143980175
Jan 2018 4.997326399
Feb 2018 5.154652438
Mar 2018 5.151825273
Apr 2018 5.343339356
May 2018 5.307079662
Jun 2018 5.311910747
Jul 2018 5.171991889
Aug 2018 5.250049761
Sep 2018 5.004254546
Oct 2018 5.115943637
Nov 2018 5.446921247
Dec 2018 6.203684467
Jan 2019 5.965099098
Feb 2019 5.645341926
Mar 2019 5.648188846
Apr 2019 5.515682494
May 2019 5.792234657
Jun 2019 5.986011618
Jul 2019 5.870158586
Aug 2019 6.608574548
Sep 2019 6.230407535
Oct 2019 6.262470243
Nov 2019 5.976666581
Dec 2019 5.789852712
Jan 2020 5.763091551
Feb 2020 5.871930643
Mar 2020 8.339269979
Apr 2020 6.694053049
May 2020 6.299335419
Jun 2020 5.848186727
Jul 2020 5.731160334
Aug 2020 5.711294761
Sep 2020 5.773601628
Oct 2020 5.720798972
Nov 2020 5.748777494
Dec 2020 5.625344198
Jan 2021 5.462258095
Feb 2021 5.321841249
Mar 2021 4.98250103
Apr 2021 5.027197831
May 2021 5.311202542
Jun 2021 5.355963257
Jul 2021 5.591759767
Aug 2021 5.788486794
Sep 2021 5.660521856
Oct 2021 5.738489737
Nov 2021 5.524246691
Dec 2021 5.654604886
Jan 2022 5.528338462
Feb 2022 5.505264252
Mar 2022 5.542848661
Apr 2022 5.163596065
May 2022 5.751439416
Jun 2022 5.747727911
Jul 2022 5.931543587
Aug 2022 5.214809491
Sep 2022 5.029774076

Note: The figure shows the difference between the aggregate forward earnings-to-price ratio of S&P 500 firms and the expected real Treasury yields, based on expected earnings for 12 months ahead. Expected real Treasury yields are calculated from the 10-year consumer price index inflation forecast, and the smoothed nominal yield curve is estimated from off-the-run securities. The median value is 4.8 percentage points.

Source: Federal Reserve Board staff calculations using Refinitiv, Institutional Brokers' Estimate System estimates; Department of the Treasury; Federal Reserve Bank of Philadelphia, Survey of Professional Forecasters.

Return to text
Figure 1.11. Volatility in equity markets remained elevated

Percent

Date Option-implied volatility Realized volatility
Jan 1996 13.47363636 11.65034473
Feb 1996 15.033 11.48158746
Mar 1996 17.76238095 14.56102192
Apr 1996 16.21222222 12.24226561
May 1996 16.14636364 11.30780481
Jun 1996 16.50352941 11.10514626
Jul 1996 17.97863636 15.02759739
Aug 1996 15.76045455 13.42589821
Sep 1996 16.578 11.17612342
Oct 1996 16.28636364 9.855748323
Nov 1996 15.997 10.2573086
Dec 1996 19.26095238 13.4187526
Jan 1997 19.61666667 14.58848362
Feb 1997 20.13947368 14.8179628
Mar 1997 20.17 14.62496995
Apr 1997 19.6955 17.16074206
May 1997 19.9247619 16.36081775
Jun 1997 20.19428571 14.99021744
Jul 1997 20.50857143 16.15576528
Aug 1997 23.0847619 18.10939529
Sep 1997 23.79947368 18.76185793
Oct 1997 23.87086957 18.81099821
Nov 1997 31.98421053 24.00168951
Dec 1997 26.27636364 18.51646156
Jan 1998 23.8665 17.90034586
Feb 1998 19.99894737 15.36094171
Mar 1998 20.03238095 12.66959643
Apr 1998 22.16210526 13.00296535
May 1998 20.874 13.94025796
Jun 1998 21.66272727 15.59144394
Jul 1998 20.23263158 14.61099295
Aug 1998 31.58809524 22.79874342
Sep 1998 38.132 34.22367726
Oct 1998 36.60818182 33.02757373
Nov 1998 26.223 23.14593474
Dec 1998 25.47909091 18.94413831
Jan 1999 27.96888889 19.50952254
Feb 1999 28.82263158 21.72301223
Mar 1999 25.30956522 20.64715374
Apr 1999 23.47857143 19.8533331
May 1999 26.2045 20.94968571
Jun 1999 23.54571429 19.25537796
Jul 1999 21.04904762 16.54274892
Aug 1999 24.32363636 17.73883952
Sep 1999 24.54142857 18.9627645
Oct 1999 24.02142857 20.90269059
Nov 1999 21.81809524 19.24984336
Dec 1999 22.15909091 16.88879143
Jan 2000 23.202 19.24516868
Feb 2000 23.5955 21.853262
Mar 2000 22.73409091 24.38194426
Apr 2000 27.16421053 32.65160921
May 2000 26.37318182 28.64900051
Jun 2000 21.54 22.88448589
Jul 2000 19.893 17.97404955
Aug 2000 18.08869565 16.20603453
Sep 2000 19.6875 15.20447312
Oct 2000 25.2 23.35116928
Nov 2000 26.38285714 24.80389143
Dec 2000 26.5305 25.2321889
Jan 2001 24.91857143 27.35017542
Feb 2001 23.41157895 21.54215181
Mar 2001 28.5355 26.8006703
Apr 2001 28.134 28.23884761
May 2001 22.94409091 21.90111134
Jun 2001 20.94047619 18.06216043
Jul 2001 22.31619048 17.40001215
Aug 2001 21.86173913 16.96531974
Sep 2001 35.06533333 25.32885155
Oct 2001 32.61227273 27.4063737
Nov 2001 26.63095238 23.67190862
Dec 2001 23.72 18.78637452
Jan 2002 22.25285714 16.06449515
Feb 2002 22.87578947 18.99920562
Mar 2002 18.985 18.1384047
Apr 2002 19.90045455 16.33658212
May 2002 20.08772727 17.45174181
Jun 2002 25.271 21.12195265
Jul 2002 34.04954545 33.76685267
Aug 2002 33.74272727 37.95492183
Sep 2002 37.6475 31.1155591
Oct 2002 35.42954545 35.06819968
Nov 2002 28.175 29.79742072
Dec 2002 28.21047619 23.95341058
Jan 2003 27.50631579 21.43904643
Feb 2003 32.21842105 23.23359331
Mar 2003 30.63428571 23.99518975
Apr 2003 23.99190476 22.72131341
May 2003 20.23952381 19.38560568
Jun 2003 20.36238095 17.86706927
Jul 2003 19.16136364 17.93898919
Aug 2003 19.27428571 17.42914347
Sep 2003 19.53238095 14.618649
Oct 2003 18.02347826 14.3894069
Nov 2003 17.40105263 13.1403466
Dec 2003 16.82636364 11.89378741
Jan 2004 15.95333333 11.12545735
Feb 2004 15.99842105 12.40840537
Mar 2004 17.6873913 13.10017572
Apr 2004 15.69857143 13.21275003
May 2004 17.705 15.28472082
Jun 2004 15.35714286 12.46022703
Jul 2004 15.50238095 11.55054681
Aug 2004 16.68409091 12.50156574
Sep 2004 14.08095238 10.50772839
Oct 2004 14.97 10.53421807
Nov 2004 13.57714286 11.20488204
Dec 2004 12.45954545 10.52697309
Jan 2005 13.438 10.67552643
Feb 2005 11.70894737 9.963594088
Mar 2005 13.12636364 10.44513855
Apr 2005 14.45904762 11.94347562
May 2005 13.96761905 13.11690593
Jun 2005 11.86863636 10.86975063
Jul 2005 11.049 10.28578308
Aug 2005 12.95130435 9.659175872
Sep 2005 12.62809524 10.32170905
Oct 2005 14.93761905 12.9246849
Nov 2005 12.14761905 11.97681507
Dec 2005 11.26 9.853999631
Jan 2006 12.036 9.737107357
Feb 2006 12.47105263 10.38231423
Mar 2006 11.69391304 9.662973637
Apr 2006 11.84736842 10.16759549
May 2006 14.45454545 11.86744497
Jun 2006 16.91863636 15.17018699
Jul 2006 15.326 13.80278041
Aug 2006 13.35173913 12.249489
Sep 2006 12.1845 9.570091687
Oct 2006 11.30636364 8.863376294
Nov 2006 10.81761905 9.041159712
Dec 2006 10.9645 9.468517221
Jan 2007 11.0425 9.441876741
Feb 2007 11.15526316 9.083496841
Mar 2007 15.16272727 14.32020572
Apr 2007 12.933 11.39808793
May 2007 13.29772727 9.905679288
Jun 2007 14.94761905 11.40349275
Jul 2007 17.27333333 13.50716769
Aug 2007 25.02608696 23.41547222
Sep 2007 22.19894737 19.72751576
Oct 2007 19.11565217 15.48316576
Nov 2007 25.58238095 21.49500852
Dec 2007 21.651 20.97922405
Jan 2008 25.81619048 25.1249573
Feb 2008 25.456 27.92667916
Mar 2008 27.1035 26.70999672
Apr 2008 21.56272727 21.36106711
May 2008 18.30333333 16.79661003
Jun 2008 22.11047619 17.37628954
Jul 2008 24.32136364 23.04180249
Aug 2008 20.69571429 20.35869836
Sep 2008 30.23857143 30.0915528
Oct 2008 61.1773913 66.34619823
Nov 2008 62.63947368 72.29196723
Dec 2008 52.405 61.57995685
Jan 2009 44.683 43.39226798
Feb 2009 45.57052632 40.46284191
Mar 2009 44.79545455 42.69968552
Apr 2009 38.06380952 35.18531529
May 2009 31.978 29.37673851
Jun 2009 29.14045455 25.07380033
Jul 2009 26.16272727 21.51173913
Aug 2009 25.33714286 19.31643548
Sep 2009 24.92666667 17.47931749
Oct 2009 24.25227273 17.56374345
Nov 2009 23.7835 19.4773597
Dec 2009 21.23954545 15.26075188
Jan 2010 20.64315789 12.83515066
Feb 2010 22.54 17.91308188
Mar 2010 17.7673913 14.12507709
Apr 2010 17.42428571 12.48215538
May 2010 31.9295 27.58575966
Jun 2010 29.91636364 26.97337423
Jul 2010 25.5652381 23.0113883
Aug 2010 24.74590909 18.88515926
Sep 2010 22.51761905 16.82940047
Oct 2010 20.37333333 14.88348807
Nov 2010 20.09571429 13.93287549
Dec 2010 17.56954545 11.83726896
Jan 2011 17.3155 9.73309567
Feb 2011 17.43 10.62417428
Mar 2011 20.72347826 14.29760085
Apr 2011 16.244 12.40663867
May 2011 16.91142857 12.35474162
Jun 2011 19.15318182 13.55299032
Jul 2011 19.2275 13.7719882
Aug 2011 35.02913043 31.70595604
Sep 2011 36.53 30.93293378
Oct 2011 32.82904762 30.14593533
Nov 2011 31.94190476 25.00369275
Dec 2011 25.04761905 20.60917657
Jan 2012 20.228 15.46379053
Feb 2012 18.4205 12.40457622
Mar 2012 16.16727273 10.89667552
Apr 2012 17.823 11.49187667
May 2012 21.00181818 13.71505585
Jun 2012 21.13095238 15.56044487
Jul 2012 17.5652381 14.79448833
Aug 2012 15.68956522 13.12780118
Sep 2012 15.28473684 10.97193112
Oct 2012 16.27619048 11.26285146
Nov 2012 16.70190476 13.80474249
Dec 2012 17.307 12.87420252
Jan 2013 13.5052381 11.74210943
Feb 2013 14.07263158 9.638810124
Mar 2013 13.0315 10.12785383
Apr 2013 13.96727273 11.44386719
May 2013 13.49363636 11.60354688
Jun 2013 17.2715 14.49389215
Jul 2013 13.97454545 13.47652831
Aug 2013 14.21 10.3938911
Sep 2013 14.692 10.68724039
Oct 2013 15.40782609 11.20265566
Nov 2013 12.924 9.883181843
Dec 2013 14.19238095 9.493303116
Jan 2014 14.24095238 9.329222048
Feb 2014 15.47 11.7617957
Mar 2014 14.83666667 11.63138315
Apr 2014 14.19809524 12.19449576
May 2014 12.4752381 10.97600473
Jun 2014 11.54142857 8.250208504
Jul 2014 12.29636364 7.975730906
Aug 2014 13.49190476 9.81430225
Sep 2014 13.46666667 8.806411126
Oct 2014 18.05869565 15.79899965
Nov 2014 13.41315789 13.37843279
Dec 2014 16.29227273 12.66004934
Jan 2015 19.1195 15.73757001
Feb 2015 15.90421053 15.0395776
Mar 2015 14.81272727 11.89152774
Apr 2015 13.4947619 11.34908064
May 2015 13.3385 10.8570358
Jun 2015 14.33954545 10.17111791
Jul 2015 14.35272727 11.1852882
Aug 2015 19.42809524 17.13400824
Sep 2015 24.37714286 26.89260466
Oct 2015 16.78954545 19.53168122
Nov 2015 16.21 14.10501451
Dec 2015 18.02545455 14.74410934
Jan 2016 23.71789474 20.95030518
Feb 2016 22.517 23.75889223
Mar 2016 15.84909091 17.41856331
Apr 2016 14.30047619 12.55156502
May 2016 14.85285714 11.44136709
Jun 2016 17.77454545 11.10758532
Jul 2016 13.1585 11.52287479
Aug 2016 12.39956522 8.414107883
Sep 2016 14.21952381 9.488992252
Oct 2016 14.5852381 9.851760539
Nov 2016 15.23619048 10.73262367
Dec 2016 12.47238095 8.998077907
Jan 2017 11.6085 8.057731938
Feb 2017 11.53052632 7.158852839
Mar 2017 11.89782609 7.196266571
Apr 2017 13.13631579 8.481781664
May 2017 10.86227273 7.237506019
Jun 2017 10.51363636 7.003578176
Jul 2017 10.2645 7.110433673
Aug 2017 11.97565217 6.898341022
Sep 2017 10.438 6.532148509
Oct 2017 10.12545455 5.266558737
Nov 2017 10.54047619 5.836657215
Dec 2017 10.2645 7.22492199
Jan 2018 11.06238095 6.765984984
Feb 2018 22.46473684 20.54386969
Mar 2018 19.02380952 19.23508501
Apr 2018 18.26761905 19.55363086
May 2018 14.12454545 14.79001468
Jun 2018 13.67809524 11.03009956
Jul 2018 13.14761905 10.01473002
Aug 2018 12.54695652 8.259458861
Sep 2018 12.91052632 8.187222774
Oct 2018 19.35217391 14.65733072
Nov 2018 19.38904762 20.31268626
Dec 2018 24.95315789 24.19843388
Jan 2019 19.57238095 24.77888552
Feb 2019 15.23473684 16.13811986
Mar 2019 14.4852381 12.52322874
Apr 2019 12.94904762 10.40648371
May 2019 16.72181818 11.94436042
Jun 2019 15.836 12.28547465
Jul 2019 13.30590909 9.330017421
Aug 2019 18.97909091 15.48634666
Sep 2019 15.559 13.70283833
Oct 2019 15.46652174 12.9207283
Nov 2019 12.5235 9.141464172
Dec 2019 13.75666667 8.387728158
Jan 2020 13.94095238 7.972578764
Feb 2020 19.62894737 12.21953097
Mar 2020 57.73681818 56.47989859
Apr 2020 41.45380952 53.33593084
May 2020 30.897 32.71067372
Jun 2020 31.11954545 25.58906552
Jul 2020 26.84045455 21.4732255
Aug 2020 22.88952381 15.3477053
Sep 2020 27.64761905 20.51326699
Oct 2020 29.43863636 19.56049219
Nov 2020 24.9955 20.00976397
Dec 2020 22.37409091 14.52903602
Jan 2021 24.91 13.93677822
Feb 2021 23.14052632 15.03841739
Mar 2021 21.84304348 18.35134759
Apr 2021 17.41619048 13.21293874
May 2021 19.7605 12.80737398
Jun 2021 16.95681818 10.58846732
Jul 2021 17.60333333 9.513191482
Aug 2021 17.47272727 8.982823251
Sep 2021 19.8247619 9.892160977
Oct 2021 17.87142857 13.127323
Nov 2021 18.50047619 10.74210678
Dec 2021 21.35454545 15.77360886
Jan 2022 23.181 17.90327607
Feb 2022 25.74842105 24.02975592
Mar 2022 26.96869565 24.38107712
Apr 2022 24.3735 19.55406951
May 2022 29.44571429 27.62849933
Jun 2022 28.1 26.53799166
Jul 2022 24.8685 24.14445549
Aug 2022 22.16956522 18.55941497
Sep 2022 27.40619048 21.34193439
Oct 2022 31.13 24.54243089

