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Finance and Economics Discussion Series: Data for paper 201355 ♣

Stress-Testing U.S. Bank Holding Companies: A Dynamic Panel Quantile Regression Approach

Francisco B. Covas, Ben Rump, and Egon Zakrajsek

Figure 1 Data

Date Stressed BHCs All other BHCs
2005-03-31 8.629892 9.819194
2005-06-30 8.64578 9.733609
2005-09-30 8.564929 9.610559
2005-12-31 8.484221 9.658781
2006-03-31 8.540796 9.217169
2006-06-30 8.521304 9.200298
2006-09-30 8.720804 9.216854
2006-12-31 8.625341 9.156606
2007-03-31 8.438191 8.965603
2007-06-30 8.303716 8.827294
2007-09-30 8.074832 8.802746
2007-12-31 7.592053 8.330105
2008-03-31 7.337493 7.969148
2008-06-30 7.462892 7.879206
2008-09-30 7.252298 7.78757
2008-12-31 6.706911 7.746519
2009-03-31 5.414053 6.801709
2009-06-30 6.643905 7.040156
2009-09-30 7.806025 7.48133
2009-12-31 8.120559 7.949913
2010-03-31 8.427338 8.710436
2010-06-30 8.886275 9.266287
2010-09-30 9.289419 9.561747
2010-12-31 9.464657 10.04185
2011-03-31 9.709845 10.505558
2011-06-30 9.954056 10.672553
2011-09-30 10.04154 10.704409
2011-12-31 10.366421 10.904588
2012-03-31 10.754272 11.690607
2012-06-30 10.867576 11.858016
2012-09-30 11.03527 11.757343
Return to Figure 1

Figure 2 Data

Quantile Commerical and industrial: Lower bound confidence interval Commerical and industrial: FE-QAR estimate Commerical and industrial: Upper bound confidence interval Residential real estate (excl. HELOCs): Lower bound confidence interval Residential real estate (excl. HELOCs): FE-QAR estimate Residential real estate (excl. HELOCs): Upper bound confidence interval Net interest income:Lower bound confidence interval Net interest income:FE-QAR estimate Net interest income:Upper bound confidence interval Trading income:Lower bound confidence interval Trading income: FE-QAR estimate Trading income:Upper bound confidence interval
0.1 0.360310475465112 0.411883414079385 0.49693069321034 0.459741085533329 0.499226912355861 0.567673404161443 0.779193404363654 0.860464223309414 0.887437375619854 0.657444470560986 0.807305096508936 0.934807335491832
0.105 0.367025490132407 0.426064362435297 0.498534278759884 0.475108562914972 0.527461472645759 0.573362668237737 0.779903596732972 0.86116681450107 0.888983106029331 0.662403733470531 0.809462446202778 0.935285243394733
0.11 0.373266198158698 0.443456906988516 0.500186650602609 0.481865118565678 0.550728380060789 0.587868029678681 0.781595683071392 0.861629214493454 0.890017461584572 0.665949136612656 0.811140956895147 0.9304124438627
0.115 0.383586181135611 0.450293828986475 0.501851180314429 0.488450158784251 0.558439939262804 0.59639865146559 0.783722687107044 0.861726375631385 0.892977388042422 0.667477494542814 0.813380406586889 0.925794710603466
0.12 0.395242060176828 0.455546053393484 0.503529835171104 0.49954623887378 0.567597034712019 0.619031679434282 0.784116789118373 0.861622583078063 0.896112844628974 0.66353527968741 0.813891243617518 0.924184909198863
0.125 0.403306901110287 0.460777245103539 0.505502249301277 0.525268900677628 0.579232127810408 0.653679773750216 0.784566793765486 0.86067727687335 0.896112759195429 0.656528111501503 0.812966736670335 0.920997717021549
0.13 0.413814966308056 0.46492259974615 0.50960428414715 0.53967010390946 0.593926650439599 0.662728105149912 0.785511875839837 0.861817046902542 0.896629066161371 0.650517629091894 0.811058898268688 0.915457430025621
0.135 0.427961906890239 0.46936233968302 0.515049207836474 0.552084782649215 0.600335397683261 0.66995896702099 0.786283129515119 0.863543217840343 0.896632912434882 0.646712234116509 0.808856827519173 0.911807370082911
0.14 0.436293147633488 0.472226131450465 0.519218500540356 0.56092206217708 0.619385946084696 0.684453467202231 0.789123084793795 0.864759922285951 0.897396486331987 0.639563707411976 0.805617027728166 0.909043824029407
0.145 0.437342508991831 0.475075328233825 0.522573609892686 0.568183499709098 0.633353059619593 0.690767469159717 0.79064721342761 0.86534485389105 0.89691098811555 0.631500769644058 0.802700990855162 0.900171054222972
0.15 0.445102395674309 0.478183701436365 0.52458435197586 0.583212755193064 0.643708995214727 0.705368018327427 0.791422423599217 0.865857786638781 0.896289350413527 0.620420801813006 0.797251545953986 0.890593352720934
0.155 0.448118193038262 0.480941050430994 0.52732281534542 0.587322595306462 0.665287266174713 0.711222623677558 0.791629285972567 0.866758774355758 0.896202826357135 0.615373249675867 0.791905721926339 0.880516625799808
0.16 0.454293457501939 0.484165793295314 0.528683186253708 0.598777617260607 0.677303478744009 0.715111910971922 0.791626811345255 0.867067960132214 0.896563808354307 0.606807837068305 0.783478905930059 0.869843509726005
0.165 0.459623368740782 0.48670665931664 0.530021412483496 0.607323044565428 0.682462196693574 0.719549842122879 0.790793262583607 0.867253235686708 0.895811233086717 0.602356014169561 0.777293486117551 0.866083996565612
0.17 0.462408498519261 0.48910211805807 0.530681215164576 0.640861664922655 0.689839874044643 0.725117001935967 0.790339420483304 0.867798577699651 0.895718362679092 0.600894253341417 0.771209100041175 0.860451159435678
0.175 0.467928923478836 0.490822626376232 0.531523159912126 0.661317267119993 0.707104201341498 0.727643071908961 0.790992020224147 0.866259282023708 0.895505183024022 0.597438252200753 0.764180784304783 0.852482219123208
0.18 0.472131337354798 0.493123188649239 0.532281353608606 0.669887865899427 0.712367564897025 0.730564390296329 0.7913692901371 0.866622475458347 0.894540404820084 0.592216835612439 0.758347076599043 0.844289976277499
0.185 0.475403504134313 0.495331422467805 0.532099299066156 0.674236392664854 0.71657253155652 0.734835419699267 0.791913663189559 0.867380003648596 0.893975335150384 0.589656947967329 0.752659481617127 0.836790528743325
0.19 0.476995716881541 0.497337813155179 0.532065506305936 0.682911110727688 0.720601855438673 0.735500638387791 0.792098715062783 0.86987102648002 0.894153716901986 0.58688765644016 0.746188712396664 0.831998449505586
0.195 0.479684795646027 0.499489198810184 0.53207778573696 0.696120271837974 0.723616844749465 0.738949848817532 0.791889612895453 0.870198951644585 0.893935444899219 0.585743802149427 0.739061551530409 0.827388730235036
0.2 0.482138085249244 0.501273915933384 0.532436334015672 0.702498395169839 0.725801849566759 0.742841003257471 0.790964397591651 0.870614116545541 0.89390771132563 0.587916048981942 0.734376799509219 0.82294807805807
0.205 0.484723646272029 0.503373791704411 0.533298508595743 0.706974729243524 0.728955600633242 0.746765336329315 0.790933841299391 0.871034463083759 0.893763257904698 0.592585230008387 0.730283155199571 0.817650481305428
0.21 0.486146433304341 0.505411693244797 0.534431489487436 0.711621530307987 0.732002339401735 0.75197213580418 0.790037381744868 0.871440082666578 0.893794366123119 0.59306527464196 0.727701580830997 0.813905396476021
0.215 0.487472750845275 0.506792894191628 0.535810506352401 0.714316583944932 0.734354282567031 0.757337208821135 0.790226491814149 0.871461625286445 0.894057150239392 0.596473996565945 0.72559424129949 0.812227719505825
0.22 0.48891683306013 0.508107890534668 0.539462955625218 0.716842829407668 0.737314462240297 0.758975126706 0.790631678895541 0.871650105742194 0.893630947345593 0.599556383301992 0.723215178415347 0.8080175767132
0.225 0.491498617606234 0.508869001771819 0.54310361081241 0.719655941917731 0.741358150402868 0.763162677479098 0.789753344267675 0.872165298841598 0.893420287542925 0.600958225758391 0.720687933973687 0.806660810461977
0.23 0.492417230479648 0.509590805544537 0.550603564696895 0.722249587786005 0.745039738038256 0.766754590357712 0.789205281828679 0.872456795750472 0.893143409022049 0.604177915595155 0.718938208460579 0.803200140359691
0.235 0.494238372738223 0.510903313075792 0.555917585619236 0.72492891848631 0.74776070553874 0.769868329271377 0.789276917676857 0.872292001569708 0.891817161500276 0.606990084817211 0.715478647458409 0.799219248119673
0.24 0.495589821026712 0.512424344657616 0.562045645381931 0.72711874726955 0.750701583299218 0.771852544546232 0.789080298650508 0.872025410426713 0.891060722259164 0.609019122616272 0.714318253088918 0.7938356758012
0.245 0.496955047411834 0.51461311102587 0.566449403112832 0.72901809011988 0.754838174334031 0.775799545018823 0.788440118600281 0.872162568147441 0.889958240090027 0.610465614889458 0.712514991032961 0.789255573456772
0.25 0.4974527851097 0.516971170530099 0.569650100665186 0.731766207278113 0.758506858700251 0.778267801478362 0.788152895756515 0.872276476520432 0.890024253150535 0.612401981217444 0.710708035500069 0.782900154511372
0.255 0.49731246852618 0.520821512252853 0.57665075636834 0.734879598705439 0.76160812431988 0.778697979144521 0.787464049001148 0.872694951127094 0.889941669344927 0.613464260082128 0.709806520432188 0.778776115419285
0.26 0.500502624010662 0.526059049119898 0.590900729416788 0.73794429359235 0.763943996032294 0.780202277356503 0.78657001962261 0.872455121585533 0.889771102277144 0.612505253680254 0.709132503530978 0.773918360630671
0.265 0.50253319883729 0.533725252645686 0.60228877849547 0.741015371667199 0.766220428710171 0.782540712485455 0.78653698278927 0.872751320036181 0.890297073841419 0.613858021381043 0.708072076593529 0.768672422019719
0.27 0.505068826271483 0.54329375183948 0.609202498784954 0.743327491537921 0.768439756824542 0.783880435871465 0.785517547662164 0.87320575517142 0.890318006184206 0.615033595416062 0.707490218420661 0.76598743675091
0.275 0.507817311044039 0.550574124004991 0.613847707867525 0.745292966200327 0.770409959723413 0.786746890727013 0.785220106143805 0.873776487471057 0.890819225106565 0.615719482805285 0.706674348277112 0.7641644712257
0.28 0.510738043289169 0.556327711803916 0.617819724538184 0.748562616742899 0.772658994845109 0.791564397016877 0.784176347674599 0.873982679704231 0.891103273232711 0.614742201998118 0.705651462255046 0.76044801510271
0.285 0.514308432118539 0.562103998602345 0.620823272896933 0.750529139924766 0.77478106301063 0.794113835355184 0.784099278736287 0.874005772936607 0.891314290780949 0.614325031012862 0.704915635999995 0.758761157787506
0.29 0.515238269908922 0.569186531592142 0.622400060313157 0.753220558811763 0.776609888055263 0.797143506030985 0.784922545807736 0.874707009480932 0.891500665106483 0.614507448382082 0.70423054578682 0.76008980732777
0.295 0.518696355874216 0.576559004589927 0.624741159414769 0.754907373109787 0.778718766719949 0.799647845910266 0.785906023603656 0.875014974749585 0.891620609186066 0.614076596692831 0.703544075967258 0.759884185491681
0.3 0.523544496498623 0.585283147459194 0.626670463138529 0.75730748810681 0.781324642213434 0.801781398590382 0.787201985323695 0.875580993321804 0.892316935867957 0.61506289191186 0.702721534404318 0.757930776375903
0.305 0.533590376294042 0.592677210066797 0.630161182149623 0.760289207155807 0.783904875598544 0.804124598118104 0.788083014692796 0.876213629267779 0.893265290207217 0.611872570944318 0.701223477913246 0.758497407272124
0.31 0.542802220831619 0.599603768910856 0.631634370343263 0.763299082506148 0.786571625370682 0.8062241655721 0.788428049062034 0.876833434654377 0.893777889068292 0.612304784672806 0.700059599284618 0.75793587665474
0.315 0.552075338522562 0.604172581220959 0.633771902701027 0.765538782905517 0.789258121292269 0.809994368642605 0.789251690842249 0.877481989288022 0.894629219238468 0.609283994914342 0.699685602376103 0.753857498974644
0.32 0.560406054229488 0.607338117927821 0.635119707311263 0.768257525747473 0.791869716064794 0.811196649512827 0.7911013234201 0.878080773168751 0.895639485645227 0.605728740765262 0.699465338630433 0.752694096651417
0.325 0.57062655663405 0.609820722049911 0.637275628804742 0.771949520607623 0.794410161167944 0.811629984061298 0.793190223885823 0.878869858925669 0.897142668994828 0.602538010358627 0.699494816890555 0.749556088428744
0.33 0.575333540156172 0.612966836188022 0.639534229367937 0.775051699459143 0.796526973713729 0.813651415715118 0.795810364298226 0.879525125177193 0.898145690025642 0.603743901837473 0.699980844878674 0.748940201123569
0.335 0.580947360643833 0.616017256155579 0.640830726344072 0.77856707157897 0.798466404923713 0.816586440566795 0.798128756298649 0.880320083637832 0.899198079062721 0.600105534198261 0.700073991412063 0.746437088524363
0.34 0.585775336703779 0.618656827761627 0.642793354205173 0.781178393356198 0.800329041485302 0.817288545969271 0.79902008801861 0.88086450711519 0.900134730678778 0.600145621171303 0.699648245635448 0.745282506299643
0.345 0.589252442628022 0.621763847425729 0.647361741545617 0.783474657374173 0.801928594948026 0.818456654409752 0.800848081867316 0.881900965633381 0.900657575808342 0.599299299834632 0.699585592484698 0.744891821897233
0.35 0.592932007936067 0.624367710477313 0.65088781711702 0.786836515835897 0.803562092741011 0.819581259449614 0.801936532410223 0.882860987590173 0.901296306393466 0.597377329598251 0.70044742694934 0.743872061438913
0.355 0.597050666733813 0.626317931254642 0.654861579568655 0.78857721530248 0.805041499396932 0.821278475757898 0.802644147440476 0.883446171394625 0.901681267175247 0.59722610018252 0.700644597413145 0.740387682724264
0.36 0.600703856507603 0.628296294819329 0.66017938556929 0.790622461778007 0.806440443184968 0.823767927917253 0.804494394400405 0.883976948959718 0.902578904993762 0.596449366391333 0.70095629512973 0.738576878752175
0.365 0.605389972113256 0.630412649285652 0.667723542174189 0.792304581328496 0.807973749474666 0.826020104348841 0.805369633623517 0.884253208210563 0.902704585714897 0.596134231792444 0.700304518501788 0.738323023463009
0.37 0.608090694652357 0.632106444687054 0.674246462681999 0.793667990558115 0.809933048109991 0.829477372942284 0.80653918418089 0.884482367545772 0.903106865710404 0.595778515345349 0.699551243466093 0.737809703696363
0.375 0.611537185311443 0.633705437279152 0.677436012701983 0.795121415042261 0.811672576735974 0.835288751999834 0.807695904656168 0.885005226591155 0.90320246847056 0.593532833058352 0.699095679721452 0.737243258276458
0.38 0.612598728060563 0.635836031549039 0.679804898435666 0.796441440077777 0.813913919851829 0.844079050583958 0.809296259451546 0.885399422436374 0.903945274332848 0.592218925916854 0.698182245845819 0.737391896861868
0.385 0.614934500344544 0.637899207800095 0.68455050655481 0.798834697064798 0.816168670527227 0.846168908156599 0.810998529757514 0.885880982160828 0.904016931852889 0.590299768725729 0.697541221695721 0.737145536456615
0.39 0.617188318819897 0.639973825703564 0.686687619832268 0.800714801471136 0.818573071698349 0.847502821535936 0.812020804010796 0.886342726951618 0.904127354117361 0.589459399190372 0.696480366032086 0.737114582153895
0.395 0.620517482789843 0.642348185529066 0.691434439698171 0.80285990319697 0.820755159908215 0.848174776264495 0.812524569809082 0.886644443876337 0.904459413733906 0.587668277952658 0.696141156837778 0.736935025158933
0.4 0.622215840933223 0.644080233562285 0.694301785612715 0.804833716428559 0.823240108516605 0.848866333026797 0.812886001849286 0.886863957719661 0.904100976616937 0.588452506360992 0.695944652250882 0.736484578309588
