24
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.
25
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
Figure 9
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
0
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
Figure 12
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
28
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
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
5.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2.5
3
3.5
4
4.5
5
5.5
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 - What Remains of Milton Friedman’s Monetarism?
- Robert L. Hetzel
- Senior Economist
- Federal Reserve Bank of Richmond
- Research Department
- P. O. Box 27622
- Richmond VA 23261
- 804-697-8213
- robert.hetzel@rich.frb.org
- July 13, 2017
- 1. Why is Friedman hard to read?
- 2. Identification: Friedman versus Cowles
- 3. Friedman’s critique of activist policy
- 4. Identification of episodes of contractionary monetary policy as event studies
- 5. The NK model as a monetarist model
- 6. Monetarism and the Great Recession
- 7. A summary of the issues
- Appendix: Real Rate of Interest
- References
Dostları ilə paylaş: |