Note: The data extend through October 20, 2022. Realized volatility is computed from an exponentially weighted moving average of 5-minute daily realized variances with 75 percent of weight distributed over the past 20 business days.

Source: Refinitiv, DataScope Tick History; Federal Reserve Board staff estimates.

Return to text
Figure 1.12. Commercial real estate prices, adjusted for inflation, remained at high levels

Jan. 2001 = 100

Date Equal-weighted Value-weighted
Jan 1996   71.39205636
Feb 1996   71.26801936
Mar 1996   72.15108622
Apr 1996   73.12569298
May 1996   73.26117249
Jun 1996   72.62036695
Jul 1996   72.24846899
Aug 1996   71.8802089
Sep 1996   71.54961454
Oct 1996   69.53639185
Nov 1996   71.40579981
Dec 1996   73.7515392
Jan 1997   75.9868605
Feb 1997   78.41027372
Mar 1997   79.9644611
Apr 1997   80.18775525
May 1997   80.87583537
Jun 1997   80.73236353
Jul 1997   81.42993239
Aug 1997   81.58050778
Sep 1997   82.666047
Oct 1997   81.92638122
Nov 1997   85.90331224
Dec 1997   87.90634545
Jan 1998 84.14369242 90.9894046
Feb 1998 84.42038773 90.85202941
Mar 1998 84.5258493 90.77004175
Apr 1998 85.03527212 89.79361645
May 1998 85.30499535 92.38043512
Jun 1998 85.65073809 94.25403032
Jul 1998 85.4981843 94.01673958
Aug 1998 85.3027611 94.03932403
Sep 1998 84.77581613 93.73655644
Oct 1998 85.95830568 93.84920674
Nov 1998 87.49837102 94.29631439
Dec 1998 89.28081145 93.8982351
Jan 1999 88.94419124 92.25658141
Feb 1999 89.13804671 92.45287616
Mar 1999 89.50203128 91.99347265
Apr 1999 89.79011938 91.22697019
May 1999 90.74477137 91.48963016
Jun 1999 91.2820818 91.47893228
Jul 1999 91.80963649 91.7878409
Aug 1999 92.33190913 92.99888856
Sep 1999 92.25767141 93.40097139
Oct 1999 92.94946371 93.57787716
Nov 1999 93.63766347 94.01810805
Dec 1999 94.52901776 94.23832087
Jan 2000 95.09250183 93.9529455
Feb 2000 95.40874658 91.39430454
Mar 2000 95.57521844 89.15817553
Apr 2000 96.28140938 88.31057326
May 2000 97.41898157 92.27408377
Jun 2000 98.11875925 95.07141467
Jul 2000 98.2555558 97.13820296
Aug 2000 98.10231138 98.54026167
Sep 2000 97.15460716 99.39243596
Oct 2000 98.47951105 100.4186285
Nov 2000 99.29271044 101.248211
Dec 2000 100.5174131 101.1950469
Jan 2001 100 100
Feb 2001 100.0370807 99.78008318
Mar 2001 99.83382477 99.9464954
Apr 2001 99.52275518 100.2892243
May 2001 99.05430523 100.0251313
Jun 2001 99.622157 98.92717206
Jul 2001 101.2801662 99.08469328
Aug 2001 103.0252952 99.15800858
Sep 2001 103.6974984 98.51374161
Oct 2001 104.0590254 97.21766536
Nov 2001 103.2308523 96.01183613
Dec 2001 103.1194849 95.27209135
Jan 2002 103.4485605 95.25323036
Feb 2002 104.3621304 96.34597505
Mar 2002 105.3012491 96.89610648
Apr 2002 105.46226 96.79252361
May 2002 105.8025769 96.50110144
Jun 2002 105.8692646 95.8236782
Jul 2002 106.5267231 95.4152836
Aug 2002 107.1215093 95.41967549
Sep 2002 108.4342526 95.66985809
Oct 2002 110.2672238 96.49022901
Nov 2002 112.2819769 98.34867177
Dec 2002 114.3448389 100.9740643
Jan 2003 113.8386814 102.6494047
Feb 2003 112.6169534 102.683413
Mar 2003 112.2767461 102.0754776
Apr 2003 113.8491121 101.6936847
May 2003 115.456831 102.2044238
Jun 2003 116.0447147 101.5881952
Jul 2003 116.6185215 101.128668
Aug 2003 116.9263158 98.69429979
Sep 2003 118.1418337 97.40503388
Oct 2003 119.8411772 97.69748865
Nov 2003 121.44489 99.00603237
Dec 2003 122.8601826 100.4614796
Jan 2004 123.2894909 100.0816994
Feb 2004 124.3794212 102.6650376
Mar 2004 125.2647195 104.0094648
Apr 2004 126.7850539 107.0700367
May 2004 127.3601188 106.4316375
Jun 2004 128.8383347 108.1739687
Jul 2004 130.6568516 110.2035954
Aug 2004 132.441211 112.8857656
Sep 2004 133.1606535 114.5809123
Oct 2004 132.9000585 115.581681
Nov 2004 133.7571479 115.313511
Dec 2004 135.7897019 115.2667237
Jan 2005 138.0939459 113.8538273
Feb 2005 139.8636669 115.4271288
Mar 2005 141.2948326 116.3057864
Apr 2005 141.8710216 117.6671752
May 2005 143.415262 117.5245588
Jun 2005 144.4775219 118.0228675
Jul 2005 145.0855518 118.6447604
Aug 2005 146.2108023 119.4360975
Sep 2005 146.5818881 120.0664062
Oct 2005 148.5563908 122.0206617
Nov 2005 151.3535101 124.9676592
Dec 2005 153.2473198 126.2605285
Jan 2006 152.6764466 125.7225711
Feb 2006 153.4367199 126.2879716
Mar 2006 152.8179935 128.3154411
Apr 2006 152.2803761 129.4250126
May 2006 152.1350259 130.7933733
Jun 2006 152.9689724 131.3413702
Jul 2006 152.000652 132.3868702
Aug 2006 150.9110148 133.2310755
Sep 2006 150.9017758 134.0471607
Oct 2006 151.8249211 134.8789852
Nov 2006 154.0313058 135.6899074
Dec 2006 154.6912905 138.0119927
Jan 2007 155.6186332 139.3052591
Feb 2007 155.536702 140.3755675
Mar 2007 155.5866877 140.3595788
Apr 2007 155.9346888 141.1929587
May 2007 155.3072588 142.862747
Jun 2007 155.2184851 143.6702563
Jul 2007 154.513573 144.8571334
Aug 2007 155.0276832 145.5608722
Sep 2007 154.1330697 145.4299369
Oct 2007 152.6924686 145.2381772
Nov 2007 150.920903 144.723689
Dec 2007 149.7439995 144.2460538
Jan 2008 149.2067155 141.9453084
Feb 2008 147.8175885 136.1107128
Mar 2008 145.4845379 130.8282663
Apr 2008 142.5321737 125.4783016
May 2008 140.2197948 128.5718527
Jun 2008 137.4783951 129.8224737
Jul 2008 135.8624605 132.3832015
Aug 2008 135.0432559 129.1970891
Sep 2008 133.4127725 125.8779362
Oct 2008 132.7872462 124.5764857
Nov 2008 131.9562954 127.0377546
Dec 2008 130.0831041 127.6586087
Jan 2009 125.4313399 126.7022019
Feb 2009 121.8813789 123.2834693
Mar 2009 118.2836684 118.9413326
Apr 2009 115.7929418 111.5357196
May 2009 114.2525599 104.2364358
Jun 2009 112.8804351 96.04844269
Jul 2009 112.9045645 91.8143133
Aug 2009 110.9237866 92.42265899
Sep 2009 108.2857831 93.00213799
Oct 2009 105.5074612 92.33613034
Nov 2009 104.9641304 89.55861696
Dec 2009 104.8384055 86.84353825
Jan 2010 105.660559 85.4921263
Feb 2010 106.2800023 86.33409324
Mar 2010 105.9399563 89.03368056
Apr 2010 104.0470582 92.30895446
May 2010 101.5481574 96.13135177
Jun 2010 99.61881846 96.0357946
Jul 2010 99.20369954 95.29354512
Aug 2010 98.88342404 94.83755216
Sep 2010 98.49188372 94.84831889
Oct 2010 97.87572081 95.30816823
Nov 2010 98.08766693 94.64404612
Dec 2010 97.62579357 95.01342996
Jan 2011 96.60273716 95.42568309
Feb 2011 95.42114569 97.19202229
Mar 2011 93.93095407 96.75207781
Apr 2011 93.71880158 95.00599704
May 2011 93.75072076 94.54054519
Jun 2011 93.48212716 93.95857737
Jul 2011 93.14388272 93.18827496
Aug 2011 92.89158941 92.49786692
Sep 2011 93.79628268 92.24024657
Oct 2011 94.97130229 94.18502168
Nov 2011 96.00004922 96.13034776
Dec 2011 95.10573376 98.10416565
Jan 2012 93.64807499 98.47245388
Feb 2012 92.62842723 98.46863463
Mar 2012 92.26722973 97.06489963
Apr 2012 92.66032 96.07560832
May 2012 93.45600284 95.70534121
Jun 2012 93.72591185 96.26409463
Jul 2012 94.46180965 97.25437436
Aug 2012 94.39403035 97.90836133
Sep 2012 94.64163783 96.9800579
Oct 2012 95.98510804 96.98478295
Nov 2012 98.13507598 97.8374077
Dec 2012 98.67562253 99.38350558
Jan 2013 97.52769797 99.45374237
Feb 2013 96.48671737 98.93434237
Mar 2013 96.27768582 100.2551587
Apr 2013 98.291221 101.8072186
May 2013 99.2900098 104.0240855
Jun 2013 100.2790615 104.7997809
Jul 2013 100.6146685 107.295053
Aug 2013 100.9898836 108.3058687
Sep 2013 101.4057011 109.9967084
Oct 2013 102.3007522 110.5463771
Nov 2013 103.6885048 111.4340938
Dec 2013 104.5041823 110.4266643
Jan 2014 105.5604172 109.7455905
Feb 2014 106.5595085 108.2665393
Mar 2014 106.6064222 108.6980305
Apr 2014 106.9507463 109.1615535
May 2014 107.3307896 110.4919549
Jun 2014 107.9914637 111.2833168
Jul 2014 109.204979 111.935566
Aug 2014 110.3123948 112.8101719
Sep 2014 111.5672516 113.0181368
Oct 2014 113.0273295 114.1660814
Nov 2014 114.9690678 115.3701189
Dec 2014 116.1535454 119.1362507
Jan 2015 117.3423727 122.7241649
Feb 2015 117.4399195 125.9392579
Mar 2015 117.9448567 125.4288391
Apr 2015 119.0620715 125.7492894
May 2015 119.4503142 124.0911628
Jun 2015 119.6822674 124.8859943
Jul 2015 120.3828153 124.4299116
Aug 2015 121.3006649 124.2478327
Sep 2015 121.8515683 124.8068674
Oct 2015 122.1082039 124.6690713
Nov 2015 122.9542352 125.425059
Dec 2015 124.5782463 125.5483901
Jan 2016 126.3741239 125.6346148
Feb 2016 127.4080046 124.1597129
Mar 2016 127.3659287 123.6162508
Apr 2016 126.6260182 122.5238229
May 2016 126.4664923 123.2049229
Jun 2016 126.6816643 124.7760453
Jul 2016 128.7325213 127.6308197
Aug 2016 130.2488164 128.6343755
Sep 2016 131.926054 128.3313544
Oct 2016 132.447139 128.9311877
Nov 2016 133.3331673 129.296076
Dec 2016 133.6588815 129.7826038
Jan 2017 134.77034 127.5058751
Feb 2017 136.9670609 125.748249
Mar 2017 139.1427842 127.1071433
Apr 2017 140.7162266 128.3129753
May 2017 141.9552407 129.5556982
Jun 2017 143.7911327 129.6866991
Jul 2017 145.2242614 130.0677028
Aug 2017 145.1611384 130.3877161
Sep 2017 144.1148293 131.348578
Oct 2017 144.0935255 134.3389922
Nov 2017 145.7485069 135.238359
Dec 2017 147.2994479 134.529588
Jan 2018 148.0111653 131.6966994
Feb 2018 146.7676119 131.8378904
Mar 2018 145.6468682 134.8474226
Apr 2018 145.4409326 137.6881588
May 2018 146.456123 135.3351698
Jun 2018 148.3824982 132.2421938
Jul 2018 149.2517419 130.8024203
Aug 2018 149.3649826 131.7109664
Sep 2018 149.0123711 132.5274899
Oct 2018 149.8752564 131.3806956
Nov 2018 152.3496642 130.8433081
Dec 2018 153.8975836 132.0428074
Jan 2019 153.9218456 134.8009725
Feb 2019 152.7823213 136.6671796
Mar 2019 152.5863205 137.1093458
Apr 2019 152.6836834 137.2688801
May 2019 153.8025515 138.4830038
Jun 2019 154.324426 142.0098531
Jul 2019 155.1983721 143.3872456
Aug 2019 156.3321402 142.3720267
Sep 2019 157.365447 140.1176099
Oct 2019 156.3230538 138.7775493
Nov 2019 156.2065105 138.3029342
Dec 2019 156.5724894 138.9424151
Jan 2020 157.848168 139.3313368
Feb 2020 160.4112332 140.0693212
Mar 2020 162.5339649 141.4865055
Apr 2020 163.9572657 142.6631567
May 2020 162.2722339 141.6472608
Jun 2020 160.6580203 139.5629073
Jul 2020 160.1475129 139.0724249
Aug 2020 161.0696015 138.8513008
Sep 2020 163.0361174 140.2187889
Oct 2020 165.7581481 142.3188751
Nov 2020 168.8358575 145.3329722
Dec 2020 169.8233959 145.492852
Jan 2021 169.1191802 145.4235325
Feb 2021 168.3961479 142.7745377
Mar 2021 168.7937519 144.4318421
Apr 2021 170.3187201 144.5946877
May 2021 171.7814885 145.6217666
Jun 2021 172.9404534 144.7656374
Jul 2021 175.0668671 147.1331371
Aug 2021 176.7442825 150.28763
Sep 2021 178.1913573 152.7221733
Oct 2021 179.8542545 153.0642528
Nov 2021 183.7516693 153.5384744
Dec 2021 184.2651096 155.0784614
Jan 2022 182.3524625 156.4438767
Feb 2022 179.1587162 152.8268198
Mar 2022 178.8423141 147.8664564
Apr 2022 183.7752052 144.4998608
May 2022 187.1128276 145.0541072
Jun 2022 188.1809569 144.5677602
Jul 2022 189.1257785 145.1270089
Aug 2022 187.1077494 146.3457462