0.405 0.623659760514047 0.646325526983826 0.698220705671563 0.806022487472892 0.826109707026444 0.84994016773224 0.813205281384389 0.887106127491292 0.904453430359112 0.586724372615998 0.694865524168486 0.736179551617632
0.41 0.625949624904693 0.64805383219561 0.702026389685421 0.808651298795352 0.82915506629317 0.850279148359399 0.813538897388417 0.887136609820235 0.904241613778689 0.585430378057118 0.693654413466815 0.735690067961024
0.415 0.628250445278639 0.650509030913158 0.705940972394522 0.8101024272212 0.831605271120291 0.853089866959858 0.814759180698832 0.887317647933229 0.904200839479672 0.583541923518021 0.693372534415363 0.734740839319638
0.42 0.629635391251231 0.652682093081291 0.709718350490889 0.812465935199192 0.834415569865936 0.854144624215645 0.81620370013531 0.887576664196568 0.904338393028467 0.584056104605599 0.692226259170951 0.733455714632017
0.425 0.630382683923704 0.654293614588703 0.712984556078161 0.814658179682583 0.836779454759929 0.856272661389635 0.817613625025785 0.887562897082289 0.904251781447938 0.581614286407121 0.692172127612583 0.733850379453339
0.43 0.631880059136458 0.656693392688201 0.715947830329071 0.816930366000426 0.838904127792469 0.858884847393543 0.817655929209364 0.887643879115837 0.904484112961237 0.574895355610101 0.691047697220808 0.734463513299726
0.435 0.63318542939078 0.658646433174303 0.719198065492583 0.81872999990519 0.840950481822759 0.861607518210519 0.818056156411523 0.887800925850128 0.904371572899822 0.5673978256096 0.690379808881327 0.733979247490506
0.44 0.632280318454714 0.660118346123956 0.721402269131129 0.820305911642996 0.842518219967064 0.863883683793742 0.818749504322681 0.887884800709878 0.904301225553604 0.564064567679201 0.690838659257838 0.73289470171566
0.445 0.632520048080754 0.661594818012052 0.723427029896674 0.822571777699775 0.844046695554388 0.865991871149096 0.818462832759004 0.887566994661618 0.904015080085537 0.557262478097467 0.689951008200529 0.732244930868248
0.45 0.633148512242474 0.663129367181264 0.725338856707679 0.824155366278428 0.846377204758126 0.869268071464093 0.818015800785104 0.88765523938137 0.903704213941206 0.55370592802738 0.688696312590112 0.732078453474688
0.455 0.633491309746531 0.664391440917938 0.726297593185903 0.8268853203546 0.848803975579967 0.873328601716444 0.819376233358762 0.887461474477362 0.90378700436315 0.548888545434662 0.686587790360191 0.730180940456146
0.46 0.640320194122384 0.666084906978253 0.726580025896332 0.828905665018362 0.851259539711598 0.874758018903603 0.819117170880215 0.887464651282774 0.903906445004687 0.539773320124861 0.683449107782471 0.730587528408131
0.465 0.642623654665269 0.668648831364415 0.727607003738639 0.830553520648459 0.853972376836582 0.876217243694419 0.819654544693812 0.887593196523743 0.904352929220198 0.531698678608024 0.680374368901911 0.72768948592228
0.47 0.644666777707084 0.670835992818696 0.728870543672671 0.83199132349081 0.857219692709294 0.877848006124119 0.819830796326923 0.887323168596552 0.904558627867616 0.523842393036563 0.677504377654308 0.724624890979856
0.475 0.646625966988975 0.673440105083932 0.730364718551066 0.834270604375245 0.859621053967713 0.880792857566908 0.819402943011909 0.887208629662324 0.9049734423634 0.516804357977779 0.674893205221081 0.723522517245931
0.48 0.649090480298516 0.678593597897338 0.732609265065576 0.83678717859504 0.861927059557561 0.884813472468163 0.819999407399864 0.887141339431262 0.905180429449977 0.513918770354433 0.671420558906073 0.721554038699228
0.485 0.650150918329297 0.684523690152987 0.734478659255893 0.839217256190736 0.863433755124936 0.885830725376671 0.8204181071667 0.88685048685157 0.90558310564388 0.511587300009566 0.666961585408073 0.719544263981809
0.49 0.651934439427459 0.687572495148131 0.737373558620925 0.84043789934021 0.865400151728484 0.886084671576378 0.819533939830828 0.886909174008184 0.905970705072094 0.504017104458257 0.663191444842542 0.717074844361114
0.495 0.65405375017409 0.692694795748402 0.739705958205473 0.84310416450026 0.867240850562842 0.887533253315854 0.819832910850689 0.886857942695919 0.906449634396146 0.499370350880904 0.660077739922019 0.715791454052634
0.5 0.657403883161206 0.696696418029607 0.741610732083328 0.84479154430911 0.869817440522174 0.887784988714579 0.820206815365098 0.886802453513608 0.906720649582656 0.499676493517118 0.656545500719565 0.714588298204832
0.505 0.661347225386293 0.701472541001021 0.74600271441455 0.845504071181028 0.872704338092253 0.888423096623844 0.820395060470172 0.88653864437688 0.906426726722889 0.497543389723819 0.653565884734117 0.711405355138383
0.51 0.664720094225238 0.706248333214132 0.749110312812015 0.846683770062396 0.874121816836544 0.890293140978179 0.819478800664368 0.886428958007926 0.906661103911242 0.491947950956811 0.651902374435146 0.707963339521666
0.515 0.667449517603672 0.710515495976321 0.75212121506217 0.847406008743234 0.875353265101381 0.892073921889478 0.819641250943863 0.886246320342359 0.906559811192942 0.492451170754878 0.650964019186332 0.705391317206166
0.52 0.670388466844215 0.713595701713746 0.755504842761405 0.848194476426877 0.876379586768473 0.893662531315091 0.819693967522116 0.886232274882116 0.906655165828394 0.4894767402158 0.650385008109986 0.70363337791144
0.525 0.674897145162287 0.71663456645375 0.758896496054713 0.848606047861492 0.877366960600151 0.895043827590519 0.82200204662796 0.885929203025912 0.906702502156722 0.487079549695076 0.649164081760713 0.702500088898261
0.53 0.681429597572401 0.718786226711572 0.76187021025504 0.84979121301031 0.878814045642171 0.898094614722841 0.822651066142244 0.885888371225677 0.906903231013321 0.484380833628074 0.648340789470998 0.70020988921537
0.535 0.686479635436791 0.721293132251696 0.765530621528798 0.850453562415156 0.880435818780606 0.90033330341471 0.822454207482188 0.885680249701063 0.906973278393709 0.481366968123114 0.646081918927247 0.699466981246888
0.54 0.690848422287249 0.723990055509499 0.767685900979145 0.851547619384494 0.88208322609778 0.901309161970917 0.821726008798286 0.885594316755514 0.906831541727043 0.477527808360914 0.64390489914656 0.698025805980276
0.545 0.696692560802449 0.726474735921494 0.770492137945454 0.852546848717406 0.883533804559677 0.901814105882099 0.823305629725187 0.885709750671453 0.907097373940453 0.471683542049908 0.641606837698536 0.693560520301031
0.55 0.699290259157383 0.729057601876612 0.773763465935316 0.853657936048952 0.885068941192465 0.902817858752972 0.822921392417963 0.885722762430533 0.906405071440139 0.467032119846493 0.640221998883467 0.693639554521084
0.555 0.700068236092779 0.732362490938517 0.776942114634862 0.854718538785966 0.887126650757049 0.903465630238651 0.82340679850023 0.885485832391994 0.90616754671705 0.462569602276006 0.637850511581469 0.691412759360165
0.56 0.701813352592479 0.735119351435205 0.779363184903285 0.855584185184391 0.888904989592268 0.904613029233672 0.823671555529886 0.885283519461345 0.906118934835821 0.458666149940153 0.636509392773646 0.688156006698019
0.565 0.703882266683243 0.738664641757255 0.781339281369492 0.856875883271571 0.890572673291485 0.905791281124122 0.823398008062397 0.885357729678632 0.905974098988422 0.451512931534025 0.635410926045075 0.687350502967927
0.57 0.707765818004573 0.741342412213124 0.782614258518793 0.858108973854586 0.891864049338076 0.907486229496604 0.824331430491606 0.885392000051295 0.905976309911533 0.444377962557224 0.634243314974775 0.684437983174028
0.575 0.710262106611903 0.744744017115628 0.783346264766563 0.859143358237884 0.893185558598551 0.908915387383556 0.825516637208451 0.885623383171533 0.905737754221477 0.438257750387159 0.632220421411436 0.683133457628136
0.58 0.713117030414965 0.747954225273832 0.784547187670693 0.859603133758343 0.894031830038313 0.910446562309704 0.82648183084113 0.885561453354621 0.905876137865461 0.432422742299003 0.628740022593156 0.681447499115543
0.585 0.715402534015075 0.75062662079177 0.785572632793953 0.860342834247692 0.895094345539921 0.910991141436811 0.827580131610143 0.885649774730143 0.905798613209035 0.428866508282762 0.625093114117311 0.68049612266054
0.59 0.719284640225427 0.752675970441561 0.785312893091231 0.860366954338291 0.896224397690332 0.91120344323914 0.828455501252933 0.885933228762319 0.905761777493541 0.427130411738378 0.619650361196338 0.678625915359972
0.595 0.72099247988448 0.754762923793016 0.785146700813013 0.861464026514491 0.897066686807584 0.91201296677896 0.827971227120373 0.886388731243399 0.90631593687511 0.42294871734227 0.613198658004751 0.677012768117564
0.6 0.72227244869187 0.756442142462398 0.784918481666276 0.861717534249602 0.897828892103162 0.91235073488268 0.829022059364378 0.886667282287918 0.90647931657018 0.421378423985565 0.607249138766042 0.675125772288318
0.605 0.724432556563891 0.757746780727179 0.784666291679819 0.863075144057508 0.899020369768261 0.912753628802758 0.831596724578153 0.88693247323658 0.906820678429374 0.414104193776935 0.600063765568044 0.674834609135649
0.61 0.726146336625066 0.759286140205929 0.787240181773442 0.863678598638981 0.899892433953595 0.913075492007672 0.83221605610396 0.887382207146207 0.907110770874863 0.409307267578553 0.591677078009888 0.672874393538857
0.615 0.727204366440255 0.761485534375009 0.787955879666478 0.865042172120698 0.900610028881653 0.913932870078552 0.832248891051205 0.888045013094571 0.907436630827854 0.405447780927645 0.584302061655674 0.67283552687399
0.62 0.729410774741311 0.765614309940546 0.789483338943838 0.865701992142239 0.901592292761154 0.91797223667699 0.831568064977356 0.88851696521949 0.907387276499299 0.403287087683342 0.574995081472781 0.672365771525626
0.625 0.730629462062121 0.76805713100345 0.789649643517207 0.86718540706628 0.901970523136042 0.919803004984959 0.832793358912551 0.888629285279682 0.907531330694929 0.401318767438649 0.565739620681186 0.671323247691166
0.63 0.732766391179271 0.770582974917083 0.791095240936281 0.867909297551294 0.902560214095705 0.920079198796029 0.833229741469067 0.889060229292141 0.907383475915179 0.399031467528115 0.559358319077317 0.668499632269969
0.635 0.735969224793003 0.772356520141696 0.792932382228589 0.868716504344184 0.903186312852076 0.92178881008465 0.833799251385924 0.88921393143736 0.907348131238298 0.39566045092686 0.555134393218272 0.665797887101264
0.64 0.739048311287673 0.774166600772079 0.795020522969568 0.869991821688098 0.903632676121273 0.924640019675326 0.834677782903514 0.889335963693904 0.907232568891204 0.391727228283808 0.550678698591765 0.661344639710729
0.645 0.740554913974761 0.775494192280847 0.797433037460073 0.870789948166717 0.90410867700324 0.930149757647886 0.83579095660462 0.889367944797939 0.907217564843972 0.388050006135022 0.547498877563806 0.659896219942772
0.65 0.742934426088588 0.776841713189846 0.799886238521758 0.8713296685572 0.904617677690373 0.93019237486474 0.836163577661411 0.889096201740524 0.906915463585601 0.384020305033216 0.544484957795765 0.657167058233273
0.655 0.74522705571472 0.778702882449281 0.803270447956123 0.872579206202795 0.906149755840137 0.931738783353517 0.836044533209568 0.888829828350092 0.907742735482611 0.377263183851839 0.542668386005401 0.655075325760542
0.66 0.746390889599275 0.781901039675145 0.807207277873236 0.874266875023671 0.907062366602307 0.9344728533516 0.836951949390716 0.888988272521519 0.907797377888444 0.374143887123573 0.540790356652014 0.653008027612474
0.665 0.747576786715443 0.782906140198997 0.81188388088191 0.876496314920005 0.908541341235287 0.937213748394882 0.837478099991691 0.889184189784756 0.908130061542471 0.369969889289496 0.538073405342926 0.647546030137324
0.67 0.748391986358816 0.783241729815365 0.816043850432023 0.877124137842443 0.910455306546775 0.939042016535276 0.838219608902774 0.889188821043088 0.909204616764784 0.361697100829093 0.533696417362491 0.642436657608497
0.675 0.748673495429774 0.784544994157305 0.820102791935298 0.87883796731587 0.912571008738086 0.941470101077987 0.837982206629795 0.889343882741969 0.910116870760846 0.355292321547777 0.530761445122534 0.638433070734368
0.68 0.749888650778048 0.786858494840435 0.822936412156717 0.879500063179835 0.915792543655257 0.94280819590406 0.839295583022957 0.889707120758507 0.910879045722664 0.3458435499564 0.525419834489489 0.634148598932619
0.685 0.750735434577244 0.789739984475455 0.82432233257917 0.880491930459466 0.918880445701456 0.944332156331833 0.837467144441038 0.889763655685955 0.911717863374812 0.342958959713136 0.522251161801308 0.630972667026563
0.69 0.752248665972446 0.792275437354741 0.826465951913093 0.88064135046521 0.92205662720741 0.946787980727785 0.837813893157063 0.889656781011612 0.912074605429814 0.339687409428189 0.517177149013021 0.621823931966706
0.695 0.753376373412041 0.792861593382859 0.827886846671438 0.880155512831561 0.924958603269029 0.949196684295687 0.839264719672391 0.889736124994706 0.912679917692471 0.335164097625496 0.509880954584396 0.61936297326291
0.7 0.753853518628506 0.794850708461043 0.829568106417321 0.880254395808946 0.927053336793018 0.951400644550547 0.839925479932837 0.889809056186055 0.913191569489874 0.333380714649564 0.504332038738874 0.612491010672146
0.705 0.754974282512857 0.796584043322273 0.830078684317464 0.879889437569624 0.928571680172782 0.95350792001738 0.840267340281536 0.889587778997485 0.913256956218825 0.332036495864629 0.497848273184757 0.610419171964794
0.71 0.756572897638004 0.798738478595015 0.831483269307257 0.881218854725868 0.929263886707604 0.956293439188954 0.840024970485893 0.889588829478912 0.913144475102649 0.334382516213385 0.491930035684906 0.605137892360618
0.715 0.757171325734699 0.801225789150533 0.83280129317999 0.882956423375474 0.93016646523635 0.958666507243185 0.839467529263854 0.889693180331818 0.913279986000264 0.333914558285538 0.484067412780339 0.605385482537735
0.72 0.758025178829331 0.802985026621682 0.832820222726557 0.883636550353569 0.931075096409052 0.9631672984004 0.838859683721952 0.89009698213818 0.913064108861046 0.333424990405243 0.476196533080975 0.604405622182968
0.725 0.758545700457616 0.804125243490696 0.833744373213438 0.884294606772292 0.933077758373379 0.967528939732999 0.839466823406264 0.890528335531223 0.913643779157279 0.330335089944986 0.467711818681376 0.600805888971094
0.73 0.759115688778305 0.80439861432759 0.834435633433794 0.884470147478246 0.935451961183317 0.968866502039286 0.839153973673064 0.890840414184112 0.914341998773708 0.326321449766582 0.459778009871457 0.59683366184772
0.735 0.761938633153142 0.804905868436923 0.835739727437361 0.88683744230082 0.937493249622316 0.969796372922616 0.840062925770319 0.891415352280684 0.914951321507968 0.323653238376187 0.452728009860378 0.596426858496338
0.74 0.762129227662561 0.805935120638434 0.837955234560375 0.888237768866892 0.939855351545931 0.97093086223977 0.840664493864532 0.891998388421412 0.914856493631526 0.3208710646968 0.448520435024855 0.589270373229348
0.745 0.762924324107894 0.807254697347293 0.840497766346792 0.890082625363817 0.943913350959888 0.97293113977325 0.840277353718228 0.892055181255499 0.914090363234117 0.319807636254032 0.445751672073786 0.585787914266246
0.75 0.76365809669415 0.808052861256176 0.843552646018193 0.891002463884479 0.94630249415262 0.977026549790486 0.839436795789576 0.892467341346374 0.914186080294931 0.319978167231675 0.442843148422811 0.570304555719176
