What Remains of Milton Friedman's Monetarism?
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- Figure 5 M1 Step Function and Recessions: 1946-1981
- Figure 6 Real Output Growth and M1 Step Function: 1963 to 1981
- Figure 7 Real Output Growth: 1982 to 2014
- Figure 8 Real Personal Consumption Expenditures and Cycle Trend: 1960 to 1982
- Figure 9 Real Personal Consumption Expenditures and Cycle Trend: 1981 to 2014
- Figure 10 The One-Year Market Interest Rate on Government Securities and the Corresponding Real Rate of Interest: 1946 to 1969
- Figure 11 Real Treasury Bill and Commercial Paper Rates
- Figure 12 Output Gap and Real Rates of Interest
- Figure 13 Deviation of Real PCE from Cycle Trend, Real Interest Rate, and Inflation: 1966-1982
- Figure 14 Deviation of Real PCE from Cycle Trend, Real Interest Rate, and Inflation: 1983-2009
- YoY % Change YoY % Change Figure 15 Headline and Core PCE Inflation
- Figure 16 Real Price of Oil
- Figure 17 Real Personal Disposable Income and Expenditures
- Figure 18 Term Structure of Interest Rates: 3-month and 6-month
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1946
1948 1950
1952 1954
1956 1958
1960 1962
1964 1966
1968 1970
1972 1974
1976 1978
1980 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 Figure 5 M1 Step Function and Recessions: 1946-1981 Notes: Series are a three-month moving average of the annualized monthly money growth rates and a step function fitted to monthly annualized growth rates of money. Data on money (M1) from January 1946 to December 1958 from Friedman & Schwartz (1970). From January 1959 to December 1980 data from Board of Governors. January 1981 to December 1981 M1 is "shift-adjusted M1" (Bennett 1982). Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Percent
Percent 1963
1964 1965
1966 1967
1968 1969
1970 1971
1972 1973
1974 1975
1976 1977
1978 1979
1980 1981
-6 -4 -2 0 2 4 6 8 10 -6 -4 -2 0 2 4 6 8 10 Percent Percent
Figure 6 Real Output Growth and M1 Step Function: 1963 to 1981 M1 Step
Real Output Growth Quarterly annualized Real GDP Notes: The M1 steps are an average of the annualized quarterly M1 growth rates. In 1981, M1 is "shift adjusted" (Bennett 1982). Real output growth is 4-quarter percentage changes in real GDP. Quarterly annualized real GDP is annualized quarterly growth rates. Shaded areas indicate NBER recessions. Heavy tick marks indicate fourth quarter.
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1982 1984 1986
1988 1990
1992 1994
1996 1998
2000 2002
2004 2006
2008 2010
2012 2014
-6 -4 -2 0 2 4 6 8 10 -6 -4 -2 0 2 4 6 8 10 Percent Percent
Figure 7 Real Output Growth: 1982 to 2014 Real Output Growth Quarterly annualized Real GDP Notes: Real output growth is 4-quarter percentage changes in real GDP. Quarterly annualized real GDP is quarterly annualized growth rates. Shaded areas indicate NBER recessions. Heavy tick marks indicate fourth quarter. Source: Haver Analytics. 1960
1962 1964
1966 1968
1970 1972
1974 1976
1978 1980
1982 -10
-5 0 5 10 15 20 25 30 35 40 45 50 -10 -5 0 5 10 15 20 25 30 35 40 45 50 Figure 8 Real Personal Consumption Expenditures and Cycle Trend: 1960 to 1982 Cycle Trend Real PCE Notes: Observations are the natural logarithm of monthly observations of real personal consumption expenditures normalized using the value at the prior business cycle peak. Trend lines are fitted to these observations between peaks in the business cycle. The trend lines are extended through the subsequent recession. Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Source Haver Analytics. Percent Percent 3.1% 4.8% 3.6% 26
1981 1983
1985 1987
1989 1991
1993 1995
1997 1999
2001 2003
2005 2007
2009 2011
2013 -10
-5 0 5 10 15 20 25 30 35 40 45 -10 -5 0 5 10 15 20 25 30 35 40 45
Real Personal Consumption Expenditures and Cycle Trend: 1981 to 2014 Cycle Trend Real PCE Notes: Observations are the natural logarithm of monthly observations of real personal consumption expenditures normalized using the value at the prior business cycle peak. Trend lines are fitted to these observations between peaks in the business cycle. The trend lines are extended through the subsequent recession. Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Source: Haver Analytics. Percent Percent 4.2% 3.8% 3.2% 1.7% 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 -4 -2 0 2 4 6 8 10 -4 -2 0 2 4 6 8 10 Market Interest Rate Real Interest Rate Percent
Percent Figure 10 The One-Year Market Interest Rate on Government Securities and the Corresponding Real Rate of Interest: 1946 to 1969 Notes: The market rate of interest is monthly observations of the yield on U.S. government securities from "Short-Term Open Market Rates in New York City" in Board of Governors (1976), Banking and Monetary Statistics, 1941-1970. Through July 1959 the series uses "9- to 12- month issues." Thereafter, it uses "one-year Treasury bills." The series for the real rate of interest is the market rate minus predicted CPI inflation from the Livingston Survey. Observations of predicted inflation are biannual and are for the months of May and November. See notes to Figure 4.4 (Hetzel 2008). Shaded areas indicate NBER recessions. Heavy tick marks indicate the November observation of the market interest rate. 27
1966 1967
1968 1969
1970 1971
1972 1973
1974 1975
1976 1977
1978 1979
1980 1981 1982 -4 -2
2 4 6 8 10 12 -4 -2 0 2 4 6 8 10 12 Figure 11 Real Treasury Bill and Commercial Paper Rates Real TBR