Note: Series are deflated using the consumer price index and seasonally adjusted by Federal Reserve Board staff. The data begin in 1998 for the equal-weighted curve and 1996 for the value-weighted curve.

Source: CoStar Group, Inc., CoStar Commercial Repeat Sale Indices; Bureau of Labor Statistics, consumer price index via Haver Analytics.

Return to text
Figure 1.13. Income of commercial properties relative to prices continued declining to historically low levels

Percent

Date Capitalization rate
Jan 2001 8.425843579
Feb 2001 8.427815201
Mar 2001 8.451074881
Apr 2001 8.404107303
May 2001 8.445984704
Jun 2001 8.434431166
Jul 2001 8.464401924
Aug 2001 8.490473409
Sep 2001 8.527417489
Oct 2001 8.519261189
Nov 2001 8.543148413
Dec 2001 8.602245216
Jan 2002 8.625126144
Feb 2002 8.643316998
Mar 2002 8.670718072
Apr 2002 8.726432342
May 2002 8.673330929
Jun 2002 8.683672759
Jul 2002 8.643989009
Aug 2002 8.592018558
Sep 2002 8.484820079
Oct 2002 8.43917116
Nov 2002 8.406668724
Dec 2002 8.348397693
Jan 2003 8.30693468
Feb 2003 8.28175678
Mar 2003 8.272214833
Apr 2003 8.244503742
May 2003 8.238258942
Jun 2003 8.178295235
Jul 2003 8.15889521
Aug 2003 8.129649722
Sep 2003 8.114676167
Oct 2003 8.09993324
Nov 2003 8.06928589
Dec 2003 8.026147056
Jan 2004 7.993019804
Feb 2004 7.945367498
Mar 2004 7.899078865
Apr 2004 7.861139184
May 2004 7.827965572
Jun 2004 7.807232425
Jul 2004 7.762685659
Aug 2004 7.728843238
Sep 2004 7.655346858
Oct 2004 7.605930162
Nov 2004 7.552310887
Dec 2004 7.451099966
Jan 2005 7.416747842
Feb 2005 7.376112517
Mar 2005 7.323653608
Apr 2005 7.251438294
May 2005 7.204615315
Jun 2005 7.133560277
Jul 2005 7.087622354
Aug 2005 7.041032926
Sep 2005 6.99870188
Oct 2005 6.935639291
Nov 2005 6.8979183
Dec 2005 6.874330113
Jan 2006 6.815800084
Feb 2006 6.78407992
Mar 2006 6.740257645
Apr 2006 6.714085967
May 2006 6.684355328
Jun 2006 6.655466571
Jul 2006 6.624520706
Aug 2006 6.598541196
Sep 2006 6.563151657
Oct 2006 6.568383863
Nov 2006 6.56502766
Dec 2006 6.558421215
Jan 2007 6.537676979
Feb 2007 6.525271963
Mar 2007 6.522355227
Apr 2007 6.494809398
May 2007 6.464036562
Jun 2007 6.452458411
Jul 2007 6.445168655
Aug 2007 6.442820461
Sep 2007 6.442137013
Oct 2007 6.445484689
Nov 2007 6.435353121
Dec 2007 6.417614333
Jan 2008 6.428308128
Feb 2008 6.452761
Mar 2008 6.466417734
Apr 2008 6.509675357
May 2008 6.557408233
Jun 2008 6.605507206
Jul 2008 6.637126445
Aug 2008 6.693879107
Sep 2008 6.745776733
Oct 2008 6.740645153
Nov 2008 6.787455551
Dec 2008 6.833409992
Jan 2009 6.894521017
Feb 2009 6.88593073
Mar 2009 6.934363619
Apr 2009 6.944900945
May 2009 6.991269877
Jun 2009 7.078369886
Jul 2009 7.19300572
Aug 2009 7.255855445
Sep 2009 7.348633388
Oct 2009 7.43500192
Nov 2009 7.467409492
Dec 2009 7.534527617
Jan 2010 7.535344102
Feb 2010 7.570552065
Mar 2010 7.604722775
Apr 2010 7.684474198
May 2010 7.680206876
Jun 2010 7.670538133
Jul 2010 7.626763557
Aug 2010 7.655320515
Sep 2010 7.619250553
Oct 2010 7.595132821
Nov 2010 7.566987488
Dec 2010 7.497122569
Jan 2011 7.501582359
Feb 2011 7.469067309
Mar 2011 7.41725217
Apr 2011 7.386335345
May 2011 7.358494448
Jun 2011 7.304587906
Jul 2011 7.277520358
Aug 2011 7.227818893
Sep 2011 7.200971626
Oct 2011 7.188736934
Nov 2011 7.166390191
Dec 2011 7.148865214
Jan 2012 7.100656419
Feb 2012 7.095228152
Mar 2012 7.079438158
Apr 2012 7.044206872
May 2012 7.009431685
Jun 2012 6.977917273
Jul 2012 6.962534913
Aug 2012 6.949805824
Sep 2012 6.938123226
Oct 2012 6.902465195
Nov 2012 6.875967327
Dec 2012 6.835758467
Jan 2013 6.843405811
Feb 2013 6.834587036
Mar 2013 6.831162388
Apr 2013 6.807940168
May 2013 6.808783996
Jun 2013 6.789695419
Jul 2013 6.779773095
Aug 2013 6.742228784
Sep 2013 6.720060845
Oct 2013 6.724771894
Nov 2013 6.719790723
Dec 2013 6.689934256
Jan 2014 6.655335094
Feb 2014 6.62841191
Mar 2014 6.59634603
Apr 2014 6.607440923
May 2014 6.590763765
Jun 2014 6.571895223
Jul 2014 6.538974694
Aug 2014 6.541113963
Sep 2014 6.50274585
Oct 2014 6.470831477
Nov 2014 6.461572227
Dec 2014 6.428355866
Jan 2015 6.410877455
Feb 2015 6.406103309
Mar 2015 6.391593466
Apr 2015 6.345729325
May 2015 6.316553849
Jun 2015 6.312542397
Jul 2015 6.298836891
Aug 2015 6.277479057
Sep 2015 6.280952497
Oct 2015 6.261038881
Nov 2015 6.237937872
Dec 2015 6.219861289
Jan 2016 6.227068708
Feb 2016 6.210341329
Mar 2016 6.192320798
Apr 2016 6.187006721
May 2016 6.177961885
Jun 2016 6.167169049
Jul 2016 6.147808511
Aug 2016 6.137172583
Sep 2016 6.116077633
Oct 2016 6.101663365
Nov 2016 6.108761296
Dec 2016 6.117652288
Jan 2017 6.101986388
Feb 2017 6.106690396
Mar 2017 6.124690437
Apr 2017 6.140564023
May 2017 6.129694534
Jun 2017 6.113024476
Jul 2017 6.111923711
Aug 2017 6.108516748
Sep 2017 6.099267508
Oct 2017 6.105914147
Nov 2017 6.096687228
Dec 2017 6.087156273
Jan 2018 6.080162961
Feb 2018 6.073126083
Mar 2018 6.053588575
Apr 2018 6.041808933
May 2018 6.035279216
Jun 2018 6.040856476
Jul 2018 6.04294404
Aug 2018 6.035684367
Sep 2018 6.046063304
Oct 2018 6.047115854
Nov 2018 6.04043616
Dec 2018 6.019075541
Jan 2019 6.029197046
Feb 2019 6.022031441
Mar 2019 6.032695053
Apr 2019 6.032214038
May 2019 6.060234258
Jun 2019 6.047662818
Jul 2019 6.04968044
Aug 2019 6.036957604
Sep 2019 6.017283528
Oct 2019 5.998954234
Nov 2019 5.983903547
Dec 2019 5.97844107
Jan 2020 5.972037036
Feb 2020 5.974492953
Mar 2020 5.949293376
Apr 2020 5.942642389
May 2020 5.903890187
Jun 2020 5.898937545
Jul 2020 5.865023317
Aug 2020 5.858600753
Sep 2020 5.860195143
Oct 2020 5.842958554
Nov 2020 5.826682396
Dec 2020 5.804200256
Jan 2021 5.775736076
Feb 2021 5.76853183
Mar 2021 5.762770832
Apr 2021 5.767031461
May 2021 5.763887401
Jun 2021 5.752559789
Jul 2021 5.739897481
Aug 2021 5.726600377
Sep 2021 5.68279381
Oct 2021 5.65177773
Nov 2021 5.638963416
Dec 2021 5.604490315
Jan 2022 5.59006434
Feb 2022 5.574135391
Mar 2022 5.560941916
Apr 2022 5.538317701
May 2022 5.515304569
Jun 2022 5.495347602
Jul 2022 5.486041931
Aug 2022 5.476490547

Note: The data are a 12-month moving average of weighted capitalization rates in the industrial, retail, office, and multifamily sectors, based on national square footage in 2009.

Source: Real Capital Analytics; Andrew C. Florance, Norm G. Miller, Ruijue Peng, and Jay Spivey (2010), "Slicing, Dicing, and Scoping the Size of the U.S. Commercial Real Estate Market," Journal of Real Estate Portfolio Management, vol. 16 (May-August), pp. 101-18.

Return to text
Figure 1.14. Banks reported tightening lending standards in commercial real estate loans

This is a line chart titled “Banks reported tightening lending standards in commercial real estate loans.” The x-axis measures time and ranges from the years 1997 to 2022. The y-axis ranges from -100 to 100, which measures the net percentage of banks reporting on the right. On the left y-axis, from -100 to 0, is labeled “Easing” and from 0 to 100 is labeled “Tightening.” There is one variable charted on the plot and it is the net percentage of banks reporting in the Senior Loan Officer Opinion Survey on Bank Lending Practices. It is represented by a solid black line. It begins at around -10 and spikes to around 40 in 1998. It declines to around 0 by the end of 1999 before spiking to around 50 at the end of 2000. The series steadily declines to -20 by the end of 2004. The series rises steadily to about 20 by mid-2007 before spiking to 90 percent in mid-2008. It decreases to around -20 in early 2011 and remains between -10 and -20 until 2015. It then increases and hits 25 in 2016 before falling to around -15 in 2018. It increases to 0 by the end of 2019 before spiking to around 80 in early 2020. The series then falls to about -20 in Q4 of 2021 before rising sharply in 2022 to around 40 by October where the series ends. The chart also includes recession bars.