0.755 0.764783043311908 0.808949452259484 0.848598015919588 0.891969748830685 0.949567755995038 0.979787677068215 0.839256283652639 0.892910433292066 0.913476385399732 0.319348787468599 0.441052305773561 0.562993151738247
0.76 0.765693438391049 0.810372411233683 0.854028979196607 0.892746044201739 0.952714194565732 0.981658156412742 0.838381083157538 0.894011711640679 0.913911943799659 0.31961039545316 0.439098986762872 0.557677826896843
0.765 0.766656074017883 0.811494017651152 0.862636050452955 0.892921341020184 0.95460709286547 0.981856767772638 0.838528172376076 0.894425465520404 0.913988449511303 0.31899316056593 0.437728579591938 0.547734875428766
0.77 0.768719522392851 0.813792587283497 0.865851419154997 0.8939935300473 0.956078294377942 0.98359998565316 0.838102809182104 0.895210415172267 0.913524456080857 0.314697769911982 0.436250359583984 0.537759588987143
0.775 0.771436842290557 0.816165781356269 0.869769595816059 0.894708482953272 0.957093361207377 0.987757070713316 0.838855655091748 0.89586063846985 0.913229723732243 0.312939970083151 0.432241992134014 0.530196501928131
0.78 0.773253921313085 0.819723717706075 0.870604708897081 0.895783646264368 0.958131088663572 0.992834566600423 0.838491089765887 0.89661253595816 0.91303938180646 0.312491315007137 0.428347080615472 0.522218777244086
0.785 0.776119344772229 0.823394620849187 0.871195985234455 0.896333973192524 0.960074191804142 0.996252436744461 0.839945651137159 0.896067843610352 0.914181505013064 0.303568946407605 0.424745262218573 0.515090637230657
0.79 0.778973724067787 0.826127896265206 0.876525656116673 0.898748077742925 0.961726708092743 1.00186156459537 0.840051526989697 0.896328884588324 0.913706169866238 0.298933644623432 0.418073206179763 0.507778899061801
0.795 0.781106468903288 0.829181787211295 0.879333671693417 0.90043909812586 0.963833958534595 1.0103882777028 0.841268445812877 0.896295478992866 0.914233573266048 0.295922151472265 0.411995082448272 0.500558033787364
0.8 0.786581054195251 0.831639595985435 0.879709760186714 0.903888353969819 0.965829351698353 1.01165352381778 0.840980149789169 0.896067361299449 0.9146737224132 0.282909914861285 0.407580852867107 0.497290725175439
0.805 0.790419774253803 0.836087283845732 0.881245153659322 0.904895454326303 0.966870683821575 1.01312002785705 0.841397480637928 0.895642109397832 0.914987522397364 0.276139985394162 0.400801761091968 0.493659921432572
0.81 0.794885665889709 0.839125027849672 0.88490007018785 0.905657575586269 0.968109670314601 1.01387769580846 0.841146096212343 0.895675105087223 0.91547443585641 0.263902338809028 0.393644889427918 0.490752935230069
0.815 0.79746853171475 0.84194988304416 0.889077713272567 0.909736069376896 0.969577608761469 1.01395400098921 0.840637456288178 0.896201774566058 0.916666475470411 0.255232107706013 0.38746029343101 0.489463574139632
0.82 0.799096011081499 0.84563310910518 0.893290311530736 0.912867870328646 0.970901062218971 1.01317394919379 0.841044934322181 0.896288295669503 0.918021247529812 0.248547387442989 0.380703842000028 0.48666029881808
0.825 0.801540084320105 0.848793632635328 0.894317998684898 0.915984709209141 0.973055488634486 1.01373830271269 0.840602813604801 0.896146859840213 0.918454891399135 0.241770846707557 0.375071351690327 0.479794801126707
0.83 0.805586171469962 0.852216759867281 0.89568338071338 0.91937069204078 0.976858775595186 1.0142978466298 0.840413519976007 0.896128926457613 0.918973674611204 0.236658618641526 0.37014078780933 0.473116346570428
0.835 0.807942791130865 0.854625457814415 0.900150086291058 0.923928768344779 0.982320526116977 1.01361168523991 0.840307834667515 0.896343827298348 0.919328622101537 0.22733661799038 0.364618046056583 0.465845361238435
0.84 0.808568235779218 0.857405484110542 0.903324905374571 0.928281649826416 0.986882540233708 1.010540918484 0.840606782437515 0.896641067992701 0.919143438581009 0.219780942905332 0.359883765175866 0.458564395100578
0.845 0.810395417857929 0.860342613783415 0.916000897145052 0.93140137610047 0.989396680732068 1.00832843588565 0.838375892380461 0.896233840253472 0.91876564874768 0.210499166740036 0.35630463305407 0.45187241952171
0.85 0.813758726563529 0.86396956485759 0.925568107309223 0.935885149974147 0.990358270183194 1.00558263258632 0.835914424789338 0.896168090701284 0.91886873739348 0.200999551388134 0.351897338532824 0.4461316812403
0.855 0.815454077191932 0.871742080561574 0.931548771813525 0.93818069638068 0.990934206347536 1.00356000937615 0.832958478823834 0.895957299272361 0.91935675374515 0.192814921968152 0.347324932315569 0.440068816171518
0.86 0.819335172904295 0.882985560152977 0.93907572610059 0.937934032814263 0.991028354943559 1.00273419752441 0.828716163348908 0.89579149323409 0.919385689984997 0.189568146096001 0.341048775994798 0.435939323659387
0.865 0.8190129700162 0.894227991655007 0.947534962952705 0.939545350862192 0.990689939508745 1.00327088811585 0.824397920406584 0.894886164772465 0.919478932923948 0.188274896820715 0.3353643389426 0.429494113392062
0.87 0.822253963396322 0.899388949950615 0.959729003090336 0.941674858668755 0.989690706911059 1.00418846245819 0.822984385712145 0.893070079170005 0.919531136234447 0.17914023783095 0.330568737056364 0.422884985887621
0.875 0.830499584115664 0.903090775751603 0.974719023960856 0.941417847940958 0.989061106225206 1.00467628424602 0.821481575661161 0.890820785149373 0.918824311370711 0.17229401241472 0.324101620294366 0.416594828309255
0.88 0.843676589574425 0.906952249158834 0.987781747292052 0.941632675030889 0.988830090795341 1.00612434566133 0.818536178109741 0.887280508918845 0.917702232261646 0.163116755508505 0.318989668963776 0.414488153241386
0.885 0.854480030813976 0.917611483399479 1.01293905059881 0.939873062668635 0.988059388780786 1.01148808945819 0.817657891736912 0.884424286680196 0.915625946874582 0.156591345652624 0.311105719744674 0.413362494996307
0.89 0.866717159860216 0.935266401449544 1.02995594502841 0.936609479087087 0.986519279382038 1.0173130737399 0.815449125163414 0.882170564861368 0.912208066899549 0.154022817463718 0.297894768913321 0.404412850478383
0.895 0.872544517610536 0.955528137857692 1.0384114909287 0.93408849139008 0.98494826531831 1.02435034607232 0.8142407603581 0.880711763692562 0.907476537794686 0.149957503503366 0.292968994795259 0.399667836379288
0.9 0.881021879611854 0.974588517742678 1.0473726075248 0.93329808240083 0.983439582014139 1.04032961446715 0.8138909228664 0.879886386429827 0.905170105795265 0.135585512972432 0.287328079229268 0.394106547441181
Return to Figure 2

Figure 3 Data

Quantile Commerical and industrial Macro factor: unemployment rate: Lower bound confidence interval Commerical and industrial Macro factor: unemployment rate :FE-QAR estimate Commerical and industrial Macro factor: unemployment rate: Upper bound confidence interval Residential real estate (excl.HELOCs) Macro factor: house prices: Lower bound confidence interval Residential real estate (excl.HELOCs) Macro factor: house prices: FE-QAR estimate Residential real estate (excl.HELOCs) Macro factor: house prices: Upper bound confidence interval Net interest income Macro factor: slope of the yield curve: Lower bound confidence interval Net interest income Macro factor: slope of the yield curve: FE-QAR estimate Net interest income Macro factor: slope of the yield curve: Upper bound confidence interval Trading income Macro factor: credit spread: Lower bound confidence interval Trading income Macro factor: credit spread: FE-QAR estimate Trading income Macro factor: credit spread: Upper bound confidence interval
0.1 0.107229571548021 0.13533210418484 0.161361035963579 -0.0119215693301831 -0.00656415942001865 -0.00389608417178853 0.00281395891969575 0.0382862709452037 0.054038005783631 -0.0747322663998987 -0.0521664809837922 -0.0240855184751251
0.105 0.110090876084957 0.135011994338464 0.162065758651592 -0.0115025690651531 -0.00684751860391805 -0.00401674245088582 0.0048341238132331 0.0370763078009904 0.0541902374870168 -0.0731567437312269 -0.0530591664185488 -0.0271379787235107
0.11 0.110949811813122 0.137861179605962 0.161575633543611 -0.0114010282022685 -0.00689778663177786 -0.00412031893544694 0.00493225446498888 0.0363577967284279 0.0541745949064033 -0.0719339815042625 -0.0532504786406853 -0.0293167970900607
0.115 0.110338516218302 0.136821632070222 0.161414137094209 -0.0114087478746384 -0.00691312712598243 -0.00418986377787941 0.00497133825860507 0.0344417988128557 0.0542303405681674 -0.0710727930822683 -0.0516118042396869 -0.0308360099783409
0.12 0.109660843923735 0.134441285792318 0.158326245621836 -0.0116002954047971 -0.00687841943829485 -0.00426537778233026 0.00525732520874176 0.0326591551850271 0.0544165009668535 -0.0695174862903407 -0.0510955738133924 -0.0321176346616161
0.125 0.109549441447053 0.132880901815862 0.156399280987005 -0.011590539946012 -0.00679025460834808 -0.00401050324757869 0.00462563136238061 0.0314008358634324 0.0539101333079707 -0.0690899104812327 -0.050835705872765 -0.0327064960481929
0.13 0.109129477605583 0.132301467752544 0.154790144904283 -0.0114797628783518 -0.00667328414910181 -0.00395638081030074 0.00322600683381064 0.0301459468481296 0.0530924831748929 -0.0668081916336377 -0.050196693445224 -0.0326417118056874
0.135 0.107683119679571 0.133128668354731 0.157576830162425 -0.0112688930161397 -0.00676163463477842 -0.00402566702530481 0.00232236893975314 0.0298451183685421 0.0518609935706871 -0.0642436540091661 -0.0487354374561864 -0.0323963124594871
0.14 0.105694975518545 0.133720125100467 0.160824469753687 -0.0110379245156862 -0.00689077550717125 -0.00396903719955408 0.00187156698901522 0.0299660887340161 0.0514933944184537 -0.0606407389836694 -0.0471193350281726 -0.0321781055286009
0.145 0.105263105925983 0.135670449348259 0.164741543101708 -0.0109843973398394 -0.00686027927096663 -0.00409235983087854 0.00147713519035511 0.0300941171470203 0.0510296464758039 -0.0588535228306221 -0.0450907957946805 -0.0316390755917066
0.15 0.104084679940625 0.137184207465735 0.170107711910416 -0.0112003438714123 -0.00711965446000425 -0.00407403912706812 0.00145426151832032 0.0301876344448416 0.0500070874483879 -0.0568087148729272 -0.0434259116715069 -0.0313693709057434
0.155 0.102616132003696 0.139769374599354 0.174275480320959 -0.0113119319654237 -0.0070894759715686 -0.00416593012157727 0.000630730364320486 0.0304456320203741 0.0490683686428806 -0.0555029559329587 -0.0410311926729456 -0.030125159387865
0.16 0.103324446842648 0.142018968928284 0.178153723159512 -0.0114638105128572 -0.00710379608814315 -0.00440152088340801 0.000708223854420079 0.0308093299891081 0.0487554694750912 -0.0535180295822675 -0.0393311397215222 -0.029145826351028
0.165 0.103902600515476 0.145651876140814 0.181862785521821 -0.0115233163521254 -0.00715217148076042 -0.00458656913253515 8.29E-05 0.0308208578310855 0.0482194692287441 -0.0518668191686123 -0.0379854319176461 -0.0289303697004794
0.17 0.104566092444893 0.150267364018759 0.181896830166246 -0.0116034413370562 -0.00717973392620776 -0.00484309263187502 0.000663814721985075 0.0307412061299496 0.0477407476607036 -0.0498407119586229 -0.0363265494444464 -0.0288454480052545
0.175 0.105477533809041 0.153576726950861 0.18146908468575 -0.0116642884420034 -0.00705026732252719 -0.00492128823182707 -0.000375291992861205 0.0302928190926699 0.04812915061491 -0.0484978335769893 -0.0347642477211285 -0.0285421050889736
0.18 0.106689295599123 0.155111387859721 0.181047471370629 -0.0115758180241841 -0.00709916446905941 -0.00499974102499855 -0.000563873883217534 0.0299413261539123 0.0482011445449122 -0.0477208040556866 -0.0340192690293504 -0.0279363664508519
0.185 0.107106112348224 0.156168380600274 0.182420822575698 -0.0114970816193217 -0.00709519957463186 -0.00500249666129614 -0.000888653087122755 0.0293854111312806 0.0480032591733121 -0.0469142042622024 -0.0332564690207768 -0.0273895254210217
0.19 0.107994072057707 0.157220782932925 0.184047744081355 -0.0114275985914913 -0.00712334386083427 -0.00509084770909613 -0.000118634958502607 0.0291349231757933 0.0471119068482861 -0.0461627226685353 -0.032774267741217 -0.0263940328074555
0.195 0.108692853352228 0.157882997641611 0.185261362267438 -0.0112842728189371 -0.00720618633601093 -0.00511390007258167 0.00032992815343 0.0285042465803178 0.047277308064243 -0.0444590285631211 -0.0324915170777007 -0.0254507770230392
0.2 0.108081632070348 0.158942637208838 0.18515758712105 -0.0111875479164249 -0.00718731301757882 -0.00512706646766726 0.000187922667626706 0.0278432072453042 0.0473248621368338 -0.0446694695465076 -0.0324899797981482 -0.0251999008501045
0.205 0.108343941842946 0.159199579207949 0.185757231513607 -0.0111477837418545 -0.00714512187706893 -0.00514019099557579 0.000718026032557855 0.0275808314421449 0.0468410995861521 -0.0442127974718607 -0.0325181857456317 -0.0255104023714782
0.21 0.108715337011257 0.159201465240845 0.187442373631347 -0.0111072096164735 -0.00714378658009707 -0.00514232582939848 0.00125480664954576 0.0269140987909497 0.0466357593526931 -0.0440920715517098 -0.0327210955544819 -0.025649970871142
0.215 0.108785063923279 0.160193390120325 0.188995717354397 -0.0110221333258172 -0.00724229270989773 -0.00522752934781063 0.00156248565319041 0.0265302229854355 0.0450540609212242 -0.0446963217234091 -0.0329746414546276 -0.0255198863859472
0.22 0.10906613465347 0.160379930890716 0.189392119495738 -0.01100110918789 -0.00724504053971371 -0.00523199609556832 0.00189219669820066 0.0264145315417406 0.0448923875921752 -0.0450562341006451 -0.0336140344580823 -0.0256405351070455
0.225 0.110962675392396 0.160418974455641 0.191152869491517 -0.0110061020608887 -0.0071233376116493 -0.00522613103195642 0.00226299169142064 0.0264382842137228 0.0442560164402147 -0.0454471137988834 -0.033967110735724 -0.0253990224671331
0.23 0.111747398648464 0.159975070730822 0.19405006738664 -0.0109803695509649 -0.00706854849844757 -0.00523819792381175 0.00249656560915133 0.0260392761860694 0.0443953513536252 -0.045746143361474 -0.0344296591615718 -0.0255121458459841
0.235 0.113272486873022 0.159547919026086 0.193403796842353 -0.0109140814692169 -0.00703625825658196 -0.00523791751936608 0.00266812794191318 0.025993909619197 0.0449826075113199 -0.0459888708766075 -0.0345425504770918 -0.0255967761814459
0.24 0.113807825265423 0.160760887672765 0.193841457362492 -0.0108120216525254 -0.00702637517655268 -0.00526285018542078 0.00340675108685143 0.0259608805101745 0.0442325738426265 -0.0462172649134724 -0.0344414616917912 -0.025569601637277
0.245 0.111933633079917 0.162344776503239 0.19430503335714 -0.0107449224335069 -0.00703404151521586 -0.00532006286977135 0.00344572724620157 0.0258750458486094 0.0446024796359848 -0.046087044881427 -0.0347105909234235 -0.025416432227316
0.25 0.107872332268223 0.161661692212773 0.193291809242709 -0.0106986646449729 -0.0070079515202687 -0.00528147290741071 0.0038602180001379 0.0260224039991207 0.0434665749666053 -0.0462051108063212 -0.0345058543205849 -0.0254615940458752
0.255 0.10289263076652 0.162120748502836 0.190895362202327 -0.0105907219446802 -0.0070669513722914 -0.00529930063176605 0.00401008943367342 0.0259419428124832 0.0440742687711802 -0.0463741473663033 -0.0342460653708402 -0.0254784879863483
0.26 0.0962476911788198 0.162225395472254 0.18812896365005 -0.0104835868050702 -0.00713696324973192 -0.00530778869269938 0.00454085058235555 0.0261745091457607 0.0442217227023398 -0.046374438142734 -0.0341917707113193 -0.0251415380678677