Real CPR 1983
1984 1985
1986 1987
1988 1989
1990 1991
1992 1993
1994 1995
1996 1997
1998 1999
2000 -4 -2 0 2 4 6 8 10 12 -4 -2 0 2 4 6 8 10 12 -4 -2 0 2 4 6 8 10 12 -4 -2 0 2 4 6 8 10 12 2001
2002 2003
2004 2005
2006 2007
2008 2009
2010 2011
Notes: The real interest rate series is either the Treasury bill rate or the commercial paper rate minus the inflation forecast made by the staff of the Board of Governors in the Greenbook (later Tealbook). For a description of the series, see "Appendix: Real Rate of Interest." Shaded areas indicate NBER recessions. Heavy tick marks indicate December FOMC meeting. Percent
Percent 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 -9 -7 -5 -3 -1 1 3 5 7 9 11 -9 -7 -5 -3 -1 1 3 5 7 9 11
Output Gap and Real Rates of Interest Output Gap Treasury Bill Real Interest Rate Commercial Paper Real Interest Rate Notes: The output gap is the logarithm of real final sales to domestic purchasers minus the logarithm of potential output measured by the Congressional Budget Office. The real interest rate series are the commercial paper rate or the Treasury bill rate minus core inflation forecasts made by the staff of the Board of Governors before FOMC meetings. For a description of the series, see "Appendix: Real Rate of Interest." Shaded areas indicate NBER recessions. Heavy tick marks indicate fourth quarter. Percent
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1966 1968
1970 1972
1974 1976
1978 1980
1982 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 Figure 13 Deviation of Real PCE from Cycle Trend, Real Interest Rate, and Inflation: 1966-1982 Deviation of Real PCE from Cycle Trend Real Interest Rate Inflation Notes: Deviation of Real PCE from Cycle Trend is the difference between the actual values and trend lines shown in Figure 8. Inflation is twelve-month percentage changes in the personal consumption expenditures deflator. The Real Interest Rate is the commercial paper rate minus inflation forecasts made by the staff of the Board of Governors shown in Figure 11. Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Source: Inflation data from Haver Analytics. Percent
Percent 1984
1986 1988
1990 1992
1994 1996
1998 2000
2002 2004
2006 2008
-10 -8 -6 -4 -2 0 2 4 6 8 10 -10 -8 -6 -4 -2 0 2 4 6 8 10 Figure 14 Deviation of Real PCE from Cycle Trend, Real Interest Rate, and Inflation: 1983-2009 Deviation of Real PCE from Cycle Trend Real Interest Rate Inflation Notes: Deviation of Real PCE from Cycle Trend is the difference between the actual values and trend lines shown in Figure 9. Inflation is twelve- month percentage changes in the personal consumption expenditures deflator. The Real Interest Rate is the commercial paper rate minus the inflation forecasts made by the staff of the Board of Governors shown in Figure 11. Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Source: Inflation data from Haver Analytics. Percent
Percent 29
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0 0.5
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84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 YoY % Change YoY % Change Figure 15 Headline and Core PCE Inflation Headline PCE Core PCE Notes: Data are monthly observations of 12-month percentage changes for the personal consumption expenditures (PCE) deflator and the core PCE deflator, which excludes food and energy. Shaded areas are NBER recessions. Tick marks indicate December. Data from Haver Analytics. 1997
1998 1999
2000 2001
2002 2003
2004 2005
2006 2007
2008 2009
2010 2011
2012 2013
2014 0 10 20 30 40 50 60 70 80 90 100 110 120
130 140
0 10 20 30 40 50 60 70 80 90 100
110 120
130 140
Figure 16 Real Price of Oil 2009 Dollars 2009 Dollars Notes: Monthly observations of the West Texas intermediate crude oil spot price per barrel deflated by the personal consumption expenditures price index. Data from the Wall Street Journal and Commerce Department via Haver Analytics. Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Notes: Monthly observations of the West Texas intermediate crude oil spot price per barrel deflated by the personal consumption expenditures price index. 30
2000
2002 2004
2005 2006
2007 2008
2009 2010
2011 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 Figure 17 Real Personal Disposable Income and Expenditures Real PCE
Real DPI Percent
Percent Notes: Twelve-month percentage changes in real personal consumption expenditures (PCE) and real disposable personal income (DPI). Shaded areas indicate NBER recessions. Heavy tick marks indicate December. Data from Haver Analytics. 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 -2 -1.5
-1 -0.5
0 0.5
-2 -1.5
-1 -0.5
0 0.5
Percent Percent
Figure 18 Term Structure of Interest Rates: 3-month and 6-month Difference between 3-month Treasury yield and funds rate target Difference between 6-month Treasury yield and funds rate target Notes: The series are the difference between three-month and six-month Treasury yields and the funds rate target. Treasury yields are from Board of Governors statistical release H.15 starting January 7, 2002 and from G.13 before. Starting October 2, 2001, yields are constant maturity. Before, they are the three-month and six-month yields. Observations are for the day after an FOMC meeting. Heavy tick marks indicate December. Document Outline
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