Note: Banks’ responses are weighted by their commercial real estate loan market shares. The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: March 2001–November 2001, December 2007–June 2009, and February 2020–April 2020. Survey respondents to the Senior Loan Officer Opinion Survey on Bank Lending Practices are asked about the changes over the quarter.

Source: Federal Reserve Board, Senior Loan Officer Opinion Survey on Bank Lending Practices; Federal Reserve Board staff calculations.

Return to text
Figure 1.15. Farmland prices were at high levels

2021 dollars per acre

Year Midwest index United States
1967 2690.420416  
1968 2821.961636  
1969 2767.296598  
1970 2646.968601  
1971 2474.085694  
1972 2477.9779  
1973 2665.001129  
1974 3217.559154  
1975 3584.478574  
1976 4210.998444  
1977 5053.627542  
1978 5277.385823  
1979 5355.218252  
1980 5359.351748  
1981 5098.360245  
1982 4646.083321  
1983 3944.404017  
1984 3466.932548  
1985 2472.281096  
1986 1963.558646  
1987 1670.504744  
1988 1829.863421  
1989 2002.179682  
1990 2010.061363  
1991 1966.343259  
1992 1972.277527  
1993 1974.36996  
1994 2394.251075  
1995 2310.361785  
1996 2467.229684  
1997 2270.491548 2143.753803
1998 2399.7116 2227.454578
1999 2422.805268 2277.248124
2000 2390.685344 2297.495088
2001 2373.655693 2311.081831
2002 2409.449517 2395.302145
2003 2441.109302 2444.579303
2004 2551.227629 2510.156491
2005 2947.816505 2858.59726
2006 3179.33965 3213.002088
2007 3523.139981 3306.302344
2008 3931.324484 3474.331169
2009 3736.16558 3371.839706
2010 3935.208287 3354.821557
2011 4567.151109 3590.01499
2012 5348.418225 3953.785581
2013 6124.031592 4431.725615
2014 6588.320375 4681.784231
2015 6326.376012 4687.552764
2016 6028.926925 4561.148238
2017 5843.027213 4454.904432
2018 5701.882892 4370.428802
2019 5595.709943 4345.681276
2020 5475.770521 4292.094419
2021 5724.261658 4420
2022 6186.818556 4634.303247

Note: The data for the United States start in 1997 and extend through 2022. Midwest index is a weighted average of Corn Belt and Great Plains states derived from staff calculations. Values are given in real terms. The data are annual as of July. The median value is $3063.58.

Source: Department of Agriculture; Federal Reserve Bankof Minneapolis staff calculations.

Return to text
Figure 1.16. Farmland prices rose more than rents

Ratio

Year Midwest index United States
1967 14.13418315  
1968 14.19879016  
1969 14.19528763  
1970 13.99434936  
1971 13.50686423  
1972 13.4008375  
1973 14.17058401  
1974 14.52808886  
1975 14.60469881  
1976 16.1613832  
1977 18.02016694  
1978 19.56115904  
1979 20.57529648  
1980 21.54630274  
1981 21.24967971  
1982 19.55679439  
1983 17.41888327  
1984 15.94691892  
1985 12.99502491  
1986 11.89889043  
1987 11.72150084  
1988 12.5228119  
1989 13.29508303  
1990 13.40922896  
1991 13.50559036  
1992 13.73775651  
1993 13.88773898  
1994 17.97416274  
1995 17.34956535  
1996 18.36206647  
1997 16.6669417  
1998 17.46987848 20.15037594
1999 18.1991863 20.74074074
2000 17.83993333 20.85714286
2001 17.9534721 21.26760563
2002 18.17789453 22.20670391
2003 18.63356997 22.73972603
2004 19.44520488 22.87581699
2005 22.49879125 26.41025641
2006 24.60507286 30.06289308
2007 25.78446123 32.64516129
2008 26.32248824 32.28070175
2009 24.43030238 26.96969697
2010 25.43891798 26.47058824
2011 27.83627176 26.84684685
2012 28.47719386 26.8
2013 30.44885464 28.01470588
2014 32.18539376 29.0070922
2015 31.64414073 28.47222222
2016 32.1020429 29.70588235
2017 32.28286079 29.63235294
2018 31.88732337 29.34782609
2019 32.04525701 29.28571429
2020 31.89708625 29.49640288
2021 33.8072955 31.34751773
2022 37.07418013 34.12162162

Note: The data for the United States start in 1998 and extend through 2022. Midwest index is the weighted average of Corn Belt and Great Plains states derived from staff calculations. The data are annual as of July. The median value is 18.1.

Source: Department of Agriculture; Federal Reserve Bankof Minneapolis staff calculations.

Return to text
Figure 1.17. After rising rapidly in recent years, house prices decelerated

12-month percent change

Date Zillow CoreLogic Case-Shiller
Jan 2003 7.225743074 9.698289343 9.62727585
Feb 2003 7.30192138 9.63702915 9.758809442
Mar 2003 7.364623865 9.588352827 9.64979225
Apr 2003 7.443370045 9.498629695 9.462293432
May 2003 7.529367742 9.265553155 9.148108287
Jun 2003 7.5816759 9.005946912 8.910324532
Jul 2003 7.609133336 8.824841453 8.860861832
Aug 2003 7.645947825 8.97316655 9.011464764
Sep 2003 7.732355088 9.379069515 9.235795681
Oct 2003 7.813521685 9.879450094 9.386396068
Nov 2003 7.859225082 10.31222252 9.57833228
Dec 2003 7.874418694 10.87721418 9.815178923
Jan 2004 7.94317307 11.36955902 10.23110067
Feb 2004 8.096428232 11.77801798 10.67560196
Mar 2004 8.318547322 12.34328424 11.42216379
Apr 2004 8.566925588 13.01115382 12.02390988
May 2004 8.860814556 13.51100563 12.50758495
Jun 2004 9.215978067 14.15822826 12.97755761
Jul 2004 9.604578692 14.52984308 13.13776457
Aug 2004 9.929026166 14.59493355 13.1205413
Sep 2004 10.1790866 14.73446412 13.15290341
Oct 2004 10.37518315 14.99263543 13.27728656
Nov 2004 10.58111091 15.21438041 13.49715356
Dec 2004 10.83142096 15.48759788 13.6360381
Jan 2005 11.06481045 15.58266792 13.80143558
Feb 2005 11.24086139 15.83483119 14.00408364
Mar 2005 11.36185414 16.23143624 14.22820655
Apr 2005 11.5443108 16.38037986 14.24271446
May 2005 11.67249873 16.22768679 14.29919773
Jun 2005 11.78083586 16.01272142 14.2838161
Jul 2005 11.80536511 15.88578483 14.28383878
Aug 2005 11.85582151 16.03565421 14.3748781
Sep 2005 11.89444966 16.2709641 14.50583457
Oct 2005 11.90740438 15.99054217 14.36340371
Nov 2005 11.87730988 15.61342429 14.07619048
Dec 2005 11.7407239 15.19156467 13.51232117
Jan 2006 11.50039536 14.68538208 12.92699682
Feb 2006 11.19787419 13.81682126 12.0923913
Mar 2006 10.89325301 12.50145811 11.0402236
Apr 2006 10.50704429 10.95992404 9.97005988
May 2006 10.05065711 9.343219667 8.753096614
Jun 2006 9.451770026 7.497426106 7.28403674
Jul 2006 8.728712594 5.901713435 6.036760482
Aug 2006 7.915832656 4.510358936 4.826057299
Sep 2006 7.02325878 3.320868548 3.710376668
Oct 2006 6.174616061 2.408917104 2.970629371
Nov 2006 5.360751161 1.44758363 2.204040741
Dec 2006 4.630618294 0.35479147 1.732274721
Jan 2007 3.99508824 -0.546324303 1.045180556
Feb 2007 3.404692276 -1.387762454 0.534435262
Mar 2007 2.789288755 -2.685940559 -0.306429549
Apr 2007 2.135743561 -3.566999653 -0.827661312
May 2007 1.438053611 -4.228551821 -1.350471852
Jun 2007 0.756483484 -4.544087749 -1.63099431
Jul 2007 0.09944614 -4.87632966 -1.960890526
Aug 2007 -0.479310234 -5.453176197 -2.261265658
Sep 2007 -0.997006688 -6.35996251 -2.757871878
Oct 2007 -1.485361588 -7.505477501 -3.547756166
Nov 2007 -1.994278522 -8.661138454 -4.612536078
Dec 2007 -2.494050888 -9.742807871 -5.397587731
Jan 2008 -3.058095578 -10.93208455 -6.370402802
Feb 2008 -3.685686959 -12.06267912 -7.277908697
Mar 2008 -4.382484705 -12.72759334 -7.837971349
Apr 2008 -5.114689289 -13.30802171 -8.131554384
May 2008 -5.775984834 -13.42397784 -8.175270768
Jun 2008 -6.395820816 -13.46453281 -8.262641842
Jul 2008 -6.963052907 -13.77762738 -8.442455384
Aug 2008 -7.635778179 -14.18426632 -8.854860186
Sep 2008 -8.230930928 -15.00096807 -9.608083966
Oct 2008 -8.780222538 -15.79331639 -10.34754689
Nov 2008 -9.232292474 -16.28014813 -10.89860699
Dec 2008 -9.681325386 -17.05873351 -11.99376947
Jan 2009 -10.02643754 -17.54850114 -12.69581482
Feb 2009 -10.1398319 -17.12459435 -12.74898044
Mar 2009 -10.14252077 -16.34369626 -12.74492288
Apr 2009 -10.06948965 -15.07591083 -12.18025341
May 2009 -10.01005963 -13.36007181 -11.28607352
Jun 2009 -9.855552507 -11.61638459 -10.05163925
Jul 2009 -9.582262211 -10.07628761 -9.027819685
Aug 2009 -9.169551037 -8.708125533 -8.284635987
Sep 2009 -8.731035666 -7.484884723 -7.584460503
Oct 2009 -8.21041154 -5.856764961 -6.647398844
Nov 2009 -7.483406226 -3.886754667 -5.209201
Dec 2009 -6.640961952 -2.240464084 -3.861029171
Jan 2010 -5.767071392 -1.423349448 -2.919121585
Feb 2010 -5.098717257 -1.437594617 -3.089012329
Mar 2010 -4.40245208 -0.289177199 -1.986212545
Apr 2010 -3.660825361 0.812069699 -1.048046822
May 2010 -2.939381666 1.030251693 -0.762637511
Jun 2010 -2.421537826 0.675520161 -1.401869159
Jul 2010 -2.240605368 -0.190072648 -2.116086235
Aug 2010 -2.20721662 -1.220488125 -2.814097033
Sep 2010 -2.311272776 -2.114959021 -3.354942191
Oct 2010 -2.516805533 -2.777669291 -3.668057612
Nov 2010 -2.95707596 -3.564397611 -4.136812221
Dec 2010 -3.447584909 -3.707821228 -4.104732033
Jan 2011 -3.945632019 -3.613776544 -4.103448276
Feb 2011 -4.369216026 -3.538192564 -3.718719418
Mar 2011 -4.830829057 -4.334796707 -4.045961003
Apr 2011 -5.397387302 -4.537529636 -4.291609354
May 2011 -5.931052901 -4.423278398 -4.318552775
Jun 2011 -6.292927211 -3.917986641 -3.893026405
Jul 2011 -6.290862924 -3.082319206 -3.53754405
Aug 2011 -6.118283439 -2.314316815 -3.168749573
Sep 2011 -5.811051693 -1.640676104 -3.070327087
Oct 2011 -5.530848732 -1.39948143 -3.29770139
Nov 2011 -5.180842345 -1.372485096 -3.6313637
Dec 2011 -4.857956511 -0.984811305 -3.889362912
Jan 2012 -4.460740268 -0.393068279 -3.509528946
Feb 2012 -4.044488205 0.517378777 -2.715260636
Mar 2012 -3.484328716 1.875397306 -1.393424777
Apr 2012 -2.805888306 2.672288073 -0.495832136
May 2012 -2.008020252 3.365204279 0.255881726
Jun 2012 -1.242405868 3.769388753 0.859457555
Jul 2012 -0.568185209 4.12667862 1.36293382
Aug 2012 0.047315872 4.652581707 2.059383595
Sep 2012 0.654266249 5.283447579 2.989227367
Oct 2012 1.336331087 5.982048743 4.017050791
Nov 2012 2.045947694 6.953519589 5.334016244
Dec 2012 2.785368484 7.780034838 6.436339424
Jan 2013 3.523451247 8.686535066 7.557576209
Feb 2013 4.258070784 9.377361451 8.328358209
Mar 2013 4.909322497 9.937233388 8.898211526
Apr 2013 5.46868852 9.950455693 9.027226114
May 2013 5.973671662 9.761947619 9.081885856
Jun 2013 6.508077914 9.397745512 9.26171684
Jul 2013 7.033655664 9.464971445 9.710285556
Aug 2013 7.512481891 9.617902215 10.15133716
Sep 2013 7.919539201 9.92466047 10.61235799
Oct 2013 8.237617402 10.13163762 10.82864486
Nov 2013 8.423066444 10.06969492 10.69741595
Dec 2013 8.522854549 9.933509445 10.71105859
Jan 2014 8.505014155 9.855066624 10.43586723
Feb 2014 8.432142192 9.796610193 10.14053458
Mar 2014 8.154876159 8.939354511 8.941605839
Apr 2014 7.784008403 7.966089872 7.948599059
May 2014 7.3319512 7.025914898 7.038866502
Jun 2014 6.881838322 6.315998492 6.258390334
Jul 2014 6.391426504 5.725996954 5.591003854
Aug 2014 5.863879593 5.342250673 5.056461731
Sep 2014 5.366061404 5.070778827 4.740731463
Oct 2014 4.962410973 5.097467545 4.612684883
Nov 2014 4.693671301 5.060187814 4.580823293
Dec 2014 4.500912567 4.994158694 4.514063285
Jan 2015 4.319173761 5.013723754 4.323272887
Feb 2015 4.167763211 5.096168107 4.228171128
Mar 2015 4.166377112 5.185268781 4.286866431
Apr 2015 4.270705199 5.223008523 4.301405167
May 2015 4.407074668 5.189979041 4.3536341
Jun 2015 4.464337646 5.188629437 4.355673204
Jul 2015 4.514163425 5.084441327 4.403494077
Aug 2015 4.649120039 5.084025306 4.466738326
Sep 2015 4.822445605 5.279719308 4.66367713
Oct 2015 4.952931444 5.340619858 4.876587587
Nov 2015 4.983120007 5.407754995 5.100204008
Dec 2015 5.037893358 5.51578021 5.202138523
Jan 2016 5.139702989 5.63368237 5.286900036
Feb 2016 5.238436512 5.640783276 5.196831493
Mar 2016 5.22213042 5.612081894 5.06246282
Apr 2016 5.222893504 5.573415661 5.012354395
May 2016 5.210112222 5.411207928 4.940067497
Jun 2016 5.273734081 5.199433671 4.877205119
Jul 2016 5.337455492 5.18190396 4.888252149
Aug 2016 5.398042833 5.151591348 4.990282383
Sep 2016 5.452897462 5.192829709 5.089974293
Oct 2016 5.52235381 5.320077709 5.1239575
Nov 2016 5.664597385 5.438183701 5.189540991
Dec 2016 5.74937894 5.463486026 5.304630846
Jan 2017 5.785274563 5.523473751 5.495572694
Feb 2017 5.789496891 5.648318528 5.550484883
Mar 2017 5.882783275 5.697702441 5.622558179
Apr 2017 5.977538124 5.659081593 5.630252101
May 2017 6.062714067 5.679402192 5.655669531
Jun 2017 6.115403663 5.764688751 5.694810906
Jul 2017 6.150980796 5.781468316 5.736764465
Aug 2017 6.206455859 5.852823044 5.820221049
Sep 2017 6.286417103 5.914387163 5.908893238
Oct 2017 6.385443062 5.975700957 6.015323589
Nov 2017 6.453145432 6.057429716 6.08412483
Dec 2017 6.518259926 6.04168585 6.203231754
Jan 2018 6.576907499 5.992470714 6.205664158
Feb 2018 6.658701048 6.211874598 6.420580446
Mar 2018 6.701949784 6.382773091 6.454379758
Apr 2018 6.698755232 6.312417033 6.40678865
May 2018 6.674925872 6.192769553 6.255575964
Jun 2018 6.628394849 5.93658719 6.126482213
Jul 2018 6.614556083 5.753839431 5.911228233
Aug 2018 6.575189928 5.517783643 5.654455649
Sep 2018 6.490065633 5.342645439 5.420109839
Oct 2018 6.347457062 5.202910639 5.27421835
Nov 2018 6.181262234 4.916296791 4.947303796
Dec 2018 6.010868944 4.621676829 4.523639334
Jan 2019 5.856965631 4.439090009 4.124815174
Feb 2019 5.633808932 4.164536846 3.82916053
Mar 2019 5.372737437 3.870649748 3.635814281
Apr 2019 5.073804302 3.791007429 3.528884015
May 2019 4.801287744 3.737799671 3.412851287
Jun 2019 4.559110359 3.676748224 3.209840243
Jul 2019 4.333828314 3.625308996 3.122408157
Aug 2019 4.137596899 3.728085324 3.106890674
Sep 2019 3.975329879 3.827531464 3.17444861
Oct 2019 3.853016267 3.934839833 3.223136472
Nov 2019 3.736548177 4.140471827 3.422220056
Dec 2019 3.652254634 4.405747259 3.692848769
Jan 2020 3.621890629 4.616263883 4.020174322
Feb 2020 3.692437963 4.848749537 4.304230863
Mar 2020 3.8771472 5.197292218 4.577259475
Apr 2020 4.081257506 5.159988373 4.602570892
May 2020 4.15354467 4.828426839 4.365268889
Jun 2020 4.186377306 5.019135621 4.387256066
Jul 2020 4.400750962 5.683872929 4.839854284
Aug 2020 4.9445548 6.279179937 5.832900392
Sep 2020 5.696069728 7.043133908 7.04544382
Oct 2020 6.534159491 7.839244178 8.419414179
Nov 2020 7.442203778 8.563584179 9.535705868
Dec 2020 8.311743351 9.301176085 10.43433201
Jan 2021 9.182466578 9.760479517 11.33079132
Feb 2021 10.02521168 10.28820557 12.20164127
Mar 2021 10.91808283 11.34323504 13.5024626
Apr 2021 11.91084527 12.96227452 15.01357758
May 2021 13.3949806 14.81705989 16.9320886
Jun 2021 15.25622072 16.32699198 18.82647259
Jul 2021 17.06606595 16.98091985 19.84205776
Aug 2021 18.29315775 17.17765156 19.97947162
Sep 2021 18.93096023 17.22531749 19.68788573
Oct 2021 19.21481985 17.181121 19.07682937
Nov 2021 19.32024807 17.28806363 18.80970824
Dec 2021 19.58140307 17.58601939 18.8670392
Jan 2022 19.8882433 17.96216782 19.25158562
Feb 2022 20.3088408 18.83031019 20.06519831
Mar 2022 20.60765525 19.9210789 20.7835271
Apr 2022 20.91175945 20.14767076 20.71711553
May 2022 20.66976667 19.59595832 20.00626174
Jun 2022 19.80796827 17.76163387 18.07916092
Jul 2022 18.24723798 15.43305054 15.76985352
Aug 2022 16.48916756 13.50856061  
Sep 2022 14.85829297    