0.265 0.0922122452036102 0.162628996633697 0.187270063054487 -0.010418942848886 -0.00719100747704865 -0.0053105479785042 0.00501439625727248 0.0260138381158849 0.0437008303372121 -0.046238902385202 -0.0339324167569053 -0.0244836781071043
0.27 0.0898759931885431 0.163447542414275 0.186782514370731 -0.0103196665727949 -0.00722483219942712 -0.00534108862239321 0.00508307372636992 0.0262214199896393 0.0427731919986883 -0.0463998491858547 -0.0339360830704428 -0.0236042087876919
0.275 0.0888951920278249 0.163868700801894 0.18567792730062 -0.0102353822369281 -0.00724223266703242 -0.00538093706078893 0.00572937900285895 0.026450424558861 0.0432016231284155 -0.0462808387036594 -0.0340662261470905 -0.0233404101841329
0.28 0.0866382670096142 0.163294448880015 0.184787117093069 -0.0101738539723415 -0.0072653553392367 -0.00538650402526926 0.00600265352320449 0.0265272621266992 0.0426589870155927 -0.046443246997291 -0.0340085085216806 -0.023020706575501
0.285 0.0868393868894626 0.162469718611377 0.183498840863615 -0.0100925832341626 -0.00727366472994369 -0.00537282163231871 0.0064896393698802 0.0268583996676732 0.0431766051755159 -0.0465959490947454 -0.0338254452987124 -0.0232882431021087
0.29 0.0878410595104078 0.160718057057321 0.182963315645551 -0.0100502705742844 -0.00725346508368419 -0.00554014912444717 0.00703687383026643 0.0269757842699527 0.0431029418543542 -0.0467550103409014 -0.0334002855153597 -0.0234950639249253
0.295 0.0893206058757311 0.158789542321994 0.182940127298127 -0.0101372743366557 -0.0072657495226738 -0.00557744977225252 0.00700128878200442 0.0272853848362825 0.0438690253594576 -0.0466606663919342 -0.0328936176100072 -0.0237443036431798
0.3 0.0893359824646756 0.158480104432536 0.183878070241004 -0.0101045918221074 -0.00725404364564009 -0.00564539216701518 0.00784930177656761 0.0270210696868087 0.0437036811674114 -0.0463970670618237 -0.0323157966907005 -0.0240750670441616
0.305 0.0891550494419786 0.158057495601236 0.184872777848572 -0.0101513391037609 -0.00723987441528455 -0.00565742897811791 0.00807578866333562 0.0272147766959401 0.0436482956880791 -0.0461268010066802 -0.0318117808728022 -0.0241384672509282
0.31 0.0896172696034786 0.157099796693551 0.184053464583071 -0.0101659904837958 -0.0072397857297204 -0.00565732585228561 0.0085292168566435 0.0276903958740736 0.043563149976369 -0.0459236829568267 -0.0314005698388621 -0.0239441971034642
0.315 0.0896736050959888 0.157810618852614 0.184612862893447 -0.0102493825842335 -0.00723661362405323 -0.00563563870883261 0.00904616113896748 0.0281154647942077 0.0437365945187322 -0.0455248845372314 -0.031037152342644 -0.023586914140715
0.32 0.0889734400402342 0.157691970306045 0.183598331244854 -0.0101735871614375 -0.00724741199711755 -0.00566371702683989 0.00904659179237749 0.0285983848506584 0.0441682857039202 -0.0454081786023261 -0.0306065648913319 -0.0233223251296206
0.325 0.0885974895377704 0.157660602880645 0.183179639429856 -0.0101207969455674 -0.0072448430339537 -0.00570784142254645 0.0090495133207958 0.0288866190594042 0.0445278014972137 -0.0452981376624175 -0.0302404193472758 -0.0228245101934753
0.33 0.0876442744043993 0.157727542542913 0.183308517497561 -0.0101220790393445 -0.00725771471269524 -0.00570773435792409 0.00860751680771163 0.0299698783387368 0.045104758891106 -0.04518380085194 -0.0299323674862894 -0.0220475244854466
0.335 0.0870191056270334 0.157147918283075 0.182618836146658 -0.0100707601965059 -0.00726351106117741 -0.00571905136378945 0.00813351378681878 0.030018040733998 0.0447848892175003 -0.0455207929617889 -0.0297362231714837 -0.021925941240369
0.34 0.0856089031918956 0.156504517012533 0.181730531024465 -0.0100009750186529 -0.00731565357853975 -0.00574086646174721 0.00798582102025234 0.0299521320814833 0.0449365939451353 -0.0457567329448169 -0.0295397683550596 -0.021581163258066
0.345 0.0828734923739262 0.155497187262395 0.181599891351986 -0.00999435429000909 -0.00733531338851617 -0.00574805235109804 0.00739930214391927 0.0299465517350236 0.0455173483122675 -0.0460524598189363 -0.0293512003427939 -0.0214258005037447
0.35 0.079326893373171 0.155057657971244 0.180456521940344 -0.00991369374779569 -0.00734492213835759 -0.00574784540671014 0.00629047874283239 0.0300229717243587 0.0458134706564842 -0.0464560687243264 -0.0293976628809442 -0.0210296279981606
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0.685 0.146654203738867 0.16558722346839 0.186366389688939 -0.0123085851267336 -0.00791741588415719 -0.00652624885506683 0.0206506745854852 0.0333223736671932 0.0448581276272978 -0.0368287505799071 -0.0295495310416231 -0.0197304276830553
0.69 0.148594173333231 0.165809493647888 0.187105319457832 -0.0124904163090034 -0.00799255156668693 -0.0066212570502817 0.0208743502879562 0.0334470984533663 0.0455905932902995 -0.0369387721889338 -0.0291435399328343 -0.0191753339289086
0.695 0.148431545956785 0.165392463691925 0.187216471696605 -0.0124663654365819 -0.0080804761447172 -0.00664813032466826 0.0213373325152966 0.0338874105125836 0.0458678668949551 -0.0376490487175374 -0.0290913327958333 -0.0181310857234701
0.7 0.147669933126441 0.164601325533316 0.186966920916694 -0.0124503760102358 -0.00819409179281484 -0.00666252184037754 0.0211579233351464 0.0336386919322622 0.0462529544463356 -0.0383108617722403 -0.0291549073717163 -0.018094739704294
0.705 0.146884787745885 0.164779970260623 0.18716084274634 -0.0124064171821094 -0.00826445396922489 -0.00671274935590399 0.0212980946051133 0.0337518627563797 0.0467350604290601 -0.0385406969754706 -0.0291678407809851 -0.0178877930709607
0.71 0.145612360096273 0.164811703117248 0.189884999091857 -0.012377430510691 -0.00832061928675786 -0.00673003682375626 0.0213760901815789 0.0338334156068938 0.0470179101871672 -0.039229023806449 -0.0293064847001807 -0.0177774156395811
0.715 0.144017548402613 0.164319656453876 0.190397589533712 -0.012431053554784 -0.00835190756230822 -0.00683038929725615 0.0217466748909755 0.0339570791305878 0.0471722573080366 -0.0394232302325808 -0.0292959466005616 -0.0179782652887597
0.72 0.143084471861227 0.165612793879349 0.192910296873139 -0.0123535382568496 -0.00840365622742955 -0.00680340763519218 0.0212647847248169 0.0340235833989561 0.0478273769079446 -0.0396176490899647 -0.0294281323161446 -0.018567022744316
0.725 0.142723636685298 0.166946091528047 0.195145405256279 -0.0123795464476903 -0.00844368233784237 -0.00686638538307929 0.0212863295254112 0.0339857077683954 0.0483578558804229 -0.0396764402550999 -0.0294848977996061 -0.0187334324381004
0.73 0.141557024817288 0.169004125809527 0.195825038349659 -0.0124136447170853 -0.00848299225671802 -0.00687320786087821 0.0215750893142621 0.0346344175891219 0.0487239384033342 -0.0395400805477658 -0.0296235140029359 -0.0188852576629684
0.735 0.140781286985121 0.171219194181732 0.197140445762936 -0.0124150598596585 -0.00852560128097444 -0.00678978303681985 0.0220956735108713 0.0348977375935682 0.049327594825494 -0.0394917709648294 -0.0301044990415747 -0.0191310938462
0.74 0.139921826611172 0.17388351543097 0.197943319734238 -0.0123979225450301 -0.00859327495240153 -0.0067459961673436 0.0228674789525686 0.0350646577126128 0.0501702849318758 -0.0394365672260821 -0.0303884956132522 -0.0193094133655666
0.745 0.138678384788111 0.175216199870406 0.198815426636113 -0.0125283410895016 -0.00863049885571007 -0.00683900936503244 0.0226111580152199 0.0353086089024875 0.0504427222549234 -0.0390145663026381 -0.0301971850192187 -0.0189393603550364
0.75 0.13804907848028 0.176773671324802 0.20053528594209 -0.0128065828088708 -0.00866046055306634 -0.00692691232004899 0.0230135101913774 0.0354401803535713 0.0506858886748867 -0.0388435983956165 -0.0305952526709396 -0.0180078273922688
0.755 0.137254500371827 0.178065392982681 0.20196370396375 -0.0129863896993037 -0.00867677344143807 -0.00696573310542959 0.0227644677936941 0.0357795621026751 0.0513508171387303 -0.0387947310787114 -0.0308257249116031 -0.0175589474957589
0.76 0.137470920315425 0.179165339237203 0.202876363248641 -0.0132775078497325 -0.00877531614831819 -0.00704265387725135 0.0221855844959341 0.0363577097284089 0.0518339313768912 -0.0391793752036175 -0.0309794629134502 -0.0173461114268977
0.765 0.138049133855927 0.180073682165655 0.204267584058925 -0.0134347065400206 -0.00879788278712619 -0.0070559990046389 0.022400001710495 0.036937169654322 0.0524559988456833 -0.0392885571044189 -0.0311619643186564 -0.0168397941843598
0.77 0.138480590894919 0.180829272535163 0.206705282522013 -0.0138002334049578 -0.00882599403287902 -0.00711200414061649 0.0227469289027353 0.0373438054434662 0.0528011804753579 -0.0392153941875352 -0.0312168030425592 -0.0169786676031779
0.775 0.139972681042389 0.181051879177082 0.209101737145285 -0.0140853992112669 -0.00883281321135134 -0.00721342969806792 0.0229109123501496 0.0377950151281583 0.052516167825313 -0.0390848842532254 -0.0312842994878744 -0.0177265978971941
0.78 0.140767989738875 0.182079203539294 0.212707942410001 -0.0143239566371938 -0.00891299101264465 -0.00728900546589436 0.0237874638821487 0.0383482909868178 0.0528548862892147 -0.0397900147803901 -0.0311968577775271 -0.0190066844628968
0.785 0.140848472904389 0.183176695553088 0.218551078473686 -0.0145142933648374 -0.0089623682006785 -0.00734638588871243 0.0238697712145598 0.0385307015613804 0.0532748689902863 -0.0395995236413833 -0.0312075063951547 -0.0197162328090446
0.79 0.142306054402435 0.185424114840478 0.2246531775366 -0.0147495257766709 -0.00899954824092738 -0.00756418154339097 0.023921370253466 0.0389203310427775 0.0532223832896757 -0.0398226566804222 -0.0309755623214718 -0.0190968899616212
0.795 0.147038432866926 0.188558170266252 0.232438917077233 -0.0147892855814474 -0.00905968332758359 -0.00769894691407942 0.0241017157925044 0.0390791618864598 0.0530487401387809 -0.0402196630826956 -0.0307282877645372 -0.0170327353759444
0.8 0.151503285562695 0.192585723470273 0.236748170122416 -0.0147855783155584 -0.00912680971762337 -0.00781141098770038 0.0243941142531376 0.0393832318908927 0.0533452260553708 -0.0405116973607817 -0.0299657195284711 -0.0172967449442875
0.805 0.154360457195701 0.196250215593277 0.240209979462745 -0.0146503257748845 -0.00931833140113095 -0.00793500514214218 0.0244197206200253 0.0393683205439265 0.0538887157956688 -0.041098131641164 -0.0294902296808882 -0.0174682972418291
0.81 0.157669991997508 0.20210826269371 0.243353804551839 -0.0148498368448316 -0.00948738902901561 -0.0079940069891301 0.0248572629550743 0.0398842347663623 0.054410186416466 -0.0417803193273178 -0.0289348516616996 -0.0181374364469476
0.815 0.1604240175147 0.203950218231752 0.246537205433634 -0.0147475795884093 -0.00975870310539173 -0.00810692358857474 0.0247978189328499 0.0398955419008203 0.0542000664332089 -0.0427555363119219 -0.028833078581314 -0.0193580233843523
0.82 0.164966573767368 0.206765333705955 0.248939180634249 -0.0147214573565121 -0.00992931905308796 -0.00818972367811507 0.0253707359248867 0.0401986283735454 0.0540952127414222 -0.0437036680028718 -0.0285508902871127 -0.0199881326400345
0.825 0.169705501703567 0.209112677146521 0.251744452793328 -0.0146837533958504 -0.0101037487897248 -0.00825261396543957 0.0252893585515791 0.0404652907628999 0.0542126507237151 -0.0452121020204983 -0.0285884607612167 -0.0205025509498202
0.83 0.177332622192197 0.210902911996745 0.256675041261601 -0.0148081275916583 -0.0102343277262807 -0.00844889879719663 0.0249545158094885 0.0408869971034352 0.0551963941145586 -0.0476368514307635 -0.0291070779107681 -0.0207545095783209
0.835 0.178200570304483 0.212404824941564 0.261674806125087 -0.0146525186876172 -0.0103620846182681 -0.00878369222276742 0.0251265595637184 0.0411127326635232 0.0557061189592923 -0.0485996194000297 -0.0297560829313334 -0.0211379148329079
0.84 0.179932773441908 0.21517405757856 0.266478743241728 -0.0147251974640189 -0.0105045313238167 -0.00901770319428901 0.024531243148913 0.0414785377018405 0.0566388440121428 -0.0490242669370869 -0.0304189496910913 -0.0214817436902269
0.845 0.177986984998596 0.218623797062792 0.269382725556683 -0.0148841301914605 -0.0106241672845663 -0.00930925705062554 0.0249863878718945 0.0415402763318535 0.0577432879177119 -0.0489372978023907 -0.0308654683275819 -0.0216069362060242
0.85 0.176955835761465 0.222111624960486 0.27288005956993 -0.0149737999366586 -0.0107584147195062 -0.00941133850976728 0.0244587129687909 0.0416870010094407 0.0588590283315137 -0.0484489234961463 -0.0311974837519117 -0.0215583847360506
0.855 0.171406047151848 0.228333508529953 0.278212480112222 -0.0151873939821864 -0.0108978750806894 -0.00967433514149799 0.0240862118105048 0.0416967044288255 0.0601991589538346 -0.0483287153990312 -0.0313492002846765 -0.0214332470245101
0.86 0.168924866611021 0.232032552084908 0.282960156948557 -0.0154404082592099 -0.0109615219113215 -0.00990269099258992 0.0225459466151447 0.0421380866356634 0.0615672465532259 -0.0485505048796874 -0.031718598903364 -0.0212188195419471
0.865 0.170580127284724 0.234456924884501 0.284947822361564 -0.0155633175351908 -0.0110345375391582 -0.00999734456752245 0.0214620063611337 0.0426220219019672 0.0630404676394396 -0.0480346322584168 -0.0317324210297017 -0.0209835692596421
0.87 0.173329826431836 0.235252347025826 0.288217280237889 -0.0160979835622216 -0.0111795142227241 -0.0101162006215126 0.0219962578931106 0.0434717104908585 0.0655566660900709 -0.0476063902854699 -0.0318184716307637 -0.0209574104345315
0.875 0.179166910902456 0.236421637102452 0.290030644848525 -0.0163042162017544 -0.0114396869837855 -0.010224172574671 0.0221756865530586 0.0453755857977439 0.0696288055466422 -0.0477214221410569 -0.0319420932945606 -0.020653415871841
0.88 0.183013595777436 0.234894600414029 0.286941243138039 -0.0169441079969364 -0.0115612667115436 -0.0103209337731625 0.0250927304480836 0.0481175805608274 0.0743697529830526 -0.0486078457682347 -0.0325034069407888 -0.0207500094783731
0.885 0.18458952114321 0.234058255419935 0.281869643244377 -0.0176642504370141 -0.0117161915712319 -0.0103749990689857 0.0261709808284361 0.0507788967542213 0.080345168228079 -0.0509153541617643 -0.0331173653055329 -0.0203277356201688
0.89 0.181488562442477 0.233864421930397 0.280195411521077 -0.0182257813605894 -0.0119126035900111 -0.0106511292085056 0.0300223226073667 0.0538109540320306 0.0849035455387529 -0.054590257412368 -0.0346752004106583 -0.020305882679379
0.895 0.174828757556876 0.226126253367202 0.278114235710134 -0.0194531828289463 -0.0122776122610002 -0.0107751376740275 0.0348837010722785 0.0569662066362676 0.0888084129809385 -0.0574529782061842 -0.0353063069764015 -0.0206033366803052
0.9 0.171692067723877 0.218271643447861 0.278018674633219 -0.0203944308883843 -0.0125694637806122 -0.0108910754598705 0.0372393482678107 0.0599658466354252 0.0941058386669932 -0.0608019918741896 -0.0368602705373295 -0.0218968751672614
Return to Figure 3

Figure 4 Data

