u.s. monetary policy and the dollar roberto chang february 2012
TRANSCRIPT
U.S. Monetary Policy and the Dollar
Roberto ChangFebruary 2012
80
100
120
140
160
180
200
220
Jan-00Jan-01
Jan-02Jan-03
Jan-04Jan-05
Jan-06Jan-07
Jan-08Jan-09
Jan-10
USA: Real Estate Price Index(S&P/Case-Shiller 20 City Composite Index)Source: MacroMarkets
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
6/28/2000
12/28/2000
6/28/2001
12/28/2001
6/28/2002
12/28/2002
6/28/2003
12/28/2003
6/28/2004
12/28/2004
6/28/2005
12/28/2005
6/28/2006
12/28/2006
6/28/2007
12/28/2007
6/28/2008
12/28/2008
6/28/2009
12/28/2009
US: Federal Funds Rate (Percentage)Source: FRED, St. Louis Fed
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
6/28/2000
12/28/2000
6/28/2001
12/28/2001
6/28/2002
12/28/2002
6/28/2003
12/28/2003
6/28/2004
12/28/2004
6/28/2005
12/28/2005
6/28/2006
12/28/2006
6/28/2007
12/28/2007
6/28/2008
12/28/2008
6/28/2009
12/28/2009
US: Federal Funds Rate (Percentage)Source: FRED, St. Louis Fed
60
70
80
90
100
110
120
6/26
/200
0
12/2
6/20
00
6/26
/200
1
12/2
6/20
01
6/26
/200
2
12/2
6/20
02
6/26
/200
3
12/2
6/20
03
6/26
/200
4
12/2
6/20
04
6/26
/200
5
12/2
6/20
05
6/26
/200
6
12/2
6/20
06
6/26
/200
7
12/2
6/20
07
6/26
/200
8
12/2
6/20
08
6/26
/200
9
12/2
6/20
09
Trade Weighted U.S. Dollar IndexFuente: FRED, St. Louis Fed
Figure 4.10 U.S.–Eurozone Interest Rates and Exchange Rates, 1999–2004Feenstra and Taylor: International Macroeconomics, Second EditionCopyright © 2012 by Worth Publishers
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
Jan-
99
Jul-9
9
Jan-
00
Jul-0
0
Jan-
01
Jul-0
1
Jan-
02
Jul-0
2
Jan-
03
Jul-0
3
Jan-
04
Jul-0
4
Jan-
05
Jul-0
5
Jan-
06
Jul-0
6
Real Interest Rates, 1999-2006
10-Year 3-7/8% Treasury Inflation-Indexed Note. Source: FRED, Federal Reserve Bank of St. Louis
-1
0
1
2
3
4
5
1/3/2006
5/3/2006
9/3/2006
1/3/2007
5/3/2007
9/3/2007
1/3/2008
5/3/2008
9/3/2008
1/3/2009
5/3/2009
9/3/2009
1/3/2010
5/3/2010
TED Spread (LIBOR Versus T-Bill, percentage points)
Northern Rock
Bear Stearns
Lehman
0
500000
1000000
1500000
2000000
2500000
2004
-01
2004
-06
2004
-11
2005
-04
2005
-09
2006
-02
2006
-07
2006
-12
2007
-05
2007
-10
2008
-03
2008
-08
2009
-01
2009
-06
2009
-11
2010
-04
Total
Asset Backed
Financial, Non Asset Backed
Non Financial, Non Asset Backed
Commercial Paper Market(Millions US$)
-4.0
-2.0
0.0
2.0
4.0
6.0
8.0
Jan-
05
Apr-0
5
Jul-0
5
Oct-05
Jan-
06
Apr-0
6
Jul-0
6
Oct-06
Jan-
07
Apr-0
7
Jul-0
7
Oct-07
Jan-
08
Apr-0
8
Jul-0
8
Oct-08
Jan-
09
Apr-0
9
Jul-0
9
Oct-09
Jan-
10
US: GDP Growth (% last 12 months)Source: FRED, St. Louis Fed
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
6/28/2000
12/28/2000
6/28/2001
12/28/2001
6/28/2002
12/28/2002
6/28/2003
12/28/2003
6/28/2004
12/28/2004
6/28/2005
12/28/2005
6/28/2006
12/28/2006
6/28/2007
12/28/2007
6/28/2008
12/28/2008
6/28/2009
12/28/2009
US: Federal Funds Rate (Percentage)Source: FRED, St. Louis Fed
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
6/28/2000
12/28/2000
6/28/2001
12/28/2001
6/28/2002
12/28/2002
6/28/2003
12/28/2003
6/28/2004
12/28/2004
6/28/2005
12/28/2005
6/28/2006
12/28/2006
6/28/2007
12/28/2007
6/28/2008
12/28/2008
6/28/2009
12/28/2009
US: Federal Funds RateSource: FRED, St. Louis Fed
0
500000
1000000
1500000
2000000
2500000
28-Apr-07 14-Nov-07 1-Jun-08 18-Dec-08 6-Jul-09 22-Jan-10 10-Aug-10 26-Feb-11
Federal Reserve: Total Assets(Millions of US$)Source: Board of Governors
Selected Federal Reserve Assets(Billions of US$)Source: Board of Governors
0
500000
1000000
1500000
2000000
2500000
2008
-01-
02
2008
-03-
19
2008
-06-
04
2008
-08-
20
2008
-11-
05
2009
-01-
21
2009
-04-
08
2009
-06-
24
2009
-09-
09
2009
-11-
25
2010
-02-
10
2010
-04-
28
2010
-07-
14
2010
-09-
29
Securities held outright
Federal Agency Debt
Mortgage Backed
Treasuries
0
200000
400000
600000
800000
1000000
1200000
1400000
1600000
28-Apr-07
14-Nov-07
1-Jun-08 18-Dec-08
6-Jul-09 22-Jan-10
10-Aug-10
26-Feb-11
All Liquidity Facilities*
Term Auction Credit
Commercial Paper Funding Facility
Central Bank Liquidity Swaps
Term Asset-Backed Securities LoanFacility
Emergency Liquidity Programs(Billions of US$)
0
500000
1000000
1500000
2000000
2500000
2007
-01-
03
2007
-02-
28
2007
-04-
25
2007
-06-
20
2007
-08-
15
2007
-10-
10
2007
-12-
05
2008
-01-
30
2008
-03-
26
2008
-05-
21
2008
-07-
16
2008
-09-
10
2008
-11-
05
2008
-12-
31
2009
-02-
25
2009
-04-
22
2009
-06-
17
2009
-08-
12
2009
-10-
07
2009
-12-
02
2010
-01-
27
2010
-03-
24
2010
-05-
19
Federal Reserve: Securities Held(Billions US$)Source: Board of Governors
Total
T BillsMortgage Backed Securities Freddie, Fannie
0
200000
400000
600000
800000
1000000
1200000
1400000
28-Apr-07 14-Nov-07 1-Jun-08 18-Dec-08 6-Jul-09 22-Jan-10 10-Aug-10 26-Feb-11
Cash in Circulation
Bank Reserves
Treasury Deposits
Pasivos de la Reserva Federal(Millones de US$)
Unnumbered Figure 4.1 A broken transmission: the Fed’s extraordinary interventions did little to change private credit market interest rates in 2008–2009Feenstra and Taylor: International Macroeconomics, Second EditionCopyright © 2012 by Worth Publishers