Note: The Zillow data extends through September 2022, the CoreLogic data extends through August 2022, and the Case-Shiller data extends through July 2022.

Source: CoreLogic Real Estate Data; Zillow, Inc., Zillow Real Estate Data; S&P Case-Shiller Home Prices Indices.

Return to text
Figure 1.18. A model-based measure pointed to stretched house price valuations

Percent

Date Valuation
1979 Q1 -1.778289
1979 Q2 -0.8371327
1979 Q3 -1.810276
1979 Q4 -0.0510318
1980 Q1 -0.5463158
1980 Q2 -1.029179
1980 Q3 -0.3661605
1980 Q4 2.162713
1981 Q1 3.391015
1981 Q2 1.562221
1981 Q3 0.5313959
1981 Q4 0.9451605
1982 Q1 0.3858643
1982 Q2 1.662323
1982 Q3 3.432804
1982 Q4 1.416674
1983 Q1 2.89156
1983 Q2 1.043826
1983 Q3 1.617284
1983 Q4 -3.580251
1984 Q1 -3.188642
1984 Q2 -2.596003
1984 Q3 -1.256554
1984 Q4 0.2519354
1985 Q1 2.054137
1985 Q2 4.240296
1985 Q3 5.467786
1985 Q4 4.170259
1986 Q1 4.52748
1986 Q2 2.776026
1986 Q3 3.008437
1986 Q4 1.887066
1987 Q1 0.5101987
1987 Q2 -1.757875
1987 Q3 -1.126876
1987 Q4 -0.889722
1988 Q1 -2.121105
1988 Q2 1.236721
1988 Q3 0.7735246
1988 Q4 2.488423
1989 Q1 1.745162
1989 Q2 3.462624
1989 Q3 2.640654
1989 Q4 2.26337
1990 Q1 2.455745
1990 Q2 0.4667819
1990 Q3 -0.4389815
1990 Q4 -0.4474986
1991 Q1 -0.1549693
1991 Q2 0
1991 Q3 -1.086118
1991 Q4 -2.759785
1992 Q1 -3.34068
1992 Q2 -4.031844
1992 Q3 -3.746022
1992 Q4 -5.009989
1993 Q1 -4.855091
1993 Q2 -4.962378
1993 Q3 -5.435732
1993 Q4 -5.424099
1994 Q1 -5.976739
1994 Q2 -6.982774
1994 Q3 -7.908533
1994 Q4 -6.362696
1995 Q1 -5.809748
1995 Q2 -3.493546
1995 Q3 -2.22738
1995 Q4 -2.606678
1996 Q1 -3.008326
1996 Q2 -4.786299
1996 Q3 -5.07091
1996 Q4 -5.695503
1997 Q1 -5.090292
1997 Q2 -3.684321
1997 Q3 -3.389706
1997 Q4 -4.012487
1998 Q1 -3.772152
1998 Q2 -2.001551
1998 Q3 -3.343477
1998 Q4 -2.681426
1999 Q1 -2.667606
1999 Q2 -1.888869
1999 Q3 -1.631492
1999 Q4 -1.431726
2000 Q1 -0.0970414
2000 Q2 1.526319
2000 Q3 4.130497
2000 Q4 5.167379
2001 Q1 5.926013
2001 Q2 6.280168
2001 Q3 5.435499
2001 Q4 4.527453
2002 Q1 4.11955
2002 Q2 5.152065
2002 Q3 5.699883
2002 Q4 7.098077
2003 Q1 8.002856
2003 Q2 9.088513
2003 Q3 9.314384
2003 Q4 9.142471
2004 Q1 10.75798
2004 Q2 12.3367
2004 Q3 15.45337
2004 Q4 18.44433
2005 Q1 19.58308
2005 Q2 23.26889
2005 Q3 25.5316
2005 Q4 26.37242
2006 Q1 27.44611
2006 Q2 28.09134
2006 Q3 28.00223
2006 Q4 28.1239
2007 Q1 27.18227
2007 Q2 27.09721
2007 Q3 25.6792
2007 Q4 22.86486
2008 Q1 20.20877
2008 Q2 17.2511
2008 Q3 13.35236
2008 Q4 9.0777
2009 Q1 4.158578
2009 Q2 2.395321
2009 Q3 -0.1917282
2009 Q4 -1.666107
2010 Q1 -1.870236
2010 Q2 -0.9675203
2010 Q3 -2.542257
2010 Q4 -5.384982
2011 Q1 -7.13125
2011 Q2 -9.575196
2011 Q3 -12.66108
2011 Q4 -13.91198
2012 Q1 -13.86885
2012 Q2 -14.68957
2012 Q3 -16.54815
2012 Q4 -16.06093
2013 Q1 -15.32495
2013 Q2 -14.27485
2013 Q3 -12.80343
2013 Q4 -11.47135
2014 Q1 -9.050722
2014 Q2 -8.581998
2014 Q3 -6.235885
2014 Q4 -6.095013
2015 Q1 -5.634343
2015 Q2 -5.926446
2015 Q3 -6.204034
2015 Q4 -6.034415
2016 Q1 -5.482843
2016 Q2 -4.586801
2016 Q3 -4.844023
2016 Q4 -3.937003
2017 Q1 -4.054047
2017 Q2 -2.875787
2017 Q3 -2.687908
2017 Q4 -0.706166
2018 Q1 0.990106
2018 Q2 0.9716397
2018 Q3 1.955841
2018 Q4 2.54757
2019 Q1 4.043849
2019 Q2 4.102157
2019 Q3 3.405078
2019 Q4 4.004889
2020 Q1 3.209416
2020 Q2 3.245699
2020 Q3 3.282271
2020 Q4 5.267303
2021 Q1 7.717297
2021 Q2 11.03632
2021 Q3 15.80331
2021 Q4 18.68881
2022 Q1 23.14197
2022 Q2 25.73432
2022 Q3 24.06531

Note: Valuation is measured as the deviation from the long-run relationship between the price-to-rent ratio and the real 10-year Treasury yield.

Source: For house prices, Zillow, Inc., Real Estate Data; for rent data, Bureau of Labor Statistics.