Date FE-QAR One-Quarter-Ahead Forecast :Actual FE-QAR One-Quarter-Ahead Forecast : 1st percentile FE-QAR One-Quarter-Ahead Forecast: 2.5th percentile FE-QAR One-Quarter-Ahead Forecast: 5th percentile FE-QAR One-Quarter-Ahead Forecast: 10th percentile FE-QAR One-Quarter-Ahead Forecast: 25th percentile FE-QAR One-Quarter-Ahead Forecast: Forecasted median FE-QAR One-Quarter-Ahead Forecast: 75th percentile FE-QAR One-Quarter-Ahead Forecast: 90th percentile FE-QAR One-Quarter-Ahead Forecast: 95th percentile FE-QAR One-Quarter-Ahead Forecast: 97.5th percentile FE-QAR One-Quarter-Ahead Forecast: 99th percentile FE-OLS One-Quarter-Ahead Forecast: Actual FE-OLS One-Quarter-Ahead Forecast: 1st percentile FE-OLS One-Quarter-Ahead Forecast: 2.5th percentile FE-OLS One-Quarter-Ahead Forecast: 5th percentile FE-OLS One-Quarter-Ahead Forecast: 10th percentile FE-OLS One-Quarter-Ahead Forecast: 25th percentile FE-OLS One-Quarter-Ahead Forecast: Forecasted median FE-OLS One-Quarter-Ahead Forecast: 75th percentile FE-OLS One-Quarter-Ahead Forecast: 90th percentile FE-OLS One-Quarter-Ahead Forecast: 95th percentile FE-OLS One-Quarter-Ahead Forecast: 97.5th percentile FE-OLS One-Quarter-Ahead Forecast: 99th percentile FE-QAR Four-Quarters-Ahead Forecast: Actual FE-QAR Four-Quarters-Ahead Forecast: 1st percentile FE-QAR Four-Quarters-Ahead Forecast: 2.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 5th percentile FE-QAR Four-Quarters-Ahead Forecast: 10th percentile FE-QAR Four-Quarters-Ahead Forecast: 25th percentile FE-QAR Four-Quarters-Ahead Forecast: Forecasted median FE-QAR Four-Quarters-Ahead Forecast: 75th percentile FE-QAR Four-Quarters-Ahead Forecast: 90th percentile FE-QAR Four-Quarters-Ahead Forecast: 95th percentile FE-QAR Four-Quarters-Ahead Forecast: 97.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 99th percentile FE-QAR Four-Quarters-Ahead Forecast: Actual FE-QAR Four-Quarters-Ahead Forecast: 1st percentile FE-QAR Four-Quarters-Ahead Forecast: 2.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 5th percentile FE-QAR Four-Quarters-Ahead Forecast: 10th percentile FE-QAR Four-Quarters-Ahead Forecast: 25th percentile FE-QAR Four-Quarters-Ahead Forecast: Forecasted median FE-QAR Four-Quarters-Ahead Forecast: 75th percentile FE-QAR Four-Quarters-Ahead Forecast: 90th percentile FE-QAR Four-Quarters-Ahead Forecast: 95th percentile FE-QAR Four-Quarters-Ahead Forecast: 97.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 99th percentile
2005-03-31 0.787883573607504 0.703438399268176 0.703438399268176 0.736018053570429 0.743841334850322 0.780107367998298 0.811009966123233 0.883411635824765 1.0315642666781 1.09862449386029 1.29859375885914 1.29859375885914 0.787883573607504 0.637921833179216 0.637921833179216 0.643033564611018 0.654621134127241 0.676908438483989 0.749945192287567 0.830513487410674 0.955550427008731 0.972310793351169 0.977137901045742 0.977137901045742 0.787883573607504 0.693621024594782 0.698119308316032 0.70210160690574 0.73050337503471 0.788463942435259 0.879150157887555 1.08698381351008 1.2038645736851 1.35831763445863 1.64414368591122 1.64414368591122 0.787883573607504 0.601618408599351 0.611777608096556 0.614635637015904 0.6282080247056 0.660216342246941 0.754847480119537 0.87663829314455 0.959786373687548 1.0020733183213 1.04268799071995 1.07983956849454
2005-06-30 0.74674203017567 0.686479153863103 0.686479153863103 0.724721944960182 0.728265097123937 0.754707343247337 0.788786771875503 0.848460857865922 1.00576493322407 1.0506219875784 1.21053901088383 1.21053901088383 0.74674203017567 0.60656038855928 0.60656038855928 0.621920813739246 0.635602919564005 0.655515093489526 0.734430681782544 0.823258068526928 0.945167146124501 0.949862013539226 0.974222285207025 0.974222285207025 0.74674203017567 0.652196521548904 0.666880101813436 0.684750845620738 0.701598258421964 0.756684135477909 0.838460896564709 1.01337545382898 1.12745561036596 1.20874901850271 1.48995517516092 1.582222728647 0.74674203017567 0.543910387933714 0.543910387933714 0.555288210633023 0.561320908524817 0.60034625433568 0.719605357165287 0.846951739987133 0.929827483110106 0.96790222771672 0.999494368002063 1.04316877190271
2005-09-30 0.854968784365944 0.669596601167662 0.669596601167662 0.685657167482838 0.696378920595998 0.726858307210076 0.740548396638602 0.81435956818698 0.960556059040299 1.0248939419831 1.12200774090849 1.12200774090849 0.854968784365944 0.58796260187935 0.58796260187935 0.591693764172219 0.604670015823962 0.623813647761753 0.70699819812163 0.798716868659118 0.905233635438859 0.928501915002531 0.946363175901561 0.946363175901561 0.854968784365944 0.606039880982226 0.626618715691383 0.64475632475871 0.65775999090609 0.70966698801022 0.78858999939837 0.944125901514625 1.08426525556796 1.15159444555129 1.37797531923079 1.52245414905757 0.854968784365944 0.508739563268254 0.513894556141052 0.522034278324318 0.53259007160264 0.576215729877611 0.700438861772953 0.822493163166815 0.906807626814949 0.943050895054197 0.976984904450637 1.02361521519805
2005-12-31 0.712666908673767 0.709294893417549 0.709294893417549 0.711685883804724 0.717647893373257 0.745346942831093 0.803057217510219 0.878902927496038 0.917694538521058 0.98878223188343 1.01419622777586 1.01419622777586 0.712666908673767 0.629063325112843 0.629063325112843 0.629301638737316 0.648100208782178 0.664725693685222 0.76033607728406 0.857018324832388 0.941041304797777 0.961461537896083 0.964884984145217 0.964884984145217 0.712666908673767 0.62532781004909 0.643086194276763 0.655613746092781 0.675303724740945 0.719069587804403 0.786431084240119 0.916803316042279 1.06659072576357 1.12605046177031 1.34311395427028 1.49488959021142 0.712666908673767 0.519139060849135 0.522248590904075 0.529924037455043 0.538785173706052 0.592557802014983 0.713472359643008 0.823270637735305 0.90798889623753 0.940580231463949 0.974379959458258 1.02626026220199
2006-03-31 0.654472627910269 0.66117931941084 0.66117931941084 0.667723418131705 0.676572774218369 0.697335492238439 0.729988538748758 0.7841318878809 0.861558119651219 1.14114094524253 1.29066480870925 1.29066480870925 0.654472627910269 0.57483868224401 0.57483868224401 0.581964465621229 0.597744227917818 0.613059544421224 0.685452198931916 0.780211385063576 0.879700867007823 0.905754117632841 0.906656791823562 0.906656791823562 0.654472627910269 0.597477952181489 0.612905736912788 0.623460486027419 0.630257853520729 0.687875005309503 0.751442339651286 0.854964685596111 0.975572793756568 1.03498861929025 1.19971126682809 1.34879761652677 0.654472627910269 0.479412353865889 0.482857438116535 0.486380260187802 0.495693385014756 0.55820168088767 0.670918604680409 0.77580274829491 0.860789283380522 0.892724062131091 0.926289310326859 0.981710030017384
2006-06-30 0.616497546929998 0.595491386094398 0.595491386094398 0.60925749616739 0.613262890707967 0.633943221109228 0.659134823021918 0.730011826707585 0.825957160837932 0.928789286324369 1.03077337310433 1.03077337310433 0.616497546929998 0.528764584990795 0.528764584990795 0.545559380204598 0.554314802465445 0.567368121899735 0.637058367183962 0.735675340512699 0.820994375233022 0.858765794028218 0.877863629097846 0.877863629097846 0.616497546929998 0.583909679406144 0.585364066644302 0.593578194428436 0.596446992359425 0.652142879232533 0.711039951799984 0.795573423087839 0.912397885334592 0.96159680746976 1.0219905983983 1.06829709345651 0.616497546929998 0.462659170575125 0.46653038361723 0.467105807432364 0.475472552812561 0.541745846981336 0.655993045096681 0.751645304602974 0.841241817661092 0.869463431194644 0.911628133763509 0.969711404199343
2006-09-30 0.699176057029608 0.577276201539113 0.577276201539113 0.582221542318035 0.595698025482185 0.606769677928993 0.635353221109302 0.696210154164172 0.766440156251865 0.858878134384892 0.935674981120664 0.935674981120664 0.699176057029608 0.522236848153387 0.522236848153387 0.53562037459082 0.547134783549185 0.561820936469292 0.623624784575972 0.717512791475605 0.812488858487917 0.860158653696585 0.875774904922347 0.875774904922347 0.699176057029608 0.626611623732467 0.631940814935663 0.636203244379293 0.645854056139844 0.719696940475738 0.784384025208395 0.93972307231402 1.1787329804268 1.26237272509791 1.42659542713872 1.53758518362854 0.699176057029608 0.536211343638506 0.541096334910013 0.543260403949754 0.552420315153219 0.624755804672325 0.73416019845485 0.832726406346713 0.915966295930845 0.943216347675713 0.999109545627213 1.0632316242235
2006-12-31 0.666570072518081 0.556388946267714 0.556388946267714 0.56298602155801 0.582982101642318 0.59383464597804 0.631887865469595 0.680307704817995 0.749572856381445 0.815371023863372 0.87279058086307 0.87279058086307 0.666570072518081 0.500667533846785 0.500667533846785 0.512929477354897 0.530057732009611 0.54075661733774 0.608183432481792 0.689226282628486 0.792779263027219 0.848328487668315 0.864460601027287 0.864460601027287 0.666570072518081 0.575066405153944 0.578978020189329 0.589973242066779 0.596848540493858 0.648690662569836 0.707030902889601 0.826745950762625 1.03119708943318 1.1752926830544 1.26627500042886 1.27382912326711 0.666570072518081 0.485221017293075 0.490849569316852 0.49148784415842 0.506205881941518 0.562092104882763 0.663930915419767 0.761972566039927 0.855979796745793 0.886343731611406 0.942897739835905 1.01873881843516
2007-03-31 0.730229732961578 0.609022834163092 0.609022834163092 0.619705264497944 0.625435395954347 0.643033516163074 0.676745232905471 0.74794165826446 0.80395949393124 0.982135827613455 1.0218899721061 1.0218899721061 0.730229732961578 0.569825197094569 0.569825197094569 0.585786305862291 0.600752889050623 0.608822273539571 0.675596943300498 0.733628863021712 0.865411968289103 0.896853930666379 0.943790061724475 0.943790061724475 0.730229732961578 0.547574359774992 0.547887718086425 0.562069041431474 0.579157167479501 0.617882061874917 0.687608156704541 0.794555367277327 0.998473178397255 1.15611249839218 1.21607034004226 1.22085491545662 0.730229732961578 0.507726934494187 0.511399344680679 0.513647276210701 0.527365339939564 0.587835245125566 0.681634452729602 0.788095303867932 0.880431917791266 0.906070444069591 0.952200620641718 1.02251796155788
2007-06-30 0.736657332942995 0.62213457607061 0.62213457607061 0.646767504392158 0.65088161510396 0.669773572993835 0.714417736497663 0.775444468730981 0.834982890704854 0.991322308670605 1.06333938469719 1.06333938469719 0.736657332942995 0.600349453076444 0.600349453076444 0.622233429787229 0.635426798529073 0.649421454640365 0.723201407108247 0.757652939510139 0.899308805297451 0.936822848666578 0.980375212638973 0.980375212638973 0.736657332942995 0.532843644124578 0.53379716023194 0.550604000536252 0.565154414000117 0.598098705513576 0.654948104129759 0.75043142651219 0.967673394070086 1.06843619552786 1.10198603800837 1.12729782733441 0.736657332942995 0.519081450795672 0.520363114307491 0.521939144751299 0.536190136676004 0.594491427868253 0.681453167538256 0.783533888421647 0.881999880909336 0.909134828060059 0.954274374309742 1.0327216226417
2007-09-30 0.812936142797198 0.669314686618143 0.669314686618143 0.687594078996449 0.707639582888785 0.725639595407262 0.773812643243907 0.821220993938107 0.933467565302347 1.00993648358941 1.17934560031255 1.17934560031255 0.812936142797198 0.667827514642647 0.667827514642647 0.69518709620402 0.705198008779957 0.720508861218494 0.79772162509573 0.827195212017575 0.968427511905281 1.01860317602547 1.01860317602547 1.06085627962745 0.812936142797198 0.599308378734231 0.603321181153783 0.618224079980566 0.631501750296829 0.679987712149987 0.734924198704539 0.836311942383299 1.05300921231145 1.12111154295207 1.22468026531536 1.26366111867285 0.812936142797198 0.587147776368647 0.591646480952363 0.593842684605156 0.606932202537264 0.669279521575988 0.753339031128045 0.858063674245479 0.966543665591605 0.991752067235335 1.03397892068914 1.12099209166085
2007-12-31 1.05994774704831 0.731342142005772 0.731342142005772 0.746223899428865 0.787794901617802 0.804614626763947 0.860793660949613 0.910418873554708 0.998002426474 1.11316015768817 1.11316015768817 1.27603224788815 1.05994774704831 0.768423160045665 0.768423160045665 0.801476670486015 0.809069829985176 0.823707707262377 0.89925210012191 0.932583567417071 1.06994403044979 1.11931760114533 1.16257553605256 1.16257553605256 1.05994774704831 0.670022966443206 0.679303642371646 0.693271795758686 0.706171066657664 0.757446757247167 0.814560046078975 0.923367793994378 1.15529877927917 1.28757266651155 1.33099774426483 1.35085824906149 1.05994774704831 0.683652846682017 0.691241543322006 0.694195077259838 0.704412456529234 0.774969940632868 0.856466984992419 0.948238797352707 1.0591929475245 1.09331452584659 1.12720862460852 1.21913514147364
2008-03-31 1.41858437367461 0.858266647631949 0.858266647631949 0.897603431477444 0.958231096029385 0.972394530850668 1.02694858880562 1.07519457485111 1.25286897888537 1.47515288215323 1.48669001420455 1.48669001420455 1.41858437367461 0.951662885674226 0.951662885674226 0.992170890556922 0.993492048010816 1.01075847968592 1.0799986309532 1.12428058466949 1.2418582165524 1.29336336935381 1.34754467258536 1.34754467258536 1.41858437367461 0.738505535025546 0.769375640047838 0.78855200773257 0.804964056262272 0.854980595676876 0.917819482512573 1.02926127746966 1.2875545628782 1.43419735080473 1.46212699025789 1.52513981446127 1.41858437367461 0.8120928889894 0.823857858534762 0.826039381619621 0.836198065507021 0.909433825812721 0.987490673444068 1.07024843133059 1.18521404833302 1.22577080510683 1.25470238045827 1.34939516912022
2008-06-30 1.81896148803033 1.0728400348364 1.0728400348364 1.1455211706652 1.18801929614142 1.2448140182016 1.29560575585834 1.41150367791001 1.63086265148855 1.82260974352189 1.91379501197543 1.91379501197543 1.81896148803033 1.27710297695916 1.27710297695916 1.29739303758375 1.31528139860559 1.33716171554618 1.38899839009708 1.46196031616717 1.57760132052976 1.6636366201442 1.6770746083441 1.6770746083441 1.81896148803033 0.819766074110792 0.845622501143955 0.86281997846858 0.889394772077972 0.936477713901427 1.01555246209864 1.12928473342917 1.41392421141219 1.58654079332542 1.65081138980538 1.66181338450112 1.81896148803033 0.943822042468899 0.957212320075683 0.960694406975891 0.969359937917925 1.04121474742338 1.11886591281932 1.18958744452811 1.31242180125641 1.35619771776009 1.38283983844549 1.47464694036026
2008-09-30 2.0484337592365 1.47867180110152 1.47867180110152 1.52138625687624 1.55879016267235 1.63676859505312 1.72496214993505 1.90854486819212 2.29419891039582 2.38206268027828 2.53236406903361 2.53236406903361 2.0484337592365 1.84530998155886 1.86328273143596 1.88207439432533 1.88689134247666 1.90115137377728 1.94980307620596 2.02865275804877 2.1581255460319 2.24527206671292 2.24527206671292 2.25959208764929 2.0484337592365 0.953545496925427 0.97624417905222 1.00228036539946 1.02252106285858 1.08141682738817 1.18022137072429 1.30730296459819 1.6347847960693 1.85583548258552 1.87132290960246 1.93127346827322 2.0484337592365 1.14901956976522 1.1600617531382 1.1673426902284 1.17883896529176 1.24742154441527 1.32297326981106 1.39181320044971 1.52628329118259 1.55960284277518 1.58701802675234 1.68915679738166
2008-12-31 2.52531171505133 1.86850447639795 1.91512275173594 1.96759427646925 1.97947658158975 2.06800780604726 2.12340890128004 2.42513167516941 2.8069777555761 2.87685294094086 2.90973726083867 2.95589842608806 2.52531171505133 2.30019988568362 2.34221424699362 2.34985722560948 2.35075791529908 2.37035272127108 2.42375931683534 2.49420333690421 2.62102411664726 2.68835738141984 2.71093068129439 2.7299609223298 2.52531171505133 1.21469457924215 1.25627456478329 1.29252615299314 1.32503544542121 1.41207970601088 1.53538955120402 1.71313377103947 2.16561817496833 2.47292271519644 2.50250325754042 2.6079388319011 2.52531171505133 1.57802703422198 1.59099054591388 1.60002218305317 1.61998664096223 1.68811211967593 1.75148083100218 1.84998716350578 1.9604294517834 2.01211337120451 2.04326635706598 2.13875996538813
2009-03-31 2.5508532461417 2.31169446112129 2.38779626913269 2.41898432944508 2.43914646212133 2.54883939351879 2.64604047078402 2.93610800087191 3.25614391437957 3.42976733042679 3.62433135392174 3.76081919447597 2.5508532461417 2.85471958907297 2.89259838399738 2.90516295171396 2.91771245872436 2.93545480536822 2.98851164461296 3.05087941021415 3.18804473211409 3.24694146991 3.2764288956586 3.28288461712801 2.5508532461417 1.53657596309231 1.59394385909961 1.6342684847747 1.66729255373847 1.80514387906377 1.95373620338409 2.20323860030402 2.71228684206171 3.07803552847706 3.2225244342325 3.29762597640223 2.5508532461417 2.14724151664794 2.15752991382481 2.16678260511597 2.19021184135352 2.24094090694905 2.32810748306478 2.42467812659298 2.54926187836755 2.57980119279466 2.6355668551388 2.69994674662025
2009-06-30 3.26902343966297 2.43388847019779 2.45960658041347 2.46563112661388 2.50252634596251 2.55538105922687 2.68208711765646 2.94788440626528 3.22240921851363 3.50350012648143 3.57630802392491 3.58091061919623 3.26902343966297 2.74386675931662 2.79326095421822 2.7995620689542 2.80788086837764 2.82974132335947 2.88212951512971 2.97494355558158 3.10070302498682 3.14465313626837 3.16764799656507 3.21559254538063 3.26902343966297 1.88987242549084 1.91858620263168 1.93318833324738 1.99653163954264 2.15186941571852 2.34867910834943 2.75962863828586 3.46784096069451 3.97910249025504 4.14194130401311 4.27222311692507 3.26902343966297 2.93249662204079 2.95737876721871 2.96928009653838 2.98048068015235 3.02437122721268 3.1274367742119 3.2596179157077 3.36973166442776 3.46889251054317 3.50512011215929 3.54389311749649
2009-09-30 3.61155857578056 2.93182108877062 2.93660576674022 2.93913353681092 2.96164160868839 3.04482584494245 3.21574030887478 3.49675824451434 3.84414842195222 3.9652451087404 3.97343270919195 3.9915755969448 3.61155857578056 3.08067012303131 3.16710412822162 3.1814402542468 3.19832706211854 3.23765146677412 3.29285875721021 3.38751623926918 3.53103026356979 3.57175244685983 3.57799076464989 3.58327158437191 3.61155857578056 2.13393666994162 2.18446642145634 2.21927951650947 2.26913648072075 2.42933286200871 2.69224192475484 3.20073177253028 3.89374025462623 4.36264385647834 4.59662607239119 4.68725941777929 3.61155857578056 3.12715592876655 3.14872958435357 3.16338778866036 3.17674361792878 3.221951691678 3.32820319988929 3.45471793449373 3.58186186826984 3.68522509653145 3.69975719309798 3.73049511995545
2009-12-31 3.63256384078538 3.20296326973861 3.21037018755813 3.21939485325454 3.27768735308138 3.34081485677695 3.58015624864722 3.83215951928422 4.08601928229321 4.22929877061697 4.26520712465773 4.43957645259491 3.63256384078538 3.32836793971078 3.3774784694658 3.40221256120104 3.40860925121185 3.47239149209877 3.52718408892025 3.63419218150423 3.77113542555338 3.79060422201752 3.79918372182422 3.80392793518582 3.63256384078538 2.34060271735885 2.47625155630115 2.52773990631496 2.57200213356551 2.72023686201657 3.00505413955057 3.56332715388487 4.1753738837368 4.91810259043157 5.02193009090893 5.27469958453265 3.63256384078538 3.43200470386041 3.48603738727373 3.51224357372342 3.54953469744274 3.60999811392252 3.70481301657922 3.85069892685493 3.99182334753697 4.04865602919173 4.0964805722327 4.13339194542881
2010-03-31 4.46850874527685 3.59622349027645 3.61684631340255 3.66135959398564 3.67931934844907 3.83786863534994 3.97840160270914 4.26700925709475 4.47059909849802 4.64277706039701 4.70443361618003 4.76266159163237 4.46850874527685 3.62416343810771 3.6643788611165 3.66624990886961 3.68140589110271 3.74163968533952 3.84592727434191 3.97259429990973 4.08022222281358 4.11724971515207 4.12392822945598 4.14244098175118 4.46850874527685 2.64197155732278 2.64596116512503 2.67717338214127 2.77456412350028 2.94208440509158 3.26764770566567 3.73279346847324 4.14048842474343 4.54218686508594 4.90034789783005 5.16998684665974 4.46850874527685 2.73395418284995 2.74096121678976 2.762819080188 2.79764500941563 2.886828828208 3.02828616198707 3.17932866567041 3.30312897556607 3.37536871033842 3.38625497620479 3.42208074078041
2010-06-30 3.93284542621081 3.78886379617239 3.80101687957983 3.80602001907406 3.90492757668871 4.02663500950935 4.22662419848524 4.44687094758922 4.77877878686839 4.81997019031982 4.86562061409743 4.98159715539266 3.93284542621081 3.54423846689827 3.60789347346056 3.62269726794223 3.64275121986156 3.70156936036964 3.82093380468504 3.93137817983541 4.05734935896095 4.08615235601516 4.14449678748092 4.56753467943193 3.93284542621081 3.03989059820901 3.09942920616147 3.17375048375118 3.2756198163565 3.46723334438444 3.83980495169236 4.36915947443601 4.84493151375093 5.28835369760256 5.57071660797016 5.71515061531751 3.93284542621081 2.95350514836075 2.96844486644808 2.98627517721859 3.02482351300544 3.16103888211671 3.31333278771309 3.47936229033922 3.60220739273974 3.64905926603032 3.7062050493841 3.72644720299808
2010-09-30 3.64403620406217 3.40250383178185 3.40588173707177 3.42662742692981 3.48330363871572 3.56070650361007 3.74597640299399 3.93092293970624 4.16896983201631 4.22938208017903 4.25365795815685 4.28109150717533 3.64403620406217 3.06216234212935 3.13456258580816 3.14800975698174 3.16233509662507 3.22213576321006 3.35855382239653 3.44302981670167 3.5712321943464 3.60175153472697 3.65752154931286 4.07476224215299 3.64403620406217 2.94084398835133 2.9799425767745 3.05268331061433 3.17926948426301 3.40269034315688 3.78430424143936 4.24686797548028 4.83481285131531 5.13688134058447 5.33244208410856 5.4819606975066 3.64403620406217 2.61856275106195 2.63024226918409 2.65536664537161 2.69942478634665 2.84867488923227 3.03629857538944 3.19377841580962 3.30637637861112 3.36731719387285 3.40237984191675 3.46642032462954
2010-12-31 3.32360230834487 3.01832558285649 3.02969941268576 3.05194910896042 3.07829984906652 3.18211310482308 3.36534410747656 3.55392112535394 3.79830302674848 3.83809140193368 3.85512164661433 3.88204094641325 3.32360230834487 2.84415757109742 2.90908511972074 2.91562332548071 2.95208760776505 2.99246220466854 3.10289717622609 3.21961139478113 3.34112228507156 3.37446568821854 3.4171608351809 3.81969177453567 3.32360230834487 2.77031397542252 2.82270617024719 2.9104044968017 2.99701000558524 3.18564356638683 3.55857157910823 3.97551802754289 4.37853192730995 4.59960052612259 4.89194537184965 5.00867875195599 3.32360230834487 2.31662804441843 2.32777512096367 2.34946288415608 2.40359972082824 2.54475840653054 2.74028812655813 2.89777789373356 3.0059877092235 3.04690814188138 3.10654295487161 3.13326023805562
2011-03-31 2.90565205214102 2.67661318381882 2.69176249480301 2.69815820273352 2.74491267657679 2.86683185924457 3.01132941433587 3.15874181645616 3.43238837235453 3.47964882600061 3.56433074834985 3.58779272829852 2.90565205214102 2.56890426557161 2.63407389022213 2.64442574524901 2.68553520060379 2.72748459620958 2.84184069197568 2.95250611338176 3.07656458866434 3.10019633540097 3.13973619498337 3.55211372762737 2.90565205214102 2.69246231496646 2.78087832245263 2.82445420894828 2.93685905974617 3.15163726146578 3.53128846418374 3.92500696042343 4.26692108214949 4.50163114651367 4.57214835007907 4.71327951807845 2.90565205214102 2.08187444658118 2.08985537600223 2.11235790550936 2.16324844414009 2.31468798489921 2.49585533710132 2.66276295604353 2.76868785016589 2.8654307850789 2.97333072324945 3.40539369353429
2011-06-30 2.54335243783967 2.43629998637691 2.44895307694988 2.45239763556503 2.49095539444055 2.56081443095552 2.72091811671787 2.87476250406 3.07890911155662 3.16830986485485 3.17019972827074 3.18019782512461 2.54335243783967 2.37141187530816 2.44571322661248 2.44709838938718 2.49088197116775 2.54336633065397 2.67121635023199 2.76398242132859 2.88352435514797 2.89508944482327 2.93888708947573 3.34035764584664 2.54335243783967 2.25926567317811 2.33379580417364 2.37910169002295 2.46261796037821 2.65199414274064 2.97077939286678 3.29787821039388 3.58218050699785 3.76470959020963 3.81823433124098 3.93855755290047 2.54335243783967 1.85047915921714 1.85714434025526 1.87415037434513 1.91989955943622 2.07069074203032 2.24900665777989 2.40666994073103 2.51597808256272 2.62623375958874 2.69620556700469 3.14509717217235
2011-09-30 2.24244700222204 2.00991819609574 2.03393924137787 2.04026756142244 2.07332603643882 2.15363284070262 2.28703430740776 2.43663904314503 2.59843876378338 2.74854934025785 2.76548110086285 2.7975782928953 2.24244700222204 1.98891944195825 2.00795535726679 2.05920867327357 2.08917220756289 2.1413725040117 2.21173560699391 2.33331258363634 2.45269817546296 2.47824067059634 2.50119889887851 2.85757190766831 2.24244700222204 1.94503692038159 2.01675119343723 2.0531102232516 2.12765058166014 2.29003601168155 2.57576709365823 2.89401507334197 3.1855048230233 3.45260302004133 3.614605363819 3.6548495785762 2.24244700222204 1.91870367426025 1.97189635605815 1.99157918732903 2.01927994787206 2.1366946553591 2.28790162276346 2.43643529129034 2.54901780246831 2.6160948684069 2.72012232689695 3.03063235671355
2011-12-31 1.89955302505851 1.85648415455433 1.85698305524982 1.8697009324569 1.89632531043678 1.97737999785387 2.10028213341044 2.22542539138993 2.40699968656538 2.47631961526674 2.50614875318566 2.56554420126896 1.89955302505851 1.82620675826377 1.89531134832598 1.90045884699942 1.91650162261467 1.96468074585962 2.0401996808385 2.15435676928786 2.27428972312446 2.3530811501178 2.41337641245826 2.57195699331208 1.89955302505851 1.81396632055161 1.87492673953454 1.92029832903422 1.97296577443427 2.14123515384939 2.39425477052145 2.7297369753593 3.05435416986823 3.30457666897676 3.38352909054007 3.45013682505292 1.89955302505851 1.92415986377085 1.96239224166586 1.97343214745178 2.0028942079807 2.12304141595874 2.26464968832312 2.43252084694927 2.57689681540921 2.65861671786049 2.71121976921451 2.92135026450284
Return to Figure 4

Figure 5 Data

Date FE-QAR One-Quarter-Ahead Forecast: Actual FE-QAR One-Quarter-Ahead Forecast:1st percentile FE-QAR One-Quarter-Ahead Forecast:2.5th percentile FE-QAR One-Quarter-Ahead Forecast:5th percentile FE-QAR One-Quarter-Ahead Forecast:10th percentile FE-QAR One-Quarter-Ahead Forecast:25th percentile FE-QAR One-Quarter-Ahead Forecast:Forecasted median FE-QAR One-Quarter-Ahead Forecast:75th percentile FE-QAR One-Quarter-Ahead Forecast:90th percentile FE-QAR One-Quarter-Ahead Forecast:95th percentile FE-QAR One-Quarter-Ahead Forecast:97.5th percentile FE-QAR One-Quarter-Ahead Forecast:99th percentile FE-OLS One-Quarter-Ahead Forecast: Actual FE-OLS One-Quarter-Ahead Forecast:1st percentile FE-OLS One-Quarter-Ahead Forecast:2.5th percentile FE-OLS One-Quarter-Ahead Forecast:5th percentile FE-OLS One-Quarter-Ahead Forecast:10th percentile FE-OLS One-Quarter-Ahead Forecast:25th percentile FE-OLS One-Quarter-Ahead Forecast:Forecasted median FE-OLS One-Quarter-Ahead Forecast:75th percentile FE-OLS One-Quarter-Ahead Forecast:90th percentile FE-OLS One-Quarter-Ahead Forecast:95th percentile FE-OLS One-Quarter-Ahead Forecast:97.5th percentile FE-OLS One-Quarter-Ahead Forecast:99th percentile FE-QAR Four-Quarters-Ahead Forecast: Actual FE-QAR Four-Quarters-Ahead Forecast: 1st percentile FE-QAR Four-Quarters-Ahead Forecast: 2.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 5th percentile FE-QAR Four-Quarters-Ahead Forecast: 10th percentile FE-QAR Four-Quarters-Ahead Forecast: 25th percentile FE-QAR Four-Quarters-Ahead Forecast: Forecasted median FE-QAR Four-Quarters-Ahead Forecast: 75th percentile FE-QAR Four-Quarters-Ahead Forecast: 90th percentile FE-QAR Four-Quarters-Ahead Forecast: 95th percentile FE-QAR Four-Quarters-Ahead Forecast: 97.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 99th percentile FE-QAR Four-Quarters-Ahead Forecast: Actual FE-QAR Four-Quarters-Ahead Forecast: 1st percentile FE-QAR Four-Quarters-Ahead Forecast: 2.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 5th percentile FE-QAR Four-Quarters-Ahead Forecast: 10th percentile FE-QAR Four-Quarters-Ahead Forecast: 25th percentile FE-QAR Four-Quarters-Ahead Forecast: Forecasted median FE-QAR Four-Quarters-Ahead Forecast: 75th percentile FE-QAR Four-Quarters-Ahead Forecast: 90th percentile FE-QAR Four-Quarters-Ahead Forecast: 95th percentile FE-QAR Four-Quarters-Ahead Forecast: 97.5th percentile FE-QAR Four-Quarters-Ahead Forecast: 99th percentile
2005-03-31 2.32815144926865 1.65435069496842 1.65435069496842 1.77905824316399 1.9950262592059 2.29726840775121 2.39856684210242 2.5147286922175 2.67014829114639 2.67110567337913 2.680236166898 2.680236166898 2.32815144926865 1.57858945646924 1.57858945646924 1.67513795161361 1.68898880371236 1.90360202921148 2.07281014245089 2.2011701411 2.26698230912303 2.33051027335109 2.33077241487078 2.33077241487078 2.32815144926865 2.28933657811536 2.39423020876766 2.46282284623052 2.49847599680011 2.60746967619816 2.78129146513648 2.9677771756556 3.11905286859238 3.18205927232304 3.26312210950381 3.28417424339141 2.32815144926865 1.74729742745369 1.77602127001579 1.85877688266215 1.94411985986966 2.08570391608542 2.29534705933525 2.44779043895246 2.51346857223348 2.5495735551717 2.60408452270435 2.65548958306831
2005-06-30 2.21658381227634 1.64203537935881 1.64203537935881 1.84427043749979 1.95654127823963 2.26674013254776 2.34450093079931 2.45627248266326 2.64298104607504 2.65031265498622 2.70940376328189 2.70940376328189 2.21658381227634 1.67391935507364 1.67391935507364 1.69398536024583 1.72234886119545 1.98119371744273 2.17492275972726 2.27105114052392 2.30979871074914 2.39995917508576 2.41438012367316 2.41438012367316 2.21658381227634 1.83125715356713 1.9572370776918 2.0875890482231 2.18228018152552 2.34331671163301 2.57420327410333 2.79321508695493 2.93670706125456 3.00609054414655 3.0757184083393 3.11924625352642 2.21658381227634 1.44227490057756 1.51556587306968 1.55149237534766 1.63030205966512 1.77324546629183 1.9955842017658 2.17961290988423 2.25175376116797 2.29420419641971 2.32434919202083 2.37127593948591
2005-09-30 2.50112625461573 1.78415431794666 1.78415431794666 1.87372690808469 2.11772900682653 2.1741840188958 2.28154374235588 2.41600861331399 2.60180580207872 2.64611640001159 2.65529771075011 2.65529771075011 2.50112625461573 1.74610383547786 1.74610383547786 1.77083920872427 1.97059760033699 2.05611529749269 2.2593335176187 2.32301946742457 2.36261378103758 2.46736537254453 2.48485412533226 2.48485412533226 2.50112625461573 1.79175883630065 1.9455518942915 2.0212384784665 2.1550076226245 2.33067933554708 2.54017953943597 2.73553679789668 2.87158843093837 2.96171895402429 3.09370885292304 3.09370885292304 2.50112625461573 1.36834615271941 1.4351881292357 1.48190734906212 1.54713181917507 1.69612668162893 1.9108545274776 2.0877083013353 2.15397267884733 2.18492145601178 2.22686754041545 2.27258727361931