Return to text
Figure 1.19. House price-to-rent ratios remained elevated across geographic areas

Jan 2010=100

Date Median Bottom line of middle 80% of markets Top line of middle 80% of markets
Jan 1996 82.99136132 71.61616619 105.0022502
Feb 1996 82.68723389 71.50928606 104.8210482
Mar 1996 82.42218746 71.23255453 104.5817042
Apr 1996 82.21275107 71.07883714 105.0284691
May 1996 82.10314714 70.91164395 104.6006219
Jun 1996 82.21808071 70.84929448 104.4742714
Jul 1996 82.35683099 70.79427026 104.3904755
Aug 1996 82.53202241 70.7086581 104.4017691
Sep 1996 82.62138109 70.61152585 104.2041462
Oct 1996 82.74828886 70.46901178 104.2527565
Nov 1996 82.89245979 70.44766449 104.028904
Dec 1996 83.06040072 70.55956032 104.0277581
Jan 1997 83.16132049 70.65158189 103.563981
Feb 1997 83.38765237 70.69670204 103.6194946
Mar 1997 83.64134703 70.81362566 103.3752933
Apr 1997 83.99174936 70.94566667 103.0744184
May 1997 84.16900766 71.16016461 103.1549535
Jun 1997 84.33952086 71.26897615 103.1958185
Jul 1997 86.53235566 71.67936236 102.7646863
Aug 1997 86.62758664 71.83513041 102.8194678
Sep 1997 86.73499246 71.96056143 103.1386101
Oct 1997 86.82198631 72.15266236 103.2305576
Nov 1997 86.92080671 72.28718242 103.5262525
Dec 1997 87.04372016 72.52735988 103.7517251
Jan 1998 84.44614558 73.23080543 103.4650858
Feb 1998 84.51088498 73.36005815 103.6907191
Mar 1998 84.58433945 73.46383671 104.1205522
Apr 1998 84.52541235 73.55135098 103.3542425
May 1998 84.48946069 73.45575478 103.5827425
Jun 1998 84.45622228 73.45496235 103.3047393
Jul 1998 84.53588996 73.51720487 103.6484071
Aug 1998 84.78539047 73.77469601 103.993987
Sep 1998 85.14038913 74.19722763 104.2552765
Oct 1998 85.46069768 74.59235946 104.4846217
Nov 1998 85.71412928 74.91918866 104.300883
Dec 1998 85.93429195 74.89566248 104.7042785
Jan 1999 86.26823715 74.98711647 104.4924595
Feb 1999 86.83496192 75.15578572 105.4429281
Mar 1999 87.69366984 75.54455198 105.8791509
Apr 1999 88.52868553 75.88408388 106.3649879
May 1999 89.16039183 76.31533632 107.4267333
Jun 1999 89.6575303 76.85995164 108.0880347
Jul 1999 90.20578348 77.40059388 108.5665931
Aug 1999 90.59711335 77.72062181 108.7889316
Sep 1999 90.86181406 78.21774267 108.7613285
Oct 1999 91.21987278 78.66344316 108.86985
Nov 1999 91.30153398 79.07264308 109.0209578
Dec 1999 91.8671136 79.46844997 109.343581
Jan 2000 92.19461825 79.78474031 109.2623226
Feb 2000 92.31992856 80.18838339 109.0956831
Mar 2000 92.20082656 80.42914102 109.0351973
Apr 2000 92.87919564 80.96892286 109.2816796
May 2000 93.31329955 81.60516034 109.3964796
Jun 2000 93.77746293 82.32001254 109.521764
Jul 2000 94.48655639 83.08063254 109.6744948
Aug 2000 95.06022056 83.59929384 109.7635729
Sep 2000 95.92373045 84.1304983 109.8207629
Oct 2000 96.41543026 84.49299742 109.8470269
Nov 2000 96.51523666 84.75180887 109.9153311
Dec 2000 97.14316514 85.16759772 109.9045864
Jan 2001 97.68870255 85.29687593 109.6859832
Feb 2001 98.44744582 85.68353468 109.4405409
Mar 2001 98.83204947 86.20172056 109.3439183
Apr 2001 98.87131802 86.76736317 109.553946
May 2001 98.94308817 87.13116177 110.3803358
Jun 2001 98.57781813 87.31978409 111.0547043
Jul 2001 98.81849278 87.63257183 111.9236168
Aug 2001 98.69835842 87.95648997 112.930175
Sep 2001 98.87907271 88.28150207 113.8132768
Oct 2001 98.98960707 88.65190981 114.8907952
Nov 2001 99.01472278 88.68882721 115.6535955
Dec 2001 99.03630684 88.40569757 115.6087622
Jan 2002 99.01511076 88.26791892 115.8361814
Feb 2002 99.23900532 88.20812642 116.0438583
Mar 2002 99.50370884 88.2963672 116.4074434
Apr 2002 99.8294031 88.58198227 115.6782693
May 2002 100.3979268 89.07758879 115.8975019
Jun 2002 101.2093647 89.96713755 116.0985463
Jul 2002 101.9543208 90.93521092 115.8078787
Aug 2002 102.001074 91.33329205 116.0748575
Sep 2002 102.027803 91.46752905 116.605401
Oct 2002 102.4109754 91.73266243 117.5685393
Nov 2002 102.7983676 91.94033771 117.3242332
Dec 2002 103.3438901 92.0701111 117.3411388
Jan 2003 103.4909327 92.33172414 117.5005417
Feb 2003 104.0357512 92.47826701 117.5644578
Mar 2003 104.2754404 92.82393805 119.2829158
Apr 2003 104.704338 93.07176108 121.0536365
May 2003 105.5585674 93.42763553 122.668248
Jun 2003 106.3803855 93.68178766 123.9925485
Jul 2003 107.218199 94.32681469 125.7245536
Aug 2003 108.1382892 94.86903537 127.2799093
Sep 2003 109.1698566 95.39744072 130.0087641
Oct 2003 109.8709841 96.4130155 131.2889897
Nov 2003 110.5262471 97.57914933 133.1547436
Dec 2003 111.2704569 98.59290054 133.9361925
Jan 2004 111.8205366 99.42051704 135.7361724
Feb 2004 112.506405 100.367481 138.5901966
Mar 2004 113.1343051 101.3778796 141.2678673
Apr 2004 113.861434 102.5670188 143.8155382
May 2004 114.7566441 104.3368715 145.9381361
Jun 2004 116.23237 105.2606064 150.7219419
Jul 2004 118.0008871 106.1838448 154.2365248
Aug 2004 119.0477705 106.3929582 156.6655656
Sep 2004 120.4055057 106.3426188 159.0580079
Oct 2004 121.5038508 106.5033229 161.5553904
Nov 2004 123.0130265 106.5871264 162.5221082
Dec 2004 123.8556623 106.3676906 164.5861895
Jan 2005 124.3585173 107.1372941 165.8028515
Feb 2005 125.0012224 107.3621484 167.7721983
Mar 2005 125.4624273 107.6695182 169.9268184
Apr 2005 126.305294 107.7865353 171.9300964
May 2005 126.8978248 108.0604329 175.073331
Jun 2005 127.1200586 108.8543881 176.8654563
Jul 2005 127.7719058 108.4793354 176.759434
Aug 2005 128.3322572 109.2193686 176.3962476
Sep 2005 129.0515638 110.6994721 175.5599233
Oct 2005 129.5587535 112.1142808 175.6499523
Nov 2005 130.0083816 112.5853288 175.2079565
Dec 2005 130.7338079 112.7184876 174.7034725
Jan 2006 131.2131732 112.9007191 175.0624201
Feb 2006 131.7154905 112.7088455 174.511913
Mar 2006 132.6649875 112.4244525 174.8749533
Apr 2006 132.7347204 112.0542277 176.2348089
May 2006 132.1586254 111.7634131 175.731011
Jun 2006 132.2197627 111.4963723 174.1280338
Jul 2006 132.2010283 111.1409189 173.3019298
Aug 2006 131.8741443 110.9992744 172.4468924
Sep 2006 131.2853574 110.9448391 171.7447754
Oct 2006 130.8754391 111.3086437 170.8246992
Nov 2006 130.4576896 111.7622945 169.5683426
Dec 2006 130.0506569 112.7666235 168.5500686
Jan 2007 130.1033297 112.9439201 166.5264359
Feb 2007 130.1393163 112.9984548 165.517912
Mar 2007 130.9379516 112.6559277 164.6227251
Apr 2007 131.3259562 112.1779097 163.6657572
May 2007 131.3355002 112.8534235 162.6013514
Jun 2007 131.1657387 112.9186327 161.3078544
Jul 2007 130.3831173 112.550594 158.8836073
Aug 2007 129.607436 112.1760709 156.3229823
Sep 2007 129.1018694 111.766274 153.8585153
Oct 2007 128.6863872 111.2621753 151.3771736
Nov 2007 127.9095372 110.7313378 149.3265918
Dec 2007 126.8486541 110.1211652 146.8630299
Jan 2008 125.7918927 109.3767385 144.3036288
Feb 2008 124.5413647 109.0513355 141.4485404
Mar 2008 123.3318663 108.4745783 138.6718602
Apr 2008 121.793749 107.7987093 135.8296986
May 2008 120.3527125 107.0610449 133.066615
Jun 2008 118.3047113 106.3974009 130.574305
Jul 2008 116.7129748 105.9873333 128.1013337
Aug 2008 114.4351439 105.4749356 126.0241129
Sep 2008 112.1663659 104.9201482 123.9080482
Oct 2008 110.718721 104.2656077 121.7548827
Nov 2008 109.3681895 103.6188706 119.3255166
Dec 2008 108.1608174 102.1706217 116.9728265
Jan 2009 106.6895212 100.3109392 114.6710477
Feb 2009 105.7733474 99.62779171 112.6923273
Mar 2009 104.6013747 99.26944171 110.6633812
Apr 2009 103.7335807 99.25999993 108.5254201
May 2009 102.7406274 98.96852986 106.825491
Jun 2009 101.6956503 98.21804402 105.229071
Jul 2009 101.1325635 97.94122602 103.889634
Aug 2009 100.2909507 97.37546009 102.9703656
Sep 2009 100.3012424 97.46417297 101.9731586
Oct 2009 100.0982858 97.94495789 101.2691528
Nov 2009 100.1576988 98.72319441 100.8594937
Dec 2009 100.046329 99.53013276 100.5126837
Jan 2010 100 100 100
Feb 2010 99.91271184 99.59029616 100.4837252
Mar 2010 100.0104181 99.20575025 100.823576
Apr 2010 99.94126838 99.03812929 101.0766107
May 2010 99.90980528 98.71774321 101.3342917
Jun 2010 99.56967299 98.6542954 101.0892297
Jul 2010 99.1000726 97.6865334 100.7238535
Aug 2010 98.79688131 96.87115773 99.9962618
Sep 2010 98.01163818 95.54710252 99.92373764
Oct 2010 97.34931856 94.47785955 99.53070089
Nov 2010 96.64736787 93.4268052 98.96483402
Dec 2010 96.04287865 92.58747394 98.5094045
Jan 2011 95.45824632 91.8343639 98.0016958
Feb 2011 94.77566549 90.70539552 97.45778907
Mar 2011 94.19850869 89.87251842 96.70181739
Apr 2011 93.54302404 88.85727908 96.37355295
May 2011 92.75766591 87.97706127 95.70338564
Jun 2011 91.99305383 86.43027296 95.38257618
Jul 2011 91.36900805 85.51033513 94.65390985
Aug 2011 90.66531634 84.88803124 94.19564511
Sep 2011 90.06350213 84.82641196 93.87615055
Oct 2011 89.46665731 84.28913676 93.46548871
Nov 2011 88.95123128 83.79164585 93.20566341
Dec 2011 88.69988107 82.90685132 92.98490193
Jan 2012 88.27194744 82.13020325 92.61239107
Feb 2012 87.77091992 81.52498095 92.3982172
Mar 2012 87.73869107 81.79955957 92.44261375
Apr 2012 87.76247336 82.26172343 92.38899105
May 2012 88.33433362 82.65240894 92.40551004
Jun 2012 88.98184612 82.7896908 92.47556903
Jul 2012 89.56418517 82.9921678 92.8941959
Aug 2012 89.75562419 83.35919012 93.19721728
Sep 2012 89.71981039 83.70649039 93.29442356
Oct 2012 89.7519931 84.09514378 93.68039804
Nov 2012 90.30677574 84.39172225 94.59688652
Dec 2012 90.82487532 84.86228513 95.70248167
Jan 2013 91.0634872 85.02451749 96.29644938
Feb 2013 91.47180944 85.33483071 97.08961612
Mar 2013 91.82193141 85.20369668 98.58370205
Apr 2013 92.16468397 85.80959766 100.4554222
May 2013 92.80512168 86.42232155 102.0905869
Jun 2013 93.36902661 86.37212055 103.8191493
Jul 2013 94.04953601 86.4611286 105.4543843
Aug 2013 94.60064938 86.65316833 107.2662476
Sep 2013 95.12742239 86.95287364 108.6269853
Oct 2013 96.02738836 86.8849898 109.3542781
Nov 2013 96.56186834 86.93335168 109.5413704
Dec 2013 97.24287709 86.71523399 110.7669859
Jan 2014 98.10304474 86.69433842 112.0107807
Feb 2014 98.65324073 86.76218684 112.3477306
Mar 2014 99.08621739 86.65763988 112.549258
Apr 2014 99.31338625 86.52735874 112.3211086
May 2014 99.54283376 86.31297441 112.3900809
Jun 2014 99.54133088 86.39998697 112.2444801
Jul 2014 99.97152235 86.72935436 112.1289975
Aug 2014 100.1934532 86.66203656 112.3239905
Sep 2014 100.2600426 86.35814647 112.7755208
Oct 2014 100.4288519 86.33094906 113.4772836
Nov 2014 100.165329 86.26119836 113.2232307
Dec 2014 100.3711111 86.09432794 113.5781266
Jan 2015 100.2206061 85.90629009 113.7229596
Feb 2015 100.2317551 85.70519405 114.0506583
Mar 2015 100.3389709 85.47778211 114.2114622
Apr 2015 100.5576454 85.55742033 114.6929685
May 2015 100.7173744 85.51228128 115.3077759
Jun 2015 101.0578821 85.42846826 115.5661534
Jul 2015 101.3985426 85.38915192 115.7733708
Aug 2015 101.881301 85.40609116 116.0198474
Sep 2015 102.3640293 85.41870259 116.2260165
Oct 2015 102.8185425 85.51777986 116.5887699
Nov 2015 103.2230832 85.38346924 117.0529563
Dec 2015 103.4746141 85.41088151 117.3041911
Jan 2016 103.6487389 85.41739793 117.8200397
Feb 2016 104.1067914 85.46583315 118.1099986
Mar 2016 104.7298009 85.36994363 118.2783766
Apr 2016 105.0909515 85.39211244 118.2590554
May 2016 105.3416581 85.41894469 118.9418403
Jun 2016 105.5895728 85.51744141 119.657071
Jul 2016 105.3602643 85.68697474 120.1269838
Aug 2016 105.293941 85.73559272 120.2638391
Sep 2016 105.2614296 85.85492146 120.3885976
Oct 2016 105.4063804 86.18299971 120.5835883
Nov 2016 105.7336235 86.40297132 120.4451685
Dec 2016 106.2529509 86.53830958 120.6431276
Jan 2017 106.375511 86.75887905 120.9579232
Feb 2017 106.7061916 86.39109223 121.0968652
Mar 2017 107.1276992 86.34554049 121.0518451
Apr 2017 107.4411598 86.46347797 121.2174909
May 2017 107.7943921 86.58576859 121.4561068
Jun 2017 107.8645317 86.89046231 121.7233387
Jul 2017 108.2931208 86.97680363 122.1831817
Aug 2017 107.8182646 87.12817855 123.3198595
Sep 2017 108.1979475 87.3844527 124.3120966
Oct 2017 108.5627749 87.65039418 125.4215932
Nov 2017 108.7825419 87.90421443 126.5418007
Dec 2017 108.9930615 88.21065134 127.7440014
Jan 2018 109.3589217 88.37983554 128.9683898
Feb 2018 109.8075799 88.63300803 130.1396746
Mar 2018 110.3446763 89.02566978 131.6517593
Apr 2018 110.7994488 89.25620705 132.3972153
May 2018 110.9239747 89.43280006 132.8472041
Jun 2018 110.461068 89.44045199 133.2099316
Jul 2018 110.7634248 89.580325 132.8836011
Aug 2018 110.5995133 89.7773145 132.7192275
Sep 2018 110.2505805 89.9081462 132.7945324
Oct 2018 110.176517 89.97851947 132.9746219
Nov 2018 109.8961256 90.21239644 133.201195
Dec 2018 109.6404519 90.05814651 132.4263138
Jan 2019 109.5556252 90.15333427 131.0348816
Feb 2019 109.6185575 90.16922806 130.5448934
Mar 2019 109.5779562 90.19988399 129.5109913
Apr 2019 109.0015661 90.18841689 128.8759791
May 2019 108.5755871 90.14212767 128.6139213
Jun 2019 108.3515296 90.18335638 128.8996382
Jul 2019 108.2736713 90.12282847 129.0928878
Aug 2019 108.1889348 89.98667837 129.3913763
Sep 2019 108.2138296 89.72565361 129.3487993
Oct 2019 108.5673792 89.52176183 129.5901497
Nov 2019 108.3507469 89.38530077 130.0154774
Dec 2019 108.443512 89.04701859 130.60198
Jan 2020 108.3606601 88.91731176 131.5077432
Feb 2020 108.5308851 88.78647056 131.6487684
Mar 2020 108.7283086 88.72047457 132.208865
Apr 2020 108.6913338 88.74294517 132.7181825
May 2020 108.7264687 88.32937881 131.061033
Jun 2020 108.9888472 88.31309676 129.6942474
Jul 2020 109.1538884 88.59499559 129.8871853
Aug 2020 109.8826774 88.96664002 131.5366565
Sep 2020 111.0682986 89.89759339 133.0384924
Oct 2020 112.9095449 90.78012002 134.4062246
Nov 2020 114.5776381 92.02607747 135.7638221
Dec 2020 116.0985519 92.80917934 136.9317331
Jan 2021 117.4724594 93.72742056 137.8976542
Feb 2021 118.8456784 94.2491217 138.7143384
Mar 2021 119.7832889 94.25443235 139.8621022
Apr 2021 121.3272976 95.1971506 141.6452835
May 2021 123.7110179 96.59560144 144.4114526
Jun 2021 126.5813269 97.80634827 147.9231287
Jul 2021 128.8899288 98.78687268 151.6939787
Aug 2021 131.1456337 99.45228123 153.9165883
Sep 2021 132.7843159 100.0223581 155.7589771
Oct 2021 134.6905074 100.5662753 156.5143585
Nov 2021 135.6393375 100.9671197 157.918937
Dec 2021 137.0277087 101.5884451 159.4114883
Jan 2022 138.9770187 102.3887844 160.9951531
Feb 2022 140.7552992 102.9635472 163.230213
Mar 2022 142.3938861 104.0388867 165.255729
Apr 2022 143.8087735 104.6601714 167.0772401
May 2022 145.0034247 105.3539654 167.7470911
Jun 2022 144.7856353 105.8057596 166.6935999
Jul 2022 143.452578 105.6023536 165.6070462
Aug 2022 141.7106544 105.1335109 165.662303
Sep 2022 140.2975951 104.5433686 165.2308872