2005-12-31 2.49918664818434 1.83594274569756 1.83594274569756 1.93177397690044 2.17245311039073 2.25735157472411 2.33664155096509 2.49105237523402 2.6233298525575 2.68087954275527 2.68367102138551 2.68367102138551 2.49918664818434 1.72613381827005 1.72613381827005 1.7400894600766 1.96345907939736 2.04414802979387 2.22012532411234 2.30234959091865 2.35505677804324 2.46791929820965 2.48560123146487 2.48560123146487 2.49918664818434 1.77294775921317 1.91868351282425 1.99825560708063 2.15604548647858 2.32766863800786 2.52364422686004 2.70170577326999 2.85590232288064 2.92311735298141 3.08231807011467 3.09110451433373 2.49918664818434 1.28460518926705 1.36361240880328 1.40045382193866 1.46527160389789 1.62278038288261 1.85607670666744 1.99946759972672 2.07323335502691 2.09307246367329 2.14005228378773 2.18882552414411
2006-03-31 2.33237821182558 2.01043932243991 2.01043932243991 2.03522352238368 2.20112061804924 2.35581063565324 2.45851766094964 2.57528803075289 2.69633428786187 2.76528877635743 2.79770094229684 2.79770094229684 2.33237821182558 1.8521238428875 1.8521238428875 1.90296206092015 2.12240143525387 2.20892917991833 2.36478807077183 2.46830084451117 2.52059735443554 2.63298503618554 2.6498502441493 2.6498502441493 2.33237821182558 1.7492141942675 1.8787694285168 1.94435810836412 2.10013529099865 2.21484853581687 2.35026180987884 2.55882333960581 2.72363036250657 2.85575159177207 2.94951000718032 2.95139167182738 2.33237821182558 1.44523123992587 1.53444354482214 1.57263702722981 1.62775441423104 1.8006581189047 2.02950706488218 2.1396558525092 2.21274190672212 2.2504206275158 2.28629880228479 2.35147879046385
2006-06-30 2.35484675815645 2.00112954347014 2.00112954347014 2.07095573951594 2.10186476624655 2.29447584889943 2.39451545238127 2.47773406603777 2.6470564301663 2.66004164620861 2.71645424537522 2.71645424537522 2.35484675815645 1.83422479280065 1.83422479280065 1.89084699782842 2.11407033377165 2.2066222938074 2.35502839642653 2.44375623666164 2.51627612651107 2.62503691254308 2.64374368040863 2.64374368040863 2.35484675815645 1.73122761450321 1.85181610644192 1.96988513179485 2.05035521246392 2.14162530120934 2.27571473865753 2.47772502105378 2.6481060005212 2.73866679018598 2.85159169866035 2.85990832607134 2.35484675815645 1.45223513789925 1.54690260385765 1.59764077669946 1.66112499056382 1.83220107622218 2.04177871862667 2.15349179422532 2.23147212683414 2.2828220954347 2.31432144822201 2.38206409616752
2006-09-30 2.48145610236153 1.96910223886699 1.96910223886699 2.02303009835772 2.06054375882444 2.2559485301114 2.34952283334774 2.43961194883807 2.62438407445885 2.68312428718054 2.71576912477013 2.71576912477013 2.48145610236153 1.80518924271083 1.80518924271083 1.87203039046347 2.08677942181262 2.18932582193013 2.33356440155861 2.42220741980448 2.50933792752933 2.61482900009172 2.63174717544318 2.63174717544318 2.48145610236153 1.91043619248335 2.03537136257993 2.13145285735028 2.22614047912774 2.34877448282771 2.46726370141631 2.657387050289 2.84271860353645 2.94917666582538 3.03332598728625 3.03824157071281 2.48145610236153 1.6640030110996 1.75612572476726 1.83656505218244 1.87863774158889 2.06537554501835 2.22883199935612 2.35612055646366 2.45529248451926 2.51081415637313 2.54649833051782 2.62006965188733
2006-12-31 2.62299141598426 1.97408963480386 1.97408963480386 2.13178948209683 2.14661442363062 2.30029942563165 2.38714572335855 2.51244186858834 2.67429867402829 2.72756437366887 2.75174024998095 2.75174024998095 2.62299141598426 1.84084986896868 1.84084986896868 1.91834146148436 2.1303016159752 2.26610793258463 2.40356271240361 2.49729913442659 2.5796466857544 2.68815527681084 2.70532603574802 2.70532603574802 2.62299141598426 1.97656167985358 2.12188638490243 2.17662941555149 2.26594877032943 2.42763511983364 2.54511605598278 2.73372970142125 2.93823101889834 3.03326699132361 3.12618134891127 3.15106164084062 2.62299141598426 1.78495964391454 1.8972574349841 1.97271493312446 1.99922881779039 2.22870620595521 2.38932432168273 2.5333787253612 2.62402267576817 2.68915661763869 2.72782876541659 2.80124995728136
2007-03-31 2.25051269897055 2.17754470804116 2.17754470804116 2.2215195604598 2.29302861626868 2.42407621201026 2.5182352291842 2.60465427397807 2.75272446836032 2.78950426571414 2.80206978896498 2.80206978896498 2.25051269897055 1.88797080696224 1.88797080696224 1.99522023734114 2.20240234021533 2.35137917428338 2.48493296602923 2.56794487596898 2.6661050190535 2.77818428765643 2.78375121188378 2.78375121188378 2.25051269897055 1.96378856768712 2.07583407359875 2.16055340952795 2.26510082608479 2.38895486906594 2.49689578477423 2.66493009285227 2.85101556698264 2.94426886553889 3.03090377729992 3.04931141708216 2.25051269897055 1.79492869184291 1.89999130009444 1.96758037152773 2.02285725276958 2.24754132703907 2.39179849949485 2.54908813623239 2.62495626586779 2.69602211857399 2.74339680399659 2.82016493890197
2007-06-30 2.31872132705265 1.98072635554446 1.98072635554446 2.14632591073898 2.20173645605223 2.31040486862126 2.4565556198798 2.50253698481794 2.69433849817491 2.74566025506106 2.77853022934744 2.77853022934744 2.31872132705265 1.78317398064852 1.78317398064852 1.93719743020181 2.12821436564033 2.28639694998214 2.41830217345417 2.51201056087014 2.62133870826038 2.7324731193419 2.7418557721478 2.7418557721478 2.31872132705265 1.84597179871762 1.94548119160833 2.01861420342083 2.12326766260026 2.28519574986285 2.41248921377549 2.54989141366859 2.77769936278083 2.90199657488969 2.92229014932485 2.94160591742497 2.31872132705265 1.71001575757613 1.80734713924109 1.87848365901706 1.94878606975814 2.16220025012022 2.31139244494636 2.4567233976477 2.55747484486725 2.61126708452774 2.65869572128961 2.74867808302444
2007-09-30 1.86150357047822 1.90084183699702 1.90084183699702 1.979141334957 2.06676216281643 2.13425780387064 2.28075475057783 2.39717278568008 2.53264672462749 2.59356130791931 2.64086097234306 2.64086097234306 1.86150357047822 1.51651154020583 1.51651154020583 1.67835215951253 1.88061633147253 2.06267260757156 2.17881927582773 2.26498279039289 2.38889782951999 2.49159882933276 2.5038242689912 2.5038242689912 1.86150357047822 1.8407995354351 1.92143283784475 1.98039549633502 2.03582903517398 2.19282586164698 2.32020110577081 2.4529675570636 2.65015808609209 2.79772184342828 2.81866424871616 2.83998831563289 1.86150357047822 1.52822736836502 1.63979089239525 1.71621529826017 1.78671301362822 2.0075595222659 2.16196217751494 2.30598997324673 2.37245253994421 2.44128451291984 2.48751421452887 2.57902728379271
2007-12-31 1.03632530436752 1.60528860317049 1.60528860317049 1.6469689342674 1.79091934906221 1.8677618668482 1.99367611865361 2.19420122978187 2.40764264390102 2.43176823980571 2.43908429516811 2.43908429516811 1.03632530436752 1.35200386106536 1.35200386106536 1.47759383591981 1.68066042029267 1.83684526569289 1.97254578353405 2.05732630271381 2.20879360086965 2.27097286534701 2.27560488876115 2.27560488876115 1.03632530436752 1.86115287820139 1.96011463335577 2.00311510331584 2.07480343398175 2.22411215435262 2.3475592614542 2.48402734404587 2.65584871216908 2.77535672525219 2.82075218478041 2.86153686626429 1.03632530436752 1.52258752436367 1.62867604887431 1.70843482862002 1.78600647968181 1.99505333465887 2.1471083267855 2.28952910515908 2.35896868736475 2.42341026586142 2.47354642403772 2.5647248648613
2008-03-31 1.37429597168452 0.0880561927956315 0.351149750658582 0.351149750658582 1.10303325999997 1.24496324035199 1.42204227568907 1.66952222787959 2.06555640305247 2.15960902352969 2.23815678554613 2.25454432025762 1.37429597168452 0.615343082693891 0.734712862509465 0.810916573991622 0.813256845514044 1.1667985452542 1.32263653675602 1.40887631669576 1.55571508468948 1.57967297345654 1.59729321464739 1.61950500671791 1.37429597168452 1.69887403581863 1.78912169253828 1.83500858325255 1.88614315244402 2.01008832922351 2.14428104857969 2.28044194585097 2.4486592137247 2.54978730709489 2.60735929397867 2.6187623445427 1.37429597168452 1.24421523217279 1.35786430584719 1.44109311918053 1.5287355398611 1.70547750129365 1.8651773869624 2.00566000033299 2.09465224085997 2.14760903996486 2.20636178563146 2.29421937244684
2008-06-30 1.51173045446076 -0.81711117772743 -0.543646009089763 0.66804354733019 0.987177169905606 1.19270637198453 1.36620181675268 1.61319829651563 2.04291131087096 2.1550886114069 2.16275331417559 2.18138378429204 1.51173045446076 0.44817552775919 0.533787762269486 0.550964391440556 0.808297708063702 0.980168325806625 1.13781594374023 1.22704094625305 1.35166621218263 1.39610768095755 1.4017430043597 1.4269784485784 1.51173045446076 1.66141268216137 1.73889615679409 1.77345239724365 1.84686696612254 1.96401939611297 2.09720486310811 2.26371631596108 2.45127356239221 2.56841309200659 2.60236616274631 2.66593984142419 1.51173045446076 1.24508387829637 1.35816340569474 1.43905853200927 1.54042611705921 1.72345092883257 1.85165234564988 2.00353663188477 2.08482410020537 2.1453831424027 2.20712954743662 2.29301558013901
2008-09-30 1.37507423334173 -0.0775734090962213 0.313298567466282 0.98355945356687 1.22989041072671 1.37524602644754 1.54631134447359 1.70453431379675 2.01320129781206 2.088077576059 2.13356590549901 2.19089132909864 1.37507423334173 0.749399251889271 0.858641263818292 0.868121186960866 1.1269717050156 1.28370332990077 1.4307932008538 1.52669517015416 1.67445586552108 1.69760249335794 1.69898034315506 1.70829582405278 1.37507423334173 1.25832984861387 1.33029685760876 1.48012273898341 1.58292562572779 1.73510972486679 1.88451702026955 2.03236445004026 2.23192017943064 2.30157182311443 2.35900304538849 2.41399840742869 1.37507423334173 0.985056447357534 1.07796202328022 1.14964181299268 1.26086060803865 1.42829641717939 1.58034267473335 1.72778206588486 1.82052342701318 1.86771526059033 1.91182778944708 1.99115337621828
2008-12-31 1.17259263433981 -0.282601930302309 -0.128192152410211 0.603434929322679 0.778639045953684 1.06090881962394 1.29558584355757 1.49579742576197 1.6009916839863 1.78150791493132 1.86347949867998 1.89355933734974 1.17259263433981 0.436380088474985 0.459105340598702 0.470818469989261 0.745914013504167 0.928567161942109 1.04591145869837 1.15304311850087 1.30322454929997 1.3218351356339 1.34016447496869 1.34166089538058 1.17259263433981 -1.39896913105021 -0.786412274208032 -0.00253660602575487 0.595576922525374 0.935904971517345 1.22879010025192 1.49534563716601 1.69193989813872 1.79058069320897 1.90683047906528 1.95939320507195 1.17259263433981 -0.311146239947365 -0.255718000943901 -0.118737632520393 -0.0265080770047778 0.236204673363056 0.397238386734361 0.55996162770971 0.682710408815805 0.749287471139255 0.788055966112104 0.836088048304218
2009-03-31 2.41392162275975 0.319104477245088 0.390080046080484 0.880898076413636 0.920416240533162 1.11586502340466 1.34175203038293 1.53944554968426 1.83813318042563 2.00765929526275 2.0265868821769 2.05517415172806 2.41392162275975 0.733194546390672 0.835867275185308 0.848937147207709 1.09108118715702 1.26202130096719 1.39631278236111 1.49499139528484 1.64463897886675 1.67225808024996 1.68349855494286 1.69706164728529 2.41392162275975 -0.631570863560967 -0.236051812072069 0.161585274870122 0.737179938193995 1.13704837088942 1.486211055641 1.73347840417509 1.97366050368533 2.08270735798233 2.20248186364172 2.25451323540975 2.41392162275975 0.377780286427012 0.422697434012368 0.55131058962753 0.663537035023492 0.910338785950692 1.07315209394044 1.23495737734852 1.38300621844448 1.44325601132283 1.47508852679062 1.51583111309158
2009-06-30 2.42422243974445 0.833263696198671 1.05892742876823 1.64645708666378 1.74566651454492 2.00998590701783 2.2295014421195 2.36949949087152 2.52843740363246 2.6321189797104 2.72465923913888 2.7972456071291 2.42422243974445 1.75948176761503 1.90257881342697 1.91083749753264 2.12091885497095 2.32915373857747 2.42305774776863 2.52382074688271 2.68412667107761 2.72973956390251 2.74806301847509 3.05636860446874 2.42422243974445 0.0447242313542967 0.548468838763657 0.773270139055544 1.03586148211431 1.37303540208981 1.64800872680972 1.83206238727514 2.08966762390492 2.18147828510969 2.30580962956972 2.39688666457396 2.42422243974445 0.968092117991898 1.06468714798757 1.16646432260592 1.32642438157539 1.54371742082822 1.70097417047674 1.85039217108183 1.96572931845023 2.03296377359721 2.06659369732874 2.13284524736775
2009-09-30 2.27183325240232 1.8953526322497 2.06038561549496 2.09014709802386 2.13644353901926 2.30875390333789 2.49246616023533 2.63907895401861 2.78086677933752 2.99378336810286 3.06356995450457 3.10207873325756 2.27183325240232 2.22039864617139 2.34927616152839 2.35562166079418 2.52582247068646 2.77912605095794 2.87125504370056 2.98527510604155 3.13140696760022 3.18624287958091 3.1996645735062 3.48381566837417 2.27183325240232 0.409302398658717 0.744587340766442 0.966083444475619 1.23922295021965 1.4963232723244 1.72093855335732 1.90946833687658 2.13392873816863 2.22688422751487 2.36010304468379 2.40961920549807 2.27183325240232 1.31073999847739 1.39014062535378 1.48295323063764 1.61697413185598 1.87774272825075 2.03470458093005 2.18884356341333 2.29209884130807 2.35452719996581 2.41777811261236 2.46248055836329
2009-12-31 1.8990471467726 1.5718592489426 1.63334451542788 2.00463409515458 2.05542231506463 2.14857296330301 2.29477796089729 2.45153629461545 2.59028557019503 2.65167812926245 2.68055453159782 2.72450344799402 1.8990471467726 1.69171306099094 1.80779352217496 1.8344149846734 1.98034364664024 2.26558999864448 2.34013361546073 2.49727675663519 2.65217879799335 2.68765049993582 2.71209918240598 3.0435072687461 1.8990471467726 0.320495047094222 0.718318201655621 0.981829607678732 1.22283188510543 1.48467686145436 1.67434223242209 1.88968476646196 2.12882531964121 2.22071726572989 2.3090451201985 2.48955122021244 1.8990471467726 1.20608163246573 1.27524861160865 1.38044694592479 1.50621811255379 1.78512165609317 1.95100701781507 2.11942979599169 2.24158846139036 2.2921244911153 2.33803299596584 2.4041724640581
2010-03-31 2.36350771233977 1.29377813979837 1.34534766719215 1.59007870958641 1.75041402149354 1.9259892851781 2.00096170603596 2.13872492821942 2.26796659622137 2.30249202753898 2.3044389502891 2.3536107184749 2.36350771233977 1.28963950024787 1.44052082508494 1.44628918597322 1.54846933534205 1.878981315136 1.97869673277869 2.14033476040918 2.29381834100045 2.33679520933285 2.35594378142169 2.71869864722401 2.36350771233977 1.38509611665963 1.60398290439515 1.740059693839 1.86668583431455 2.10687528643568 2.3286678072367 2.50285370285206 2.73149872380505 2.86033135353837 2.90045255643241 2.95953093707522 2.36350771233977 1.7943834065369 1.9072264339058 2.03642793660334 2.14323625421706 2.36058010470608 2.54112543698403 2.72297233972859 2.8926518434997 2.97283484311275 3.12687776339952 3.31327809085564
2010-06-30 1.98379978139864 1.37464565910015 1.52490046736598 1.57112507392177 1.78268787626033 1.97012901331733 2.10104489528387 2.21215637076021 2.26533138082694 2.32393295990558 2.35026166730016 2.38316419203649 1.98379978139864 1.20095391395348 1.37273965450816 1.37866654594364 1.49702028374511 1.82494728544244 1.92417157935701 2.07408505318241 2.23352674084012 2.26835056903101 2.30341876158028 2.63732635063262 1.98379978139864 1.46329275885914 1.57637841696099 1.73717118570965 1.87959325004209 2.05828117767759 2.2385557276059 2.407671006365 2.60331475170794 2.67491757224923 2.76699773938881 2.83175845953581 1.98379978139864 1.54532842764577 1.62651134254023 1.74427356465238 1.85989372768215 2.08823664686391 2.26629445079204 2.4218006938884 2.59783703237924 2.6866432196778 2.80765850103577 2.97699953045388
2010-09-30 2.05664388150932 1.48420624435072 1.49412530777718 1.61824125085956 1.7030998186963 1.94119860252458 2.00419857335954 2.16242335382492 2.24506441796817 2.29773399165005 2.3279038459905 2.34797549598166 2.05664388150932 1.30820855557711 1.48265434607806 1.48892838884626 1.57989397834891 1.92730883208789 2.06669815416183 2.18773826415687 2.34618278061712 2.38598636787508 2.40846017148164 2.72983131152273 2.05664388150932 1.37366561998769 1.3998923208387 1.52366417453863 1.64516888676536 1.79928586996604 1.96100932744043 2.12601064492215 2.26649907074885 2.32904360714681 2.39560450789717 2.44588879842146 2.05664388150932 1.19541400525932 1.25001280587734 1.35802360409224 1.47554829271375 1.7336169647067 1.92241278485179 2.09679934062637 2.2577340001085 2.3395554756546 2.44083980106241 2.6937914759591
2010-12-31 2.04481386077331 1.47785915821897 1.48903552338992 1.68201448924556 1.81190543646059 1.96084130778401 2.16266323817418 2.25229497650148 2.30223375679575 2.43256938219085 2.45755290668864 2.48342119535469 2.04481386077331 1.36222873916494 1.54350253549656 1.55601389110268 1.67625744201384 1.99421241200133 2.12220276452646 2.24749337206278 2.39185080349417 2.44443510994074 2.45604867445218 2.78104666661848 2.04481386077331 1.19176004465531 1.23939848103195 1.34912587966816 1.50534115606009 1.63863314636893 1.78619103364425 1.94636406035306 2.06140489660434 2.13629542135705 2.20901867509206 2.27718679448225 2.04481386077331 1.05816682212962 1.10174463330939 1.20309356181817 1.32869034379354 1.58239364781643 1.79741721745778 1.96198040217425 2.13564194057537 2.20602097324419 2.30702378855955 2.60660700633941
2011-03-31 1.6484768769965 1.40001506681379 1.45674085721245 1.58651729592987 1.70881420112554 1.92525224754379 2.03012038397326 2.13683316732125 2.22339732156715 2.31443513443969 2.31754160517503 2.35462150891991 1.6484768769965 1.23507946742948 1.40822929452663 1.42568540212878 1.53443436696604 1.86528453394107 1.95822849919831 2.09974701800539 2.26151148290877 2.31066049170086 2.31145490273671 2.64889480211915 1.6484768769965 1.363609446676 1.47657703722796 1.57486938411779 1.7046499489981 1.86842063514097 2.02627981095895 2.17897648242484 2.29745844245786 2.37314435288632 2.45142936261799 2.53374097924654 1.6484768769965 1.16726713162229 1.24537298631363 1.33743430786967 1.43637707553967 1.70764006342583 1.88536791294217 2.0694716611073 2.22060861013771 2.28641148809549 2.42100902851249 2.66831903144223
2011-06-30 1.03163076907724 1.27471030170568 1.3462979386761 1.38498064297058 1.49433163194675 1.73335027812587 1.8320213021206 1.93204617520206 2.05703736742013 2.12802669639139 2.20269868881091 2.20676897038574 1.03163076907724 1.0925420687867 1.26213029825264 1.2782944308535 1.38349029296895 1.71964973333724 1.80759715012332 1.96180402119244 2.11165191927599 2.16774545227802 2.16807689842774 2.50092894686832 1.03163076907724 1.34107499726293 1.46874187024083 1.57977170614365 1.7230255224702 1.87993977980575 2.04868143194208 2.19920538397095 2.32072215268525 2.40310408813197 2.47980635068932 2.54281067231754 1.03163076907724 1.23651437460876 1.29166117839264 1.39959656668776 1.51907049614284 1.78661123079869 1.96305561614945 2.15010667644785 2.3070729992616 2.37050376700122 2.48638488053283 2.71112185836395
2011-09-30 1.63773983108627 0.607046764134847 0.668864177833218 0.768238153348066 0.938529144035774 1.17266836138988 1.29246955667759 1.4400249634896 1.51116450973334 1.54852055124528 1.55962736016185 1.64878890896951 1.63773983108627 0.507625140687129 0.552428296243146 0.707884944866794 0.806595312723174 1.13091711051346 1.22823136358899 1.39183452992432 1.52479693413344 1.59879451729871 1.60005303489028 1.91473107893971 1.63773983108627 1.30617153973566 1.36394317233573 1.46699462839468 1.5769376045431 1.75288772637593 1.93140021342843 2.06816700180817 2.18068509783756 2.25829565375695 2.33151612927339 2.37265403628761 1.63773983108627 1.06649871235245 1.12086284779403 1.23419601293578 1.34278767079741 1.61243348410606 1.77320528184575 1.96633710443609 2.10930495653768 2.17830144661758 2.28439036557099 2.5083241545014
2011-12-31 1.60303603804442 0.516968895380228 0.588691114523407 0.652432551898481 0.87345269691608 1.15568014374856 1.29574270046944 1.46848424595239 1.50812664494495 1.58877973901878 1.61683161999179 1.66001655796152 1.60303603804442 0.577194220058145 0.602993071822168 0.770514274154016 0.862883086984012 1.17913456940218 1.29528304665053 1.45030195738873 1.59705460149281 1.64987577430212 1.65359530234333 1.94373235868504 1.60303603804442 0.891487640647805 0.994018067831445 1.14628880736898 1.25991028248315 1.46503552796911 1.63683931569685 1.80058481172143 1.92528618303458 2.03132484226356 2.07984601006833 2.14648050642832 1.60303603804442 0.86964614645562 0.915859304297964 1.03398680392256 1.14740856522365 1.41422228473877 1.57060628757052 1.74684414602856 1.9001227191447 1.9746967746011 2.07233344778496 2.30541946438936
Return to Figure 5

Figure 6 Data

Date FE-QAR Net charge-offs: Actual FE-QAR Net charge-offs:1st percentile FE-QAR Net charge-offs:5th percentile FE-QAR Net charge-offs:10th percentile FE-QAR Net charge-offs:25th percentile FE-QAR Net charge-offs:Forecasted median FE-QAR Net charge-offs:75th percentile FE-QAR Net charge-offs:90th percentile FE-QAR Net charge-offs:95th percentile FE-QAR Net charge-offs:99th percentile FE-QAR Net charge-offs:Actual FE-QAR Net charge-offs:1st percentile FE-OLSNet charge-offs: 5th percentile FE-OLSNet charge-offs:10th percentile FE-OLSNet charge-offs:25th percentile FE-OLSNet charge-offs:Forecasted median FE-OLSNet charge-offs:75th percentile FE-OLSNet charge-offs:90th percentile FE-OLSNet charge-offs:95th percentile FE-OLSNet charge-offs:99th percentile FE-OLSNet charge-offs:Actual FE-OLSNet charge-offs:1st percentile FE-OLSNet charge-offs:5th percentile FE-OLSNet charge-offs:10th percentile FE-QAR Pre-provision net revenue:25th percentile FE-QAR Pre-provision net revenue:Forecasted median FE-QAR Pre-provision net revenue:75th percentile FE-QAR Pre-provision net revenue:90th percentile FE-QAR Pre-provision net revenue:95th percentile FE-QAR Pre-provision net revenue:99th percentile FE-QAR Pre-provision net revenue:Actual FE-QAR Pre-provision net revenue:1st percentile FE-QAR Pre-provision net revenue:5th percentile FE-QAR Pre-provision net revenue:10th percentile FE-QAR Pre-provision net revenue:25th percentile FE-QAR Pre-provision net revenue:Forecasted median FE-OLS Pre-provision net revenue: 75th percentile FE-OLS Pre-provision net revenue: 90th percentile FE-OLS Pre-provision net revenue: 95th percentile FE-OLS Pre-provision net revenue: 99th percentile
2007-03-31 0.730229732961578                   0.730229732961578                   2.25051269897055                   2.25051269897055                  
2007-06-30 0.736657332942995                   0.736657332942995                   2.31872132705265                   2.31872132705265                  
2007-09-30 0.812936142797198                   0.812936142797198                   1.86150357047822                   1.86150357047822                  
2007-12-31 1.05994774704831                   1.05994774704831                   1.03632530436752                   1.03632530436752                  
2008-03-31 1.41858437367461                   1.41858437367461                   1.37429597168452                   1.37429597168452                  
2008-06-30 1.81896148803033                   1.81896148803033                   1.51173045446076                   1.51173045446076                  
2008-09-30 2.0484337592365                   2.0484337592365                   1.37507423334173                   1.37507423334173                  
2008-12-31 2.52531171505133                   2.52531171505133                   1.17259263433981                   1.17259263433981                  
2009-03-31 2.5508532461417                   2.5508532461417                   2.41392162275975                   2.41392162275975                  
2009-06-30 3.26902343966297                   3.26902343966297                   2.42422243974445                   2.42422243974445                  
2009-09-30 3.61155857578056                   3.61155857578056                   2.27183325240232                   2.27183325240232                  
2009-12-31 3.63256384078538                   3.63256384078538                   1.8990471467726                   1.8990471467726                  
2010-03-31 4.46850874527685                   4.46850874527685                   2.36350771233977                   2.36350771233977                  
2010-06-30 3.93284542621081                   3.93284542621081                   1.98379978139864                   1.98379978139864                  
2010-09-30 3.64403620406217                   3.64403620406217                   2.05664388150932                   2.05664388150932                  
2010-12-31 3.32360230834487                   3.32360230834487                   2.04481386077331                   2.04481386077331                  
2011-03-31 2.90565205214102                   2.90565205214102                   1.6484768769965                   1.6484768769965                  
2011-06-30 2.54335243783967                   2.54335243783967                   1.03163076907724                   1.03163076907724                  
2011-09-30 2.24244700222204                   2.24244700222204                   1.63773983108627                   1.63773983108627                  
2011-12-31   1.93237095379311 1.96666114889072 2.01155610926808 2.07421751559664 2.21157568340823 2.38151041999428 2.54646944010327 2.69037555439736 2.76260632450763   1.96681270998789 2.04882729347633 2.05699481262189 2.11153396057816 2.22946834631785 2.30952678812867 2.4395685437387 2.45617719519885 2.83456540375485   0.586450704590464 0.718127645231486 0.884107000126364 1.17857492647479 1.29797630167785 1.42936644465585 1.56046555352861 1.5708334981551 1.67310482268058   0.470510947375953 0.689210595688772 0.778375393416975 1.12166212518855 1.23056366775796 1.37871809368236 1.52545700654681 1.57815895157255 1.86523921312653
2012-03-31   1.97370996180906 2.04508201594936 2.12457480183196 2.23974264380018 2.41137028764726 2.61590871847505 2.91274412019319 2.99031729643946 3.25555519539504   2.23743217126862 2.26074161319545 2.26300349293521 2.37330563561899 2.49114293745075 2.61621048135176 2.72637570008654 2.77595709293105 3.11095532671015   0.118698986553169 0.558452682564471 0.751168635372308 1.00138758956512 1.1399531475208 1.30237559458431 1.41419543022409 1.54346394246918 1.67783879720926   0.317580612496578 0.623715706789219 0.730889870373053 1.02380852696113 1.1832349907721 1.35782647630172 1.50227234599685 1.55823314980482 1.89415831085516
2012-06-30   2.05518782514324 2.15889432412887 2.24045293448475 2.38958489176027 2.59639855278286 2.89343270748226 3.15794612105035 3.41575498899725 3.58946766684003   2.42928137330058 2.46438991152759 2.50539262941626 2.60925042476852 2.76112927091708 2.89519069959713 2.99492182302079 3.05391161698281 3.46222695686698   0.301810381773948 0.677768550300046 0.803470235994922 1.04185657014351 1.26253011534318 1.46505286732175 1.62276876285462 1.75487691174219 2.33917976435844   0.546302643564366 0.778371933810489 0.971647019181788 1.23568165482334 1.41792066509847 1.63722569095899 1.78266327212481 1.83514369015381 2.1263955195992
2012-09-30   2.24363449360569 2.35594724368476 2.44390231518383 2.60691775865797 2.88798788472197 3.22456043845653 3.59723166242343 3.748249450679 4.09125712781797   2.73272045268053 2.78448270494159 2.83207560964286 2.9536116603206 3.11662671052988 3.24239482117321 3.35953383755264 3.42226119253812 3.78086592202037   0.355914881778668 0.612549048712383 0.718786724448006 0.978468332059297 1.21495989403836 1.43445640099633 1.60005030611105 1.80432234745753 2.20388758379592   0.57047931494383 0.769917500122302 0.93889650900392 1.22373881282478 1.44024521522373 1.63017079921022 1.7852163870067 1.86477098966233 2.16290322018818
2012-12-31   2.38419178102289 2.50282012745759 2.58647571400948 2.7870475908789 3.09149069850008 3.47855032353279 3.83943992034479 4.01977197218742 4.30474345517902   2.94567819816157 2.99453913039081 3.05841534715807 3.18256918229087 3.35351057501955 3.49845304452004 3.61776725525909 3.70384343795222 4.05507384571052   0.327719514663166 0.60329114883847 0.779849041855231 1.01403946997161 1.23841117138917 1.50085502593193 1.71632213843369 1.88850880558005 2.38793455126542   0.728687999557226 0.961969259264602 1.12761799197593 1.37836961385853 1.59429422989312 1.76839681113057 1.93087246987196 2.0193414736767 2.32501516484976
2013-03-31   2.41712371420977 2.54837111847311 2.6385825159231 2.85870606696081 3.17786003500773 3.58405472791345 3.93724716765652 4.12805351007103 4.44109466463228   2.99060237522354 3.06106487423151 3.10984809363964 3.25221112913492 3.42517443793373 3.56689145978171 3.69465238926833 3.77842972126017 4.13725064856273   0.299377602085783 0.590482883458577 0.747435655776638 1.02858176693802 1.240869858443 1.49531185307226 1.7346898821231 1.90105833965544 2.34740385820313   0.783582828578684 0.997400649026005 1.17961893241623 1.439677345637 1.65131440533752 1.83520842397855 1.99551111504331 2.10465310845503 2.38923063926799
2013-06-30   2.38696861197647 2.50969873372407 2.61056816874417 2.84025142746566 3.17982911075748 3.58223204268704 3.91389451134665 4.14983814459583 4.4967959553016   2.9278159143139 2.99854828780751 3.06629582571045 3.20820404206619 3.37635807986003 3.52558858493098 3.66082625102778 3.73834667888123 4.09106025714105   0.227827257115245 0.547537032846469 0.701159697853419 0.975150871018529 1.21601804548014 1.47324557178871 1.68906602858027 1.8662935743775 2.24655175628951   0.765773860773358 0.995885091945734 1.15097937685207 1.42339099593217 1.65022776694637 1.83683815425952 1.99579597138721 2.09555579890062 2.39040616001912
2013-09-30   2.25912025358037 2.39243812403557 2.50474930188544 2.73973107780486 3.07627886983715 3.47507837243719 3.81396829628839 4.02991381645983 4.37464275617213   2.76340044564559 2.84512914258713 2.91098811759339 3.04846075272163 3.22020035416495 3.36612920770517 3.50849312880605 3.5818230258075 3.91495030573828   0.167470378985407 0.50895326849592 0.673812839975881 0.936767840741349 1.19048590385377 1.44064318597784 1.65283535421335 1.82752935158439 2.18270284765524   0.752371237241505 0.986572141626947 1.15123266134717 1.41615960998462 1.64152323436925 1.82454733946427 1.99249568258594 2.0995153951561 2.38146342375136
2013-12-31   2.08165254614564 2.2235896351436 2.3339045602053 2.57257880720312 2.90333170401358 3.29582519935594 3.62574146697286 3.85830351851155 4.22256223600476   2.5172657050878 2.60966464067319 2.67796397730819 2.81371756175307 2.98568549351873 3.13444296202724 3.26950024011081 3.35491455011485 3.66797912548645   0.12355634908027 0.474109806908118 0.648655065086809 0.90907047614165 1.15889232483503 1.40259703645522 1.59973029527282 1.77486699029245 2.10597028219464   0.730297031390188 0.969028322005643 1.11855551683061 1.38627789881847 1.60738077594646 1.79336023228499 1.96560274796657 2.06091928505093 2.33961096797828
Return to Figure 6
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Last update: March 10, 2014