Note: The data are seasonally adjusted. Percentiles are based on 19 large metropolitan statistical areas.

Source: For house prices, Zillow, Inc., Real Estate Data; for rent data, Bureau of Labor Statistics.

Return to text
Figure 2.1. The debt of households and businesses relative to GDP was flat in the first half of 2022

Ratio

Date Private Nonfinancial-Sector Credit-to-GDP Ratio
1980 Q1 0.975766728
1980 Q2 0.985325765
1980 Q3 0.984688514
1980 Q4 0.969626438
1981 Q1 0.944681945
1981 Q2 0.961631376
1981 Q3 0.955814389
1981 Q4 0.970801794
1982 Q1 0.991095812
1982 Q2 0.99360859
1982 Q3 0.997284871
1982 Q4 1.000862586
1983 Q1 0.997894866
1983 Q2 0.991625517
1983 Q3 0.988465184
1983 Q4 0.989755465
1984 Q1 0.994025927
1984 Q2 1.004823672
1984 Q3 1.016268593
1984 Q4 1.036095253
1985 Q1 1.053514423
1985 Q2 1.067944279
1985 Q3 1.076870629
1985 Q4 1.10298612
1986 Q1 1.113630223
1986 Q2 1.132027087
1986 Q3 1.150080876
1986 Q4 1.171621085
1987 Q1 1.17621633
1987 Q2 1.183049045
1987 Q3 1.191236254
1987 Q4 1.184885006
1988 Q1 1.198441392
1988 Q2 1.200503041
1988 Q3 1.20515159
1988 Q4 1.20659434
1989 Q1 1.206017216
1989 Q2 1.2103474
1989 Q3 1.212364616
1989 Q4 1.224423667
1990 Q1 1.223360426
1990 Q2 1.22158218
1990 Q3 1.223436755
1990 Q4 1.236980895
1991 Q1 1.236175138
1991 Q2 1.226819863
1991 Q3 1.211155866
1991 Q4 1.205129666
1992 Q1 1.194883879
1992 Q2 1.1797295
1992 Q3 1.170759449
1992 Q4 1.158885541
1993 Q1 1.15931459
1993 Q2 1.159769973
1993 Q3 1.16300756
1993 Q4 1.157360882
1994 Q1 1.159525789
1994 Q2 1.155762764
1994 Q3 1.159275004
1994 Q4 1.160801568
1995 Q1 1.169525127
1995 Q2 1.181035687
1995 Q3 1.183688408
1995 Q4 1.187431184
1996 Q1 1.194295255
1996 Q2 1.190414847
1996 Q3 1.192392388
1996 Q4 1.188377862
1997 Q1 1.193177167
1997 Q2 1.191657535
1997 Q3 1.197261447
1997 Q4 1.20303729
1998 Q1 1.217929776
1998 Q2 1.235948051
1998 Q3 1.239509568
1998 Q4 1.245013902
1999 Q1 1.261826951
1999 Q2 1.273074182
1999 Q3 1.287312218
1999 Q4 1.287069948
2000 Q1 1.309106546
2000 Q2 1.307027612
2000 Q3 1.323770651
2000 Q4 1.330435664
2001 Q1 1.340953509
2001 Q2 1.353277573
2001 Q3 1.383255457
2001 Q4 1.389474568
2002 Q1 1.396290629
2002 Q2 1.399540389
2002 Q3 1.407927229
2002 Q4 1.423216865
2003 Q1 1.43084244
2003 Q2 1.446491954
2003 Q3 1.440326078
2003 Q4 1.437855211
2004 Q1 1.452109612
2004 Q2 1.458804828
2004 Q3 1.466822648
2004 Q4 1.478380508
2005 Q1 1.480627519
2005 Q2 1.499514496
2005 Q3 1.508144786
2005 Q4 1.523746334
2006 Q1 1.537358263
2006 Q2 1.560576697
2006 Q3 1.57925473
2006 Q4 1.597501417
2007 Q1 1.608966202
2007 Q2 1.630925793
2007 Q3 1.649730087
2007 Q4 1.664450592
2008 Q1 1.68984468
2008 Q2 1.681032196
2008 Q3 1.694338861
2008 Q4 1.706840771
2009 Q1 1.71714448
2009 Q2 1.715349501
2009 Q3 1.695257183
2009 Q4 1.655431128
2010 Q1 1.637440905
2010 Q2 1.605511024
2010 Q3 1.585019025
2010 Q4 1.563137616
2011 Q1 1.560089136
2011 Q2 1.541106287
2011 Q3 1.53100584
2011 Q4 1.517301343
2012 Q1 1.50137048
2012 Q2 1.492162215
2012 Q3 1.491641063
2012 Q4 1.493025864
2013 Q1 1.479919959
2013 Q2 1.482082842
2013 Q3 1.477018542
2013 Q4 1.474461619
2014 Q1 1.486658787
2014 Q2 1.473580006
2014 Q3 1.457692166
2014 Q4 1.464776385
2015 Q1 1.467214852
2015 Q2 1.471532547
2015 Q3 1.47251914
2015 Q4 1.480179853
2016 Q1 1.491331433
2016 Q2 1.490101854
2016 Q3 1.494548922
2016 Q4 1.486639079
2017 Q1 1.492934477
2017 Q2 1.500383019
2017 Q3 1.49557686
2017 Q4 1.493252039
2018 Q1 1.48824077
2018 Q2 1.492784315
2018 Q3 1.492381695
2018 Q4 1.496057619
2019 Q1 1.498650627
2019 Q2 1.495367294
2019 Q3 1.493849132
2019 Q4 1.492495807
2020 Q1 1.547296847
2020 Q2 1.73028143
2020 Q3 1.601839313
2020 Q4 1.590007623
2021 Q1 1.569056797
2021 Q2 1.537271856
2021 Q3 1.526117963
2021 Q4 1.50281351
2022 Q1 1.50868334
2022 Q2 1.506807698

Note: The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990-March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020. GDP is gross domestic product.

Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, Financial Accounts of the United States.

Return to text
Figure 2.2. Both business and household debt-to-GDP ratios moved sideways in the first half of 2022

Ratio

Date Nonfinancial business Household
1980 Q1 0.495947082 0.479819646
1980 Q2 0.501995816 0.483329949
1980 Q3 0.501133387 0.483555127
1980 Q4 0.493935637 0.475690801
1981 Q1 0.483011684 0.461670261
1981 Q2 0.495268348 0.466363028
1981 Q3 0.496116523 0.459697866
1981 Q4 0.505501067 0.465300727
1982 Q1 0.519232496 0.471863316
1982 Q2 0.524071631 0.469536959
1982 Q3 0.531699879 0.465584992
1982 Q4 0.531243378 0.469619207
1983 Q1 0.534932356 0.46296251
1983 Q2 0.52991158 0.461713937
1983 Q3 0.527420871 0.461044314
1983 Q4 0.526054719 0.463700745
1984 Q1 0.530065603 0.463960324
1984 Q2 0.53837726 0.466446412
1984 Q3 0.54727502 0.468993573
1984 Q4 0.55937989 0.476715364
1985 Q1 0.562135594 0.491378829
1985 Q2 0.569021024 0.498923255
1985 Q3 0.569976837 0.506893792
1985 Q4 0.578743384 0.524242737
1986 Q1 0.584806564 0.528823659
1986 Q2 0.59601856 0.536008527
1986 Q3 0.604431004 0.545649872
1986 Q4 0.615051828 0.556569257
1987 Q1 0.619983753 0.556232577
1987 Q2 0.61984807 0.563200975
1987 Q3 0.623209484 0.56802677
1987 Q4 0.622286688 0.562598318
1988 Q1 0.628112821 0.57032857
1988 Q2 0.628943422 0.571559619
1988 Q3 0.630314216 0.574837374
1988 Q4 0.632365091 0.574229249
1989 Q1 0.6316491 0.574368116
1989 Q2 0.633022258 0.577325142
1989 Q3 0.630811721 0.581552894
1989 Q4 0.635627694 0.588795973
1990 Q1 0.631161369 0.592199058
1990 Q2 0.627652253 0.593929928
1990 Q3 0.626294655 0.5971421
1990 Q4 0.630060654 0.606920241
1991 Q1 0.623077563 0.613097576
1991 Q2 0.613748114 0.613071749
1991 Q3 0.600932462 0.610223404
1991 Q4 0.590048591 0.615081075
1992 Q1 0.581198133 0.613685746
1992 Q2 0.570500728 0.609228773
1992 Q3 0.562440371 0.608319078
1992 Q4 0.552092466 0.606793076
1993 Q1 0.550641144 0.608673446
1993 Q2 0.549250772 0.610519201
1993 Q3 0.54864534 0.614362219
1993 Q4 0.543809449 0.613551433
1994 Q1 0.544601816 0.614923973
1994 Q2 0.541173498 0.614589265
1994 Q3 0.541963082 0.617311922
1994 Q4 0.540133795 0.620667773
1995 Q1 0.544588489 0.624936638
1995 Q2 0.550085563 0.630950124
1995 Q3 0.54893393 0.634754478
1995 Q4 0.550547784 0.6368834
1996 Q1 0.549648801 0.644646455
1996 Q2 0.547689983 0.642724864
1996 Q3 0.548783064 0.643609323
1996 Q4 0.545104943 0.643272919
1997 Q1 0.547341245 0.645835922
1997 Q2 0.547980972 0.643676563
1997 Q3 0.552983364 0.644278083
1997 Q4 0.557215699 0.64582159
1998 Q1 0.56710645 0.650823326
1998 Q2 0.578833805 0.657114247
1998 Q3 0.583382679 0.656126889
1998 Q4 0.586908143 0.658105759
1999 Q1 0.596900958 0.664925993
1999 Q2 0.60118998 0.671884202
1999 Q3 0.612340251 0.674971967
1999 Q4 0.611533298 0.67553665
2000 Q1 0.621777115 0.687329431
2000 Q2 0.62324478 0.683782832
2000 Q3 0.628728752 0.695041899
2000 Q4 0.632083827 0.698351838
2001 Q1 0.634134147 0.706819362
2001 Q2 0.63838598 0.714891594
2001 Q3 0.645283459 0.737971999
2001 Q4 0.646882852 0.742591716
2002 Q1 0.644338202 0.751952427
2002 Q2 0.640799874 0.758740514
2002 Q3 0.637840084 0.770087145
2002 Q4 0.637257035 0.78595983
2003 Q1 0.6324748 0.79836764
2003 Q2 0.626137233 0.820354721
2003 Q3 0.616946331 0.823379747
2003 Q4 0.606850153 0.831005058
2004 Q1 0.61071467 0.841394942
2004 Q2 0.606297958 0.85250687
2004 Q3 0.606794288 0.86002836
2004 Q4 0.605112597 0.873267911
2005 Q1 0.604647691 0.875979828
2005 Q2 0.608972954 0.890541542
2005 Q3 0.608549864 0.899594922
2005 Q4 0.614456518 0.909289816
2006 Q1 0.617443504 0.919914759
2006 Q2 0.625734653 0.934842044
2006 Q3 0.630908031 0.948346699
2006 Q4 0.641574095 0.955927323
2007 Q1 0.651067123 0.957899079
2007 Q2 0.663705775 0.967220017
2007 Q3 0.678323581 0.971406505
2007 Q4 0.689218486 0.975232106
2008 Q1 0.703361729 0.986482951
2008 Q2 0.709643898 0.971388298
2008 Q3 0.717291544 0.977047317
2008 Q4 0.733508176 0.973332595
2009 Q1 0.736546457 0.980598024
2009 Q2 0.732868997 0.982480504
2009 Q3 0.720193092 0.975064091
2009 Q4 0.696013814 0.959417314
2010 Q1 0.688980834 0.948460071
2010 Q2 0.67451187 0.930999153
2010 Q3 0.669812678 0.915206347
2010 Q4 0.657481895 0.905655721
2011 Q1 0.655347275 0.90474186
2011 Q2 0.651506874 0.889599413
2011 Q3 0.652310397 0.878695444
2011 Q4 0.650342782 0.866958561
2012 Q1 0.646146476 0.855224004
2012 Q2 0.647445661 0.844716554
2012 Q3 0.653514682 0.838126381
2012 Q4 0.66071364 0.832312225
2013 Q1 0.656697647 0.823222313
2013 Q2 0.662074148 0.820008694
2013 Q3 0.665339291 0.811679251
2013 Q4 0.663218373 0.811243245
2014 Q1 0.673327975 0.813330813
2014 Q2 0.670576084 0.803003922
2014 Q3 0.670352186 0.78733998
2014 Q4 0.679589347 0.785187038
2015 Q1 0.686043814 0.781171038
2015 Q2 0.692800043 0.778732503
2015 Q3 0.6978447 0.774674441
2015 Q4 0.706122857 0.774056996
2016 Q1 0.717313786 0.774017647
2016 Q2 0.717616261 0.772485593
2016 Q3 0.721485105 0.773063817
2016 Q4 0.716904608 0.769734471
2017 Q1 0.723853539 0.769080938
2017 Q2 0.730478107 0.769904912
2017 Q3 0.730890963 0.764685898
2017 Q4 0.731983312 0.761268727
2018 Q1 0.730818051 0.757422719
2018 Q2 0.741584314 0.751200001
2018 Q3 0.742947912 0.749433782
2018 Q4 0.746727803 0.749329816
2019 Q1 0.752592587 0.74605804
2019 Q2 0.75115619 0.744211103
2019 Q3 0.7529538 0.740895332
2019 Q4 0.751216546 0.741279261
2020 Q1 0.793245966 0.754050881
2020 Q2 0.90409916 0.82618227
2020 Q3 0.83160285 0.770236464
2020 Q4 0.820332328 0.769675295
2021 Q1 0.807503367 0.76155343
2021 Q2 0.786244539 0.751027317
2021 Q3 0.779331876 0.746786087
2021 Q4 0.765911262 0.736902248
2022 Q1 0.771985467 0.736697873
2022 Q2 0.771547479 0.735260219

Note: The shaded bars with top caps indicate periods of business recession as defined by the National Bureau of Economic Research: January 1980-July 1980, July 1981-November 1982, July 1990-March 1991, March 2001-November 2001, December 2007-June 2009, and February 2020-April 2020. GDP is gross domestic product.

Source: Federal Reserve Board staff calculations based on Bureau of Economic Analysis, national income and product accounts, and Federal Reserve Board, Statistical Release Z.1, Financial Accounts of the United States.

Return to text
Figure 2.3. Business debt adjusted for inflation grew modestly in the first half of 2022

Percent change, annual rate

Date Growth of aggregate debt
1997 Q1 5.120389336
1997 Q2 5.861435322
1997 Q3 9.672727962
1997 Q4 6.59045321
1998 Q1 10.59381652
1998 Q2 11.80106089
1998 Q3 8.528321862
1998 Q4 8.773483274
1999 Q1 10.8469261
1999 Q2 6.390265903
1999 Q3 10.50718357
1999 Q4 6.396026477
2000 Q1 8.793187847
2000 Q2 9.393982428
2000 Q3 4.363147472
2000 Q4 4.731541709
2001 Q1 1.091880722
2001 Q2 6.086414313
2001 Q3 3.250565137
2001 Q4 1.423174804
2002 Q1 1.795286411
2002 Q2 -0.562027752
2002 Q3 -0.446558357
2002 Q4 1.027510315
2003 Q1 -0.189105831
2003 Q2 -0.612632413
2003 Q3 1.14116646
2003 Q4 -2.134873689
2004 Q1 4.1758232
2004 Q2 1.123105783
2004 Q3 5.258616048
2004 Q4 3.916539043
2005 Q1 4.507528914
2005 Q2 5.781994845
2005 Q3 4.967113994
2005 Q4 6.788459784
2006 Q1 7.823237293
2006 Q2 6.780584901
2006 Q3 4.576100974
2006 Q4 10.00853398
2007 Q1 7.969447018
2007 Q2 11.46237067
2007 Q3 11.46388372
2007 Q4 7.89335839
2008 Q1 5.895631905
2008 Q2 6.322839971
2008 Q3 3.431712128
2008 Q4 1.458359644
2009 Q1 -3.477976754
2009 Q2 -4.825631194
2009 Q3 -6.3661836
2009 Q4 -6.781167623
2010 Q1 -3.986450038
2010 Q2 -3.667379257
2010 Q3 0.970950834
2010 Q4 -0.50704596
2011 Q1 -1.885748134
2011 Q2 0.730412603
2011 Q3 1.057764726
2011 Q4 2.393766063
2012 Q1 0.867974814
2012 Q2 2.669508807
2012 Q3 5.467514466
2012 Q4 6.152617278
2013 Q1 1.066674364
2013 Q2 3.813700122
2013 Q3 5.554560604
2013 Q4 2.44410189
2014 Q1 5.015778384
2014 Q2 3.811859508
2014 Q3 4.938013644
2014 Q4 6.697203855
2015 Q1 6.633630792
2015 Q2 6.788248579
2015 Q3 4.231392534
2015 Q4 5.200519333
2016 Q1 6.749273715
2016 Q2 2.057909617
2016 Q3 3.849163207
2016 Q4 0.225149279
2017 Q1 3.909744551
2017 Q2 5.440759373
2017 Q3 4.315339623
2017 Q4 3.416642762
2018 Q1 1.98882318
2018 Q2 1.148265991
2018 Q3 3.586561788
2018 Q4 2.762373762
2019 Q1 5.381070385
2019 Q2 2.092028178
2019 Q3 4.252807117
2019 Q4 1.10183919
2020 Q1 17.25054814
2020 Q2 16.62162935
2020 Q3 -2.867630075
2020 Q4 -0.623218316
2021 Q1 1.611771885
2021 Q2 -3.650171912
2021 Q3 0.360874876
2021 Q4 2.053420851
2022 Q1 2.281206738
2022 Q2 3.100966284

Note: Nominal debt growth is seasonally adjusted and is translated into real terms after subtracting the growth rate of the price deflator for the core personal consumption expenditures price.

Source: Federal Reserve Board, Statistical Release Z.1, Financial Accounts of the United States.

Return to text
Figure 2.4. Net issuance of risky debt has been subdued so far this year

Billions of dollars

Date Institutional leveraged loans High-yield and unrated bonds
2004 Q2 15.56999207 -12.79978299
2004 Q3 6.330001831 -4.74446868
2004 Q4 20.88000488 -14.74278875
2005 Q1 10.5 2.973694872
2005 Q2 16.8999939 -6.398306469
2005 Q3 7.279998779 -12.99104079
2005 Q4 20.61000061 2.728488838
2006 Q1 27.1599884 -13.6646226
2006 Q2 40.14001465 12.5665759
2006 Q3 17.85998535 -5.588804461
2006 Q4 66.30001831 30.50879834
2007 Q1 40.67999268 0.194383535
2007 Q2 54.30999756 23.34617263
2007 Q3 25.72000122 -7.043005638
2007 Q4 36.05999756 -10.42257904
2008 Q1 2.210021973 -20.13789914
2008 Q2 26.2199707 3.032243335
2008 Q3 6.600036621 -0.411358803
2008 Q4 4.799987793 -23.87502404
2009 Q1 -11.82000732 -26.26524576
2009 Q2 -15.5300293 1.710221449
2009 Q3 -13.25994873 -9.790920668
2009 Q4 -24.9800415 -9.411476421
2010 Q1 -17.84997559 3.240441218
2010 Q2 -9.710021973 13.21006039
2010 Q3 11.76000977 14.20725091
2010 Q4 -15.33999634 25.00720073
2011 Q1 -4.489990234 0.297346576
2011 Q2 25.48995972 16.3955841
2011 Q3 -5.50994873 -7.893813525
2011 Q4 3.909973145 3.679949347
2012 Q1 -6.470001221 23.11510889
2012 Q2 18.44998169 -13.41272509
2012 Q3 -4.380004883 38.55129945
2012 Q4 25.96002197 21.51443324
2013 Q1 11.29998779 23.0538808
2013 Q2 31.30999756 18.3031483
2013 Q3 45.16003418 25.86382232
2013 Q4 43.53997803 22.54471547
2014 Q1 29.44000244 16.1404125
2014 Q2 45.61999512 14.93672501
2014 Q3 48.41998291 32.90894741
2014 Q4 26.18005371 4.016218491
2015 Q1 6.459960938 32.91856831
2015 Q2 -3.109985352 3.914692089
2015 Q3 8.58001709 -0.700200462
2015 Q4 28.79998779 -13.40292742
2016 Q1 9.08996582 -0.651168015
2016 Q2 4.99005127 2.35545932
2016 Q3 -12.88000488 -4.235024127
2016 Q4 7.190002441 -44.16601217
2017 Q1 -4.239990234 9.048017778
2017 Q2 49.00994873 -10.66369865
2017 Q3 13.0300293 -2.164667025
2017 Q4 16.80999756 -4.014591455
2018 Q1 24.22998047 15.99446586
2018 Q2 62.20996094 -8.831340112
2018 Q3 46.68005371 11.03669856
2018 Q4 48.55004883 -20.5045279
2019 Q1 45.52990723 13.27506096
2019 Q2 9.200073242 20.45076539
2019 Q3 -11.33007813 11.47088355
2019 Q4 13.09008789 9.896057177
2020 Q1 3.08996582 5.527283375
2020 Q2 -11.42004395 91.90121093
2020 Q3 14.32006836 8.711957115
2020 Q4 -6.170043945 -8.693694964
2021 Q1 13.65002441 21.18318383
2021 Q2 51.33996582 31.1016474
2021 Q3 41.23999023 16.07648035
2021 Q4 41.81005859 2.360034792
2022 Q1 49.29992676 -11.79505231
2022 Q2 24.01000977 -12.00917322
2022 Q3 16.04003906 -16.19105699

Note: Institutional leveraged loans generally exclude loan commitments held by banks. The key identifies bars in order from top to bottom (except for some bars with at least one negative value).

Source: Mergent, Fixed Income Securities Database; PitchBook Data, Leveraged Commentary & Data.

Return to text
Figure 2.5. Gross leverage of large businesses remained at high levels

Percent

Date 75th percentile All firms
2000 Q1 48.22518959 30.35688182
2000 Q2 47.95737995 29.61298952
2000 Q3 47.4916753 29.0156194
2000 Q4 47.007551 29.18492554
2001 Q1 47.46972372 29.18952619
2001 Q2 47.45663579 29.37889787
2001 Q3 47.33279876 29.36694581
2001 Q4 47.14068035 29.99557786
2002 Q1 46.11689585 30.61673095
2002 Q2 44.47899961 29.67201224
2002 Q3 44.05440064 29.45477353
2002 Q4 44.40318627 29.18574551
2003 Q1 42.83049826 28.97468201
2003 Q2 42.1814051 28.15219025
2003 Q3 41.72396639 27.79320733
2003 Q4 41.51173502 26.73190031
2004 Q1 39.40127545 26.32734552
2004 Q2 38.87143982 25.71700359
2004 Q3 38.63341765 25.40152192
2004 Q4 39.08758768 25.15202624
2005 Q1 37.74708801 24.9432002
2005 Q2 37.76592684 24.81746523
2005 Q3 37.48144789 24.13840398
2005 Q4 38.31708509 24.18597249
2006 Q1 37.36966914 24.46446308
2006 Q2 37.72194681 24.35884035
2006 Q3 37.67537669 24.37902363
2006 Q4 38.51675864 24.70941933
2007